Back testing equity index option trading methods

En cours

We have historical option pricing data for equity index options (the SPX contract at the CBOE) in an excel spreadsheet, CSV format. We need someone who can manipulate the data using existing option pricing models (Black Scholes) and provide an interface for back testing various trading systems. Options will be tested by binary conditions (e.g. does an option < 30 days to expiration? Is implied volatility above historical average?) Several (5-6)if/then rules will be grouped and a simulation using those rules and actual option prices will be run.

We'll need an interface input trading rules and which returns theoretical results.

Compétences : Programmation C, Traitement de Données

Voir plus : option backtesting, backtest options, backtesting equity, format pricing, format prices, Cboe, black binary, binary black, backtest black scholes spx, equity backtesting method, options trading backtesting, escrow option trading, equity index calculation spreadsheet, pricing inputs equity index option, options backtesting service, backtest contract work, options trading testing, option testing, option trading testing, data processing systems, contract format, trading c, testing\ , testing c, testing +

N° du projet : #4640