I have a few options strategies Id like to backtest and I have some familiarity with Python. In particular Id like to backtest a "semi-dynamic" long vol. strategy putting on $0$ cost backspreads in the direction of the market after a say $5 $% movement within a month.
A backspread is an option combo where one sells an option ATM and goes down in OTM until the premium of buying two matches that premium obtained from the selling. In this way the position is $0$ cost to enter, with twice as many options bought as sold.
Any ideas? Packages and so on.
Also feel free do run this backtest and give me the result! This would indeed be the easiest way.