This is a backtest module disigned for options only
Language: Matlab (yeah yeah yeah, it's not a real language, I get it)
Author: Jerry Wong
Aug-2016
- compute an analog of VIX for a specific stock
- requires options historical data
- mktInfo: current available options and info
- cash: $$$$$$$
- options: record of current position
- order history: log of orders ever placed
- activeOrders: output of the strategy
- genVIX(): compute the genVIX for this stock
- policy(): trading strategy, output a set of orders
- settleExpiredOptions(): output a set of orders to close the position of expired options
- getStatus(): output the current holdings, gross & net profit and total fee since the first trading day