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Not necessarily an answer but far too long for comments. I am surprised no one asked about the underlying or what exactly you intend to backtest? Since you write option chains, I would assume it's listed products? You also write moneyness, which rules out FX in my opinion. Strictly speaking, FX would be Garman Kohlhagen and most commodity would use Black. ...


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There is a statistically and economically significant difference between option implied volatility ("IV") and (underlying) historical asset price volatility, calculated as the standard deviation of log return time series at some time horizon. The difference is on average positive (IV > volatility). (Underlying) volatility is a measure of the ...


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I would say it depends on the frequency of the strategy you trade. For low frequency (weeks) strategy (e.g. hold the position to maturity, delta-hedged of course) from my experience I believe it is quite accurate. For higher frequency strategy probably not, but I have no experience on that myself.


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Trading Strategy is a new service for technical trading on decentralised exchanges. We publish one minute historical OHLCV candles as Parquet files for 100+ exchanges. Disclaimer: I am the author of the service.


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Historically systematic trading strategies have used historical price data (and traded volumes) fundamental data (balance sheets of companies) alternative data (satellite images, texts, supply chain, credit cards, etc) the last 10 years have seen the emergence of alternative data, few references The Book of Alternative Data: A Guide for Investors, Traders ...


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You will not be able to replicate positive decaying autocorrelations in current markets: Due to the increased popularity in high-frequency trading, there's been a likewise increased focus on studying the underlying empirical properties of high-frequency data. One of the stylized facts in high-frequency data is the significant first-order negative ...


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