back test software questions

[kzhu]

If I have the following requirement for a back testing software, which one is the best one the market right now, and what are their limitations?

1: I want to write my code/strategy using real programming languages, rather than a script.
2: I want to link options and stock. For example, my strategy is
if IBM drops below 100 then buy some front month puts, and sell some HPQ puts at the same time....if the bid ask is less than 10c.
I want to be able to easily write a strategy to do that..
3: easily write code to "scan" a strategy against 100s of stocks.
4: Running and generating report in a nightly run without user interface.

Could you guys please give me some recommendations?

thanks!

Kevin

 

[Jahajee]

Quote from kzhu:

If I have the following requirement for a back testing software, which one is the best one the market right now, and what are their limitations?

1: I want to write my code/strategy using real programming languages, rather than a script.
2: I want to link options and stock. For example, my strategy is
if IBM drops below 100 then buy some front month puts, and sell some HPQ puts at the same time....if the bid ask is less than 10c.
I want to be able to easily write a strategy to do that..
3: easily write code to "scan" a strategy against 100s of stocks.
4: Running and generating report in a nightly run without user interface.

Could you guys please give me some recommendations?

thanks!

Kevin

No, we can't, because...

Sorry, but there isn't any commercial software to
do genuine backtesting of the options strategies you described.
I looked everywhere, demo'ed everything, nada.

You go to get someone to write this software. We are considering modifying one of our testing programs to do
this. Lot of work.

 

[OpenQuant]

I'm just curiouse why can't you use OpenQuant for this? We don't have any fancy support for options but we do support options as (strategy) instruments. The language is C#.

Regards,
Anton