/theoptionlab

The Option Lab is an automated backtesting framework for option trading strategies. The results generated by the code are visualised on our website.

Primary LanguagePythonGNU General Public License v3.0GPL-3.0

  1. Data (theoptionlab uses EOD data from the CBOE).

  2. Python (currently version 3, for version 2 see previous release: https://github.com/theoptionlab/theoptionlab/releases/tag/v1.0)

  3. Install dependencies: pip3 install -r requirements.txt

  4. Postgres database

  5. Create database and tables with script in create_db.sql psql -h host -d optiondata -U user -f /path/to/create.sql

  6. Adapt private/settings_template.py with your own settings and rename the file into settings.py

  7. Run insert_fullday.py and free_money_scanner.py

  8. Insert all the data and precompute the greeks (takes a while), with or without the risk free rate (takes an even longer while)

  9. Once the data is in place, run your first backtest with call_backtests.py