This is a framework for efficiently backtesting option spreads (Call/Put Credit spreads) performance. You can customize different spread parameters to backtest your strategy with SPY data for the past 10 years.
1. Create and activate a new Anaconda environment
2. In anaconda power shell, run
!pip3 install -r requirements.txt
(tips: if you are having trouble installing ta-lib, please go to https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib to download and install wheel package specific to your python version and operating system)
3. Download the preprocessed spread data from:
[Google Drive](https://drive.google.com/drive/folders/1osSFFwno6Uk-Z3hMDrxyix5dbdbFHgMI?usp=sharing)
and unzip the file under Option_Spreads_Backtesting/Spreads_Data/SPY folder.
4. See main.ipynb for futher instructions.
1. Implement a customizable technical indicator method
2. Create a statistic report method