jamesliu1 / CQF_Trading_Competition

Cornell Quant Fund 2022 Trading competition Options Case winner

CQF_Trading_Competition

Options Case:

Strategy 1

1. implment py_vollib's implied volatility calulation

2. grab Parameters for Black scholes
3. use Black shcoles

4. 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