MesoSim – DSL for Options Trading
MesoSim – DSL for Options Trading
Hello, I quit my engineering job in 2021 to fully focus on trading. After a year of limited success with stocks (algos floating around break-even) I started studying Options. It turned out that selling options (risk premia harvesting) is a sound approach for income generation. Back in the day there were no suitable automated backtesters to effectively study these trades, so I built one: I infused JSON with Lua to create a Job Definition which models how Options Traders build, adjust and hedge their positions. Fast forward to today, many retail traders and small hedge funds are using MesoSim on a daily basis. They executed over 120k backtests with strategies frequently reaching (and exceeding) Sharpe Ratio of 3. You can also try it after a free signup I'm doing my best to provide educational material via blog posts on public income trades, such as: - The weekend effect: https://blog.deltaray.io/the-weekend-effect - Volatility Hedged Theta Engine: https://blog.deltaray.io/volatility-hedged-theta-engine - NetZero Trade: https://blog.deltaray.io/netzero-trade - and more under our strategy library: https://github.com/deltaray-io/strategy-library As of today the live part is running as a private beta and targeting to fix the annoyances around these complex instruments. Tech details: The solution is created using C# with Blazor as I prefer not to touch JS or TS. When I started I knew very little about C#, and nothing about blazor and dotnet (I'm a linux person). I have no regret choosing these technologies. During the process I also fell in love with Lua, a language I'll definitely use in the future. Please check it out and let me know what you think. Thanks for your kind feedback!
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