options-strategy

Backtest multi-leg options strategies by synthesizing theoretical option prices using the Black-Scholes model from underlying price series. This simulates portfolio PnL, Greeks exposure, and expiration outcomes without requiring actual market option quotes.

Yes, you can backtest iron condors and calendar spreads on cryptocurrencies. The engine supports multi-leg options on both equities and cryptocurrencies for hedging, volatility, and spread strategies.

Backtesting options portfolios generates trade-level PnL, portfolio Greeks, expiry handling, and output artifacts including equity.csv, trades.csv, greeks.csv, and metrics.csv for detailed performance analysis.

The Black-Scholes model calculates European call and put theoretical prices using historical volatility as an implied-volatility proxy. You configure this behavior using the iv_source parameter in your options_config.

Running an options backtest requires a config.json file with the engine set to options and options_config parameters like risk_free_rate, iv_source, and contract_multiplier to define the simulation environment.

Yes, the backtester supports portfolio Greeks aggregation. It calculates and aggregates daily delta, gamma, theta, and vega exposure across multi-leg positions and outputs the results to greeks.csv.