backtesting FX options

Quote from kms200:

I believe OptionVue's software has backtesting capabilities for FX options. I'm not 100% sure, but I would suggest checking out their site or giveing them a call.
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I'd be quite interested in backtesting of FX options.

Has anyone used OptionVue (BackTrader?) for backtesting of options? How about FX (futures?) options?

http://www.optionvue.com/overvue_back_trader.aspx

" BackTrader™ - "Accomplish months of paper trading in a matter of hours"

BackTrader is the perfect learning and testing tool for traders of all skill levels. With BackTrader's historical data base and OptionVue 6's analytics, you can learn how to trade options or test different strategies before you put your money at risk.

While in BackTrader mode, OptionVue 6 will automatically download historical prices, volatility information and charts going back to January 2, 2001. When activated, you can scan, propose positions, conduct analysis and create trades which can be tracked in the Portfolio Manager. You can then step forward in time by 1/2 hour or daily increments and watch how your position(s) changes along with historical volatilities, greeks and profit/loss.

With OptionVue 6’s BackTrader, you can:

* Learn how to trade options
* Practice trading new markets or strategies
* Develop new strategies or test new concepts
* Access historical data and volatilities for further study

Paper trading can be a valuable exercise, giving you the opportunity to learn and experiment with new ideas.

Are you a stock trader?
Try trading some of the broader market indices, or using them to hedge your stock portfolio. Try trading some of the different futures markets.

Are you still fairly new to options trading?
You can observe how premiums move, and get a feel for the effects of time decay. BackTrader is not confined to simply going far back in the past.

Have you ever wondered how an option traded earlier that day?
With BackTrader you can go back a few hours and see what price it was trading at then (as well as the contract volume and other useful information).

With BackTrader and OptionVue 6 you can thoroughly test your trading ability and theories before you trade.
"
 
Any ET comments on the following?

OptionVue 5 Options Analysis
http://www.futuresmag.com/Issues/2008/1/Pages/OptionVue-5-Options-Analysis.aspx

" Overall Rating: 3.5 of 4

Level: Beginner to advanced.

Price: $1495 one time purchase, $2195 for the Pro version. A 15-minute delayed feed (NetVue) is available for $500 annually. Streaming real-time data is available through E-Signal. Additional modules include BackTrader and/or Value Sheets and the OpScan Market Scanning Service.

Recommended System: Windows 2000/XP (Not Mac Compatible), 1 GHz processor (such as Pentium) or faster recommended, 256 MB memory, 60 MB hard disk space, Internet connection with DSL, cable modem and T1 (data feed required with eSignal or NetVue).

Basics: 4 of 4

OptionVue 5 is an options analysis software package that enables options traders of all experience levels - from beginner to professional – to learn the ins and outs of options analysis. The product is a sophisticated trading tool that arms the user with a full line of analysis and charting tools for options trading. An easy to use interface enables the user to analyze anything from single options positions to sophisticated spreads in several different formats. Whether the user is a visual learner (graphically inclined) or a kinesthetic learner (hands on/active approach), OptionVue 5 provides the tools to look for trading opportunities, structure trades, analyze trades, and understand your risk. The software is not a trading system with buy and sell signals, but instead gives any option trader a simple and manageable system with all the tools for a professional.

Overview: 3.5 of 4

I have seen a plethora of different options analysis programs and this product has by far the simplest and most useful interface. After opening the program, a recognizable quotes display appears with a default selection of stocks, indices and futures. Double clicking on any asset opens an options matrix with default strike prices relative to the underlying’s current trading price. The options matrix is fully customizable and is set up horizontally –a big plus for spread traders – where the columns represent expiration months while the call and put strikes are vertically aligned with a horizontal segregation line between the calls and puts. Right clicking within the matrix provides options to bring in important data points including implied and statistical volatilities, “the Greeks,” and bid-ask pricing.

