sovannit / optopsy

An event driven backtesting and option chain analysis Python library.

Optopsy

This library allows you to backtest options strategies with your own historical options data. Use the built-in functions to generate options spreads with adjustable parameters and backtest them with your own custom entry / exit / adjustment criteria.

Goals

This project was developed because I was learning to trade options and had a need for a simple and flexible trading library that will allow me to backtest my option trading strategies. At the time of its development, it was difficult to find options backtesting software/libraries that allows the flexibility of testing options spreads with complex entry, exit or adjustment criteria. I wrote this library to meet that need and I hope it will help you too!

Features

• Uses Pandas library under the hood to generate options spreads efficiently.
• Option spreads can be generated with adjustable parameters such as strike width and expiration dates. This allows you to create more advance strategies such as broken-wing butterflies/iron condors
• Generates historical option spread prices for all possible strike combinations from the option chain.
• Use your own options data source by using the built-in data adapters or write your own. (Currently supports sqlite)
• Integrated brokerage simulation with market and limit orders
• Interchangeable and extensible position sizers, slippage and commissions modules (WIP)
• Optimization support: define a range for your strategy parameters and the system will execute the strategy for each value of the range
• The following options strategies are currently supported:
  • Single Calls/Puts
  • Vertical Spreads

Planned Features

• CSV file support
• Option strategy support:
  • Iron Condors (Iron Butterflies)
  • Covered Stock
  • Combos (Synthetics/Collars)
  • Diagonal Spreads
  • Calendar Spreads
  • Custom Spreads
  • Strangles
  • Straddles
• Transaction Costs - Commissions are currently supported using TD's thinkorswim standard fees for North American options. Slippage and market impact are planned, but are not currently supported.