README.md

Delta-Neutral Volatility Trading

Last Update September 17, 2021

Matteo Bottacini, [email protected]

The fifth and final step is to back-test and analyze the trading performance of a delta-neutral strategy. In these scripts are described, the codes, the intuition behind them and, the results obtained.

Folder structure:

    ../DeltaHedging/
        README.md
        deliverables/
            run-delta-hedged-stratetgy.py
        src/
            backtest.py
            utis.py
            varibales.py
        reports/
            walk-thorugh-the-code.md
            detla-neutral-trading-strategy.md
            data/
                BTC/
                    df_final.parquet
                    df_final_postion.parquet
                    trading_opportunities.png
                    trading_opportunities_perc.png
                    strategy_performance.png
                    summary_final_ret.csv
                    summary_performance_all.csv
                ETH/
                    df_final.parquet
                    df_final_postion.parquet
                    trading_opportunities.png
                    trading_opportunities_perc.png
                    strategy_performance.png
                    summary_final_ret.csv
                    summary_performance_all.csv           

Reports

1. Walk trough the code
2. Delta-Neutral Volatility trading strategy

Instruction

• ../DeltaHedging/deliverables/run-delta-hedged-strategy.py is the script to run to perform the analysis.
• In ../DeltaHedging/src/utils.py and in ../DeltaHedging/src/backtest.py are the set of functions to perform the backtest.
• In ../DeltaHedging/src/variables.py are the main variables that you can change.