Bespoke Options


 

Implied Volatility with C++ and Python Pt. 1 [0.14]

Posted on Oct. 6, 2015, 10:40 a.m. by Bespoke Options @ [source]

Let's take a well deserved break from thinking about data and get to some code.

Volatility is a critical component to pricing options.

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Options Data Sources Available [0.05]

Posted on May 26, 2015, 1:04 p.m. by Bespoke Options @ [source]

I'll be using end of day options data for the backtesting system. Tick Data Data sets: Level 1 tick quotes; Tick trades (last price and volume); Minute trades (open, high, low, close and volume for each min interval) Granularity: Intraday Acquisition method: Manual download; Local software install; Programmatically Use in system: In the case of intraday backtesting, used to backfill historic data from before the automatic daily batch methods begin.

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Backtesting Data Considerations [0.07]

Posted on May 14, 2015, 4:08 p.m. by Bespoke Options @ [source]

Now that we have a high level overview of backtesting, I'll discuss backtesting data considerations. We'll likely encounter data quality issues along the way and will need to identify and clean the data before use in the system.

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Backtesting Introduction [0.11]

Posted on May 2, 2015, 9:08 p.m. by Bespoke Options @ [source]

I won't regurgitate the content from these resources, however I would like to add some context to this project.

In the most general sense, backtesting refers to testing the results of a predictive model using historic data.

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Backtesting Options Trading Strategies [0.19]

Posted on April 30, 2015, 4:14 p.m. by Bespoke Options @ [source]

Backtesting a trading strategy is critical in trading. What seems to be less discussed is backtesting options trading strategies.

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