* Checkout submodule "optlib"

git submodule init
git submodule update

* Setup python env

python3 -m venv env
source env/bin/activate

* Install required packages

pip3 install --upgrade pip
pip3 install requests pandas scipy torch

* Install optlib

cd optlib
python setup.py install

* Setup

* The following command generates results for multiple parameters. It runs for 6 minutes, and generated summary file in "spysum.csv" and detailed transaction in "spyout.csv". Both files are checked in.

  ./Smile.py -i ../options-data/SPY.csv -o spyout2.csv -s spysum2.csv -m msi.json -P 25,35,1 -p 0 0.05,0.06,0.4,0.4 0.1,0.2,0.4,0.5 0.1 0.3 0.4 0.5 0.6 0.7

* Mises Stationarity Index

  msindex.net
  https://github.com/ckrowland/msindex