Posted By: interzonez
Simple backtest for SPX intra weeklies - 01/13/20 03:42
I'd like to use SPX options historical data to backtest a simple strategy of buying 3x weekly Mon, Wed, Fri expiration options at 1 standard deviation from ITM.
Which Zorro script should I start with as a template to hack around with?
And what structure do I need for the historical data - all strike prices per day, or only closing price per day? Do I also need historical delta, theta, IV etc? Is there a sample data set at Zorro that I should use for this?
Many thanks!
Which Zorro script should I start with as a template to hack around with?
And what structure do I need for the historical data - all strike prices per day, or only closing price per day? Do I also need historical delta, theta, IV etc? Is there a sample data set at Zorro that I should use for this?
Many thanks!