panelbeater 0.2.46

A CLI for finding mispriced options.

panelbeater

A CLI for finding mispriced options.

Dependencies :globe_with_meridians:

Python 3.11.6:

• yfinance
• pandas
• pandas-datareader
• numpy
• feature-engine
• requests-cache
• scikit-learn
• wavetrainer
• tqdm
• pyvinecopulib
• python-dotenv
• kaleido
• plotly
• scipy
• joblib

Raison D'être :thought_balloon:

panelbeater trains models at t+X iteratively to come up with the calibrated expected distribution of an asset price in the future. It then finds the current prices of options for an asset, and determines whether it should be bought and for how much.

Architecture :triangular_ruler:

panelbeater goes through the following steps:

1. Downloads the historical data.
2. Performs feature engineering on the data.
3. Trains the required models and copulas to operate on the data panel.
4. Downloads the current data.
5. Runs inference on t+X for the latest options to find the probability distribution on the asset prices to their expiry dates.
6. Finds any mispriced options and size the position accordingly.

Installation :inbox_tray:

This is a python package hosted on pypi, so to install simply run the following command:

pip install panelbeater

or install using this local repository:

python setup.py install --old-and-unmanageable

Usage example :eyes:

You can run panelbeater as a CLI like so:

panelbeater

This performs a full train, inference and attempts to find mispriced options.

License :memo:

The project is available under the MIT License.