Module sim 

Simulator: the honest bookkeeper

The simulator walks one underlying forward a day at a time. Each day it either asks the strategy whether to open a trade, or marks the open trade to market and asks whether to close it. Rules it enforces so strategies cannot cheat by accident:

• Decisions use the close of day t; fills happen at that close. SD is computed from bars up to and including t only.
• Every leg pays a spread on the way in and the way out, plus commission. Wider for names priced off the IV proxy (single stocks have wider option markets than SPY).
• Returns are on capital at risk: the debit for bought structures, (widest wing − credit) for sold ones. A 50% return means “made half of what could have been lost”.
• Noise only touches SD’s eyes. When the backtest adds Gaussian noise, SD sees the noisy history, but trades are priced and settled on the real prices and real implied volatility.

Structs

Costs

Trading costs per share, per leg, per side.

Summary

Summary of a list of trades.

Trade

Underlying

One underlying’s inputs to the simulator.

Constants

RATE

Interest rate used for pricing. A constant 3% is a simplification; at one-month horizons its effect on straddles and spreads is tiny.

Functions

run

Run one strategy over one underlying, over its whole history.

run_window

Run one strategy over bars start..end only (“trade a full period”).

run_window_open

Live replay: like run_window, but trades may open even though their expiry lies beyond the last bar (that is what “today” looks like), and the trade still open on the last bar is returned too (marked, not closed): what a live runner holds right now.

summarize