This is a summary of links featured on Quantocracy on Thursday, 01/04/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Sketching the Option Backtester v2 (with Code downloadable for ALL readers) [Hanguk Quant]In the last post, we wrote code to test for the pnl of a system that continuously rebalances and shorts the atm straddle on index options. Sketching the Option Backtester (with Code downloadable for ALL readers) HangukQuant December 21, 2023 Sketching the Option Backtester (with Code downloadable for ALL readers) Read full story We just made a few notes – the code is rather inflexible in that