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Options Strategy Backtester

Backtests multi-leg option strategies on price history using Black-Scholes pricing and Greeks

Source Download skill
Repository
HKUDS/Vibe-Trading
Stars
37,433
Licence
MIT
Files
2 files

What it does

Once installed, the agent can design and backtest options trading strategies such as covered calls, iron condors, straddles and calendar spreads. Because real option prices are often unavailable, it estimates theoretical option prices from an underlying asset's historical price series using the Black-Scholes model, then simulates profit and loss, Greek risk measures (delta, gamma, theta, vega) and expiration outcomes. It is a research tool for testing ideas, not a live trading system.

Great for

  • Quantitative analysts or students exploring how option strategies behaved on historical price data
  • Developers building or testing a strategy engine within the Vibe-Trading backtesting framework
  • Traders who want a rough, synthetic estimate of how a multi-leg options idea would have performed before using real data

Skip it if

  • Live trading or placing real option orders: the engine uses synthetic prices with historical volatility and no bid-ask spreads or liquidity, so results can be materially optimistic
  • Pricing American-style options or options with significant early-exercise value, since the engine models European exercise only
  • Precise pricing of deep out-of-the-money or deep in-the-money options, where the constant-volatility assumption is known to be biased

Try asking

  • “Backtest an iron condor on the CSI 300 index from 2020 to 2024 and show the PnL and Greeks over time”
  • “Compare a covered call and a protective put on BTC-USDT using historical volatility pricing”
  • “Write a short strangle strategy that only opens positions when volatility is below a threshold, then backtest it”
  • “Explain what the vega and theta exposure of a calendar spread looks like on a given date”
Step-by-step guide: how to use Options Strategy BacktesterInstall, first run, examples, tips and FAQs

Install in 3 steps

  1. 1

    Download the skill

    The ZIP contains the 2 original files, the MIT licence and an attribution note.

    options-strategy.zip
  2. 2

    Add it to your agent

    Claude Code (all projects)

    mkdir -p ~/.claude/skills && unzip options-strategy.zip -d ~/.claude/skills/

    Claude Code / Agent SDK (this project only)

    mkdir -p .claude/skills && unzip options-strategy.zip -d .claude/skills/

    Claude apps (web/desktop): Settings → Capabilities → Skills → Upload skill, and choose the ZIP.

  3. 3

    Ask for the task

    No special command needed — the agent reads the skill's description and loads it when your request matches. Try one of the prompts above.

Get better results

  • State the underlying, date range, strategy type and strikes or deltas explicitly so the agent can build a valid config and legs list.
  • Keep the default same_day_fill setting false to avoid look-ahead bias when interpreting results.
  • Treat results as directional research: check the strategy against real option data before drawing conclusions about profitability.

What's inside

  • example_signal_engine.py
  • SKILL.md

Redistributed unmodified from HKUDS/Vibe-Trading under the MIT licence. The assessment was drafted with AI from the skill's files on 2026-10-29. Skills can instruct your agent to run code — read SKILL.md and any scripts before installing.