Options Strategy Backtester

A systematic backtesting framework for 12 well-documented options strategies across put, call, combined, and implied-volatility categories, tested against a 25-ticker S&P 500 basket over a 5-year window (2021-2026).

Extends OptionsPricingEngine (Black-Scholes pricing, Greeks, Newton-Raphson implied vol solver) with a data pipeline, signal generation, a pluggable multi-strategy backtest engine, and performance analysis.

Full analysis, honest findings, and all 12 equity curves: see ANALYSIS.md

Quick start

pip install -r requirements.txt
cd src
python main.py

Pick a category (Put / Call / Combined / Implied Volatility), pick a strategy, confirm, and it fetches live prices, runs the backtest, prints performance metrics, and saves an equity curve + drawdown chart to results/<category>/.

Project structure

iv-hv-backtester/
├── data/
├── notebooks/
│   ├── check_long_put.py
│   ├── check_worst_trade.py
├── results/
│   ├── put/
│   ├── call/
│   ├── combined/
│   └── iv/
├── src/
│   ├── main.py
│   ├── core/
│   │   ├── data_pipeline.py
│   │   ├── pricing.py
│   │   ├── signals.py
│   │   ├── backtest.py
│   │   ├── metrics.py
│   │   └── plotting.py
│   └── strategies/
│       ├── put_strategies.py
│       ├── call_strategies.py
│       ├── combined_strategies.py
│       └── iv_strategies.py
├── tests/
│   ├── conftest.py
│   ├── test_backtest.py
│   ├── test_data_pipeline.py
│   ├── test_metrics.py
│   ├── test_pricing.py
│   └── test_signals.py
├── requirements.txt
├── README.md
└── ANALYSIS.md

The 12 strategies

Category	Strategies
Put	Long Put, Cash-Secured Short Put, Bear Put Spread
Call	Long Call, Covered Call, Bull Call Spread
Combined	Long Straddle, Iron Condor, Collar
Implied Volatility	Short Straddle (vol spike), Long Strangle (vol compression), Calendar Spread

Results summary (ranked by Sharpe)

Rank	Strategy	Trades	Total PnL	Sharpe	Max Drawdown
1	Long Straddle	475	+2301.35	1.72	-54.02
2	Collar	616	+1080.90	1.28	-293.42
3	Long Call	90	+194.32	1.07	-43.57
4	Covered Call	616	+614.22	0.43	-782.65
5	Bull Call Spread	90	+35.15	0.33	-62.74
6	Long Strangle	128	+51.53	0.17	-126.39
7	Short Straddle	86	-307.36	-0.52	-463.57
8	Cash-Secured Short Put	613	-539.49	-0.76	-592.72
9	Calendar Spread	544	-140.02	-0.82	-181.94
10	Long Put	86	-116.65	-0.93	-112.86
11	Bear Put Spread	86	-112.87	-1.00	-120.01
12	Iron Condor	86	-116.81	-1.03	-138.37

The headline finding isn't any single strategy's number, it's the pattern across all 12: every pure long-options strategy was profitable, every pure short-options strategy lost money. Full explanation, case studies, and equity curve charts in ANALYSIS.md.

Top performer (Long Straddle) vs. bottom performer (Iron Condor):

Methodology

• Universe: 25 liquid S&P 500 names across 10 sectors, 5 years of daily closes (2021-2026).
• Vol proxy: no free source of historical single-name options data exists, so a RiskMetrics-style EWMA volatility (λ=0.94) stands in for market-implied vol, compared against 30-day trailing realized volatility. This choice materially shapes the results, see ANALYSIS.md.
• Trend signal: 50/200-day moving average crossover (golden cross / death cross) for directional strategies.
• Hold period: 30 trading days per position, one open position per ticker at a time.
• Costs: $0.05 per option leg.

Author

Ryan Feng Cornell University | B.A. Mathematics, Minor: Computer Science | Class of 2029

• LinkedIn: linkedin.com/in/ryanneefeng
• Email: ryanneefeng@gmail.com
• GitHub: @ryanneefeng

License

This project is licensed under the MIT License - see the LICENSE file for details.