Option Greeks strategies & backtesting in Python

This repository have pyhton codes used in book - 'Option Greeks Strategies Backtesting in Python' by Authour Anjana Gupta

The book is divided into three parts -

1. First part cover option Greeks - Delta, Gamma, Theta, Vega, Delta hedging & Gamma Scalping, implied volatility with the example of past closing prices of Nifty/USDINR/Stocks (Basics of Future and options explain).

2. Second part covers option trading strategies with examples of Nifty/USDINR options and computation of returns of a strategy on past data. (You will get an idea how professional traders think)

3. Third part covers Python for traders. After reading this book a novice trader will also be able to use python from installation of Anaconda on his laptop & extracting past data to back-testing and development of his own strategies. Python is explained from very basic so that anyone who does not have in-depth understanding of programming can understand and develop codes. How to fetch past daily data, per minute data, live data for backtesting & development of strategies explained. Many program codes and their results also explained for back-testing of strategies likes ratios, butterfly etc.

Book is written by author having more than 10 years of experience. Co-author of the book has worked with BSE Limited (formally known as Bombay Stock Exchange) for 6 years from 2011 to 2017. Earlier to BSE he worked with Broking houses like Edelweiss. Today he is a Option trader and Arbitrager. He is also having more than 15 years of experience in Indian Capital Market.