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Assuming you already have a way to obtain hedge ratios and the like, your best available choice is probably blotter (used to be just quantstrat). You will find that it isn't necessarily oriented toward options. Generally for options backtesting, pros end up making their own or buying commercial software. There are tons of commercial providers, but I ...

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My first thought would be to use quantlib package to get the delta values and comply those to get a position delta. Then use rules based on delta values to hedge. Use discrete time adjustments or use delta bands.

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Two good starting points are here: Allen, Helen, and Mark Taylor. “The Use of Technical Analysis in the Foreign Exchange Market.” The Journal of International Money and Finance, June 1992, pp. 304-314. Lui, Y.H., and D. Mole. “The Use of Fundamental and Technical Analyses by Foreign Exchange Dealers: Hong Kong Evidence.” The Journal of International Money ...

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first: if he should regress returns then this is actually what he is doing since $ln(p_t)$ is equal to $r_t$ almost surely then, you put just prices to regression equation and coefficients tell you exactly what proportions are making this linear combination stationary, if they are : p

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