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How to Backtest a Trading Strategy in Python
Three runs of backtest.py on the illustrative 60-bar fileranking · 2026-09-16 · 3×4Preview: 3 ranked values, smallest first.
How Implied Volatility Is Calculated
Where the Newton step misbehaves: AAPL vega by strike zone, June 30, 2026ranking · 2026-08-25 · 6×3Preview: 6 ranked values, largest first. At the money implied volatility and solver convergence, eight names, June 30, 2026ranking · 2026-08-25 · 8×4Preview: 8 ranked values, largest first. One solve per contract: AAPL implied volatility by strike zone, June 30, 2026ranking · 2026-08-25 · 6×3Preview: 6 ranked values, largest first. One AAPL contract, re-solved every session into its July 17, 2026 expiryseries · 2026-08-25 · 29×3Preview: a 16-point series, ending lower.
Three runs of backtest.py on the illustrative 60-bar file

Three runs of backtest.py on the illustrative 60-bar file

most recentas of ranking 3×4read in context →
Three runs of backtest.py on the illustrative 60-bar file — 3 rows by 4 columns, computed from US exchange, SIP and OPRA data.
runtotal_return_pctmax_drawdown_pctround_trips
raw tape-49.84-50.012
split-adjusted1.19-3.912
split-adjusted, 0.1% slippage0.69-3.92
the exact SQL behind every number 
SELECT
    run,
    total_return_pct,
    max_drawdown_pct,
    round_trips
FROM
(
    SELECT 1 AS step, 'raw tape' AS run, -49.84 AS total_return_pct, -50.01 AS max_drawdown_pct, 2 AS round_trips
    UNION ALL
    SELECT 2, 'split-adjusted', 1.19, -3.91, 2
    UNION ALL
    SELECT 3, 'split-adjusted, 0.1% slippage', 0.69, -3.90, 2
)
ORDER BY step
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