Share Brilliantly
black scholes model
let tds = await import("/lib/finance/traders/price-action/v1.0.0/traders.mjs");
let td = await import('/lib/finance/backtest/v1.0.0/trade.mjs');
let prices = [
{date:'2000-01-01', IBM:100, MSFT:60},
{date:'2000-01-02', IBM:101, MSFT:60},
{date:'2000-01-03', IBM:101, MSFT:60},
{date:'2000-01-01', IBM:100, MSFT:60},
{date:'2000-01-02', IBM:102, MSFT:60},
{date:'2000-01-03', IBM:102, MSFT:60},
];
let trader = tds.rebalanced(
[0.2, tds.asset('IBM')],
[0.8, tds.asset('MSFT')],
)
let trades = await td.calculateTrades(prices, trader);
Try it!