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]