📈 A simple backtester for OHLC data

Quant machine for S&P 500 (Annualized return: 20.60%; Sharpe ratio: 1.06; Sortino ratio: 2.05; Calmar ratio: 1.05)

The repository is designed to help develop trading strategies that use information about the futures contract price of an asset to trade the underlying asset. It also includes the ability to verify the performance of these strategies using backtesting.

A hack to enable options data generation and backtesting in QuantConnect Lean