options-trading

Small Node.js-based framework for backtesting options trading strategies. Allows creation of strategies and studies, and makes inclusion of studies within strategies easy.

Setup

1. Install Node.js: https://nodejs.org/download/
2. Install Gulp globally: npm install -g gulp
3. Download minute tick data for one security from a supported data provider.
   1. Dukascopy link: https://www.dukascopy.com/swiss/english/marketwatch/historical/
4. Put the data into ./data/:
   1. mkdir ./data
   2. mv ~/Downloads/EURUSD_Candlestick_1_m_BID_04.08.2014-08.08.2015.csv ./data/
5. Run the backtest gulp task
   1. Example: gulp backtest --symbol EURUSD --parser dukascopy --data ./data/EURUSD_Candlestick_1_m_BID_04.08.2014-08.08.2015.csv --strategy NateAug2015 --investment 1000 --profitability 0.7 --out ./data/processed/EURUSD_Candlestick_1_m_BID_04.08.2014-08.08.2015.csv

backtest task options

• symbol -- The security symbol
• parser -- The parser to use to parse the data you downloaded
• data -- The path to the data file you downloaded
• strategy -- The name of the strategy to use
• investment -- The investment to use for each security purchase while backtesting
• profitability -- The profitability factor to use
• out -- If specified, a CSV file will be created at the given path containing the data generated by the strategy.