GitHub - kyle-crews/theoptionlab: The Option Lab is an automated backtesting framework for option trading strategies. The results generated by the code are visualised on our website.

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

theoptionlab.com/

GPL-3.0 license

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Branches Tags

Name		Name	Last commit message	Last commit date
Latest commit History 51 Commits
optiondata		optiondata
private		private
results		results
strategies		strategies
util		util
CODE_OF_CONDUCT.md		CODE_OF_CONDUCT.md
LICENSE		LICENSE
backtest_strategies.py		backtest_strategies.py
call_backtests.py		call_backtests.py
readme.txt		readme.txt
requirements.txt		requirements.txt
run_strategies.py		run_strategies.py

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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: pip install -r requirements.txt 

4) database (currently postgres, previously mysql)

5) database and tables with script in create_db_postresql.sql
$ psql -h host -d optiondata -U user -f /path/to/create_db_postresql.sql

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

7) try to run insert_fullday.py and then free_money_scanner.py 

8) And then you are ready to 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