Skip to content
The Option Lab is an automated backtesting framework for option trading strategies. The results generated by the code are visualised on our website.
Python HTML TSQL
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
optiondata
private
results
strategies
util
CODE_OF_CONDUCT.md
LICENSE
backtest_strategies.py
call_backtests.py
readme.txt
requirements.txt
run_strategies.py

readme.txt

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) 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) try to run insert_fullday.py and 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 
You can’t perform that action at this time.