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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. https://theoptionlab.com/
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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: 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