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…
What it does
In the maker’s words, at launch
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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