How to do Straddle backtesting in python using backtrader
Hi Hanush,
As you can see in this query in the backtrader community, if your backtest requires creating matrix due to multiple strike prices, expiration dates etc. it is difficult to use backtrader for backtesting. However, considering straddle payoff depends on underlying price, you can calculate the payoff for the option based on historical data separately then you may use backtrader for backtesting with payoff data.
On the other hand, I think using backtrader for pure straddle (after calculating the payoff) is like using it for a buy and hold strategy. I am not sure but I don't think it is applicable.
Regards