Amibroker options backtest

Joebone said:
...found an amazing tutorial for an options backtester last year.. the company was in pre release and i watched a video of it...
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You didn't keep a copy of the video by any chance, did you?

What was the name of the company? What was the name of the Hedge Fund that bought it out?

I've had good luck reverse engineering other people's systems and tools from a few online hints. Even some only described on ET.
 
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joebone, the thread is "Amibroker options backtesting" and i can tell you it can be done for I have been doing it for 1.5 years. Much like any tool, whether it is a hammer or a leafblower, options backtesting using Amibroker has limitations. As examples here is what it can do-simulate PnL of selling ATM put spreads at 10IV , 15IV ...30Iv,etc . Furthermore, unlike most options backtester where the buy criterias are vol related ( ie buy calendar if Month1 > month2 ) AB can backtest using plain vanilla technical indicators. Wanna find out your pnl on buying call spreads if stock crosses 50d mvg avg? wanna find out pnl of putting on a 14d ATM fly if stock hits a 2 sigma bollinger band. AB can do it. It is just that the tenor of the first couple of posts was like " don't try to sell me something for I am a programmer" ....well .. knock yourself out ...
 
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mushinseeker said:
joebone, the thread is "Amibroker options backtesting" and i can tell you it can be done for I have been doing it for 1.5 years. Much like any tool, whether it is a hammer or a leafblower, options backtesting using Amibroker has limitations. As examples here is what it can do-simulate PnL of selling ATM put spreads at 10IV , 15IV ...30Iv,etc . Furthermore, unlike most options backtester where the buy criterias are vol related ( ie buy calendar if Month1 > month2 ) AB can backtest using plain vanilla technical indicators. Wanna find out your pnl on buying call spreads if stock crosses 50d mvg avg? wanna find out pnl of putting on a 14d ATM fly if stock hits a 2 sigma bollinger band. AB can do it. It is just that the tenor of the first couple of posts was like " don't try to sell me something for I am a programmer" ....well .. knock yourself out ...
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Mushin, thanks very much for the response! I heard ami was up to the task but after reading previous replies maybe i jumped to my conclusion to quickly. I will look into it further... at first glance, I thought it was going to be like so many of the other first iteration option backtesters that expect you to be in an option trade perpetually. Any decent options trader knows that the specific conditions required to place an options trade do not exist all the time. Also, the ability to close a position at 50% profit is something I haven't seen either.

thanks for reply
cheers
 
Pm me and I will direct you to your 1st steps so u don't waste time. Ami, with an in-depth cognition of its limitations , is miles ahead of other b'testers. For instance, you can calc payoff on trades where you initially have a call spread, then ticker moves, and you slap on a sold call spread to buy a fly for credit.etc.
 
I am interested to learn about how to save option chain historical data and find option greeks, and make strategies and backtest them through Amibroker
 
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