options-strategy

Yes, you can backtest crypto option strategies using this engine. It synthesizes theoretical option values via Black-Scholes and supports multi-leg positions across both crypto and equity markets to simulate PnL and Greeks.

You need to supply historical underlying price data and define a multi-leg strategy configuration. The engine uses these inputs to synthesize option values through Black-Scholes, outputting trades, equity curves, and Greeks artifacts.

This approach focuses on backtesting option portfolios using Black-Scholes theoretical pricing rather than relying on historical option market prices. It synthesizes values from underlying data to compute Greeks and simulate PnL.

Yes, the engine tracks Greeks exposure throughout the backtest. It computes Greeks via the Black-Scholes model and outputs them as artifacts, allowing you to monitor daily risk exposures for multi-leg option portfolios.