All notable changes to this project will be documented in this file.
Release Date: June 2026
Status: Stable Release
- High-frequency option market data pipeline
- Efficient parquet data storage
- Black-76 implied volatility engine
- Full Greeks calculation
- ATM implied volatility extraction
- Volatility smile construction
- Volatility surface generation
- ATM term structure analysis
- Feature engineering framework
- Signal generation engine
- Long-only ATM straddle strategy
- Rule-based trading engine
- Real option price backtesting
- Transaction cost analysis
- Robustness framework
- Parameter sweep engine
- Research dashboard
- Modular project architecture
- Refactored project structure
- Centralized configuration system
- Modular backtesting engine
- Modular plotting framework
- Unified research workflow
- Initial project documentation
- Project architecture description
- Research pipeline
- Release documentation
- Rolling window validation
- Walk-forward testing
- Multi-year backtesting
- Out-of-sample validation
- Calendar spread strategy
- Delta-neutral strategy
- Vega-neutral strategy
- Statistical arbitrage
- Multi-strategy comparison
- Automatic report generation
- PDF report exporter
- GitHub Actions
- Unit testing
- Continuous integration
Project Status
Current Release: Version 1.0