CQF_Trading_Competition
Options Case:
Strategy 1
- implment py_vollib's implied volatility calulation
- grab Parameters for Black scholes
- use Black shcoles
-
if Black scholes esimated price < market price
short that call
Results
Strategy 2
1. implment py_vollib's implied volatility calulation
2. implement Black scholes
3. if Delta < 0.4 && time_to_expiry - 10080 > 0
short that call
4. after 2 days of trading:
buy 1000 units of underlying every minute
Results
Total Trades: Trades: 1106
usage
python3 backtesting_engine.py