Options Backtesting System

Develop a system for backtesting a specific option trading strategy: writing covered calls. A detailed analysis of this trading strategy and how it relates to writing covered calls on the S&P500 index can be found at: [login to view URL]

However, the objective of this project which I am currently proposing is to employ an identical strategy but apply it to Bitcoin Spot and the writing of covered Bitcoin call options.

One backtest wil use the Deribit BTC Index as the spot reference and the calls traded on Deribit.

Another backtest will use the CF Bitcoin Real Time Index and Spot Price from the CME and the options traded on the CME.

The two papers which I have attached to this job description break down the results of the trading strategy into three distinct types of returns: Passive Equity, Short Volatility and Equity Timing. The system being developed should be able to breakdown the results of the covered call trading strategy in the same way.

The system being developed should also be able to replicate all of the tables and figures in these studies as they apply to the bitcoin buy and write strategy being studied.

The system should also allow its' user to alter certain parameters such as the calls' moneyness, delta or maturity.

The system should also allow the user to select different start and end dates.

The system should allow for easy export of results in CSV file that references parameters used to obtain those specific results.

An example of the option chain data for Deribit can be found at: [login to view URL]

An example of the optionchain data for CME can be found at: [login to view URL]

Skills: Financial Research, Financial Modeling, Financial Markets, Finance, Financial Analysis, Bitcoin, Trading

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About the Employer:
( 0 reviews ) Sao Paulo, Brazil

Project ID: #26748458

5 freelancers are bidding on average $1906 for this job


I have expertise in both corporate and investment finance. In finance, I have been working as an equity analyst for the asset management company since 2015. I have written numerous research reports on different compani More

$1500 USD in 7 days
(75 Reviews)

Hello, I am an experienced trader and computer engineer with 15 years of experience trading the US markets, i have developed a number of strategies for automated trading using backtrader as my backtesting platform and More

$2778 USD in 30 days
(4 Reviews)

Able to develop an option backtesting system in Excel. Sample work here [login to view URL] Familiarity with option trading strategies and black scholes pricing framework a More

$1500 USD in 10 days
(4 Reviews)

Hello client, Am delighted and opportune to attend to your project. I have enough experience and also work on many trading platforms such as listed below: *Ninjatrader (NT7/NT8) * Metatrader (MT4/MT5) *Ctrader *Pine Sc More

$2250 USD in 3 days
(0 Reviews)

Hi, Good day. I read your project description very carefully. I've really rich experience in Financial Analysis. Besides I have Doctor Degree and excellent programming skills. If we have a opportunity to work together, More

$1500 USD in 7 days
(0 Reviews)