As you begin to identify and customize your personal settings, it’s time to analyze options trades. Inputting buy and sell orders is as simple as using the number key pad (i.e. +10, -10, etc.) to identify the quantity and strike price you are looking for. You can analyze “the Greeks” for any potential trade without leaving the matrix by viewing the summary at the bottom of the screen. If you would like to add or exit a certain position and analyze its effect on Delta, use the number keypad to enter the quantity. An “Existing – Trades – Both” checkbox appears in the summary. Click your preference and analyze the existing position, both positions combined or just the new incremental trade itself. If the user is more graphically inclined, similar functions can be seen by clicking the Analyze tool in the top navigation bar. It is one of the simplest, yet most effective option analysis charts I have seen. This screen provides a multiple time frame profit/loss chart that is fully customizable. Not only can you adjust the projected date of your exit strategy, but you can step through volatilities or dates. Again, if you are interested in adding or exiting a position, the analyze tool enables the user to superimpose the existing position’s p/l chart over the new trade’s p/l chart. For the more advanced user, the bottom of the screen has all the necessary “Greeks” for different prices. Again, this tool is fully customizable.

Installation: 4 of 4

OptionVue’s staff processes the purchase and quickly ships a single CD, a unique enablement code and a two-hour tutorial by their director of education. This whole package is a good deal for any first-time user ($49 for the 30-day trial package). All other documentation regarding troubleshooting can easily be found in the program’s PDF files (Getting Started and Users Guide), on their support website, their community-based support, or the “live” product support, available Monday-Friday from 8 a.m. to 5 p.m. (CST). Take advantage of the live support while setting up the program. The product consultants are well informed and can generally help you in a short amount of time. This will get you started on the right path and then you can dink around with your personal preferences once you become more comfortable with the product. The installation process itself is quick and easy. In just a few minutes you can be up and running. Like all options analysis products, the first few days can be more difficult as you learn the system. But the interface is sleek and simple and all the navigation tabs are self-explanatory: Matrix, Price Chart, Volty Chart, T.Log, Convert Trades, etc.

Additional features:3 of 4

Included in the $1495 version of OptionVue 5 is a portfolio management system with a number of useful features: a Trade Log, Account Status and a full Reports function. The Status and Reports functions track your profits and losses and provide a detailed performance analysis and a tax report. These are all exportable in text format and available to be printed on a customizable schedule by using the Print Reports function. Simple price charting tools are available for the underlying assets (and if applicable, corresponding volatilities). The Auto-Scan Tools, which include the Trade Finder, Survey and OpScan, can be confusing for the beginner but are beneficial for any trader looking for opportunities. Traders who like to back-test their strategies will get a lot of use out of the BackTrader module (available for an additional $400 one-time fee). BackTrader includes a database of historical options prices that date back to January 2001. While I found that some of the option prices were missing or inaccurate on occasion, and that the interchangeability between dates sometimes seemed to alter the user’s preferences, this slight shortcoming is overshadowed by the usefulness of the module.

Summary

OptionVue 5 is a fully customizable options analysis package that is specifically geared to the active options trader. The only complaint would be the limited integration for electronic trading (only with OptionsXpress for now), but word on the street is that this will be possible in 2008. The BackTrader tool can be useful for testing trading strategies and is great for beginners that are just learning to trade options. The options are endless when using this software, much like the opportunities you are likely to find using the trading and analysis tools. You will quickly begin to feel like a seasoned veteran using this software because you will get a better understanding of the risk you are taking and your potential rewards. "
 
Quote from Nashequilibrium:

So there is no option software that can use historic prices of fx rate to give option prices for a given strike price? This should be very possible to do, and by historic prices i do not mean option prices, i mean actual historic spot price data. It should be possible to get option values from historic spot data with all the technology available or do i have to build it myself?
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All you need is vol at time, but what's the point? All you need are historical atm volatilities. FX skews in pips are < than the vol-spread on the options, so atm wil be fine.
 
All these things are available to people who trade the very liquid OTC FX options (you can find these things on BBG, for example). And I don't mean just ATM. You can also get the time series of the commonly used parameters that define skew (25 delta risk reversals & 25 delta butterflies). I am not sure whether this is available from any service out there.
 
By BBG I meant Bloomberg and it seems that it's what is being discussed in the thread you linked. I think they're talking specifically about using BBG API.
 
Quote from Martinghoul:

All these things are available to people who trade the very liquid OTC FX options (you can find these things on BBG, for example). And I don't mean just ATM. You can also get the time series of the commonly used parameters that define skew (25 delta risk reversals & 25 delta butterflies). I am not sure whether this is available from any service out there.
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IIRC, Thomson prints the 25D R/R twice a day.
 
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