Backtesting Option Strategies on Futures

[williamblake72]

Hi guys,

I am looking for a software / platform which can support to backtest options strategies on futures, e.g. Live Cattle, Soybeans, etc.

An example of strategy to backtest:
- Each time that IV is considered high with some conditions, open a vertical spread at delta X on call, with expiry at least 60 days. Collect premium at 70%

Many thanks for your support

 

[Robert Morse]

CQG Integrated Client has back testing. https://www.cqg.com/products/cqg-integrated-client

 

[ZBZB]

www.orats.com will do it on commodity etfs.

 

[Drawdown Addict]

If you can't find the platform there is data available at:

https://www.cboe.com/us/options/market_statistics/historical_data/
https://datashop.cboe.com/data-products?q=options
https://datashop.cboe.com/sip-fees

 

[williamblake72]

If you can't find the platform there is data available at:

https://www.cboe.com/us/options/market_statistics/historical_data/
https://datashop.cboe.com/data-products?q=options
https://datashop.cboe.com/sip-fees

First of all, Thanks for taking time to answer me. Unfortunately, I don't have knowledge to use raw data to make backtest. For this I was looking for something ready.

 

[williamblake72]

www.orats.com will do it on commodity etfs.

Do you know if I have to purchase data and they do some "custom" backtesting or is there a ready tool to perform the backtests?

 

[williamblake72]

CQG Integrated Client has back testing. https://www.cqg.com/products/cqg-integrated-client

Thanks, I will give a look to the website. Do you use it? If yes, are you satisfied with it?

 

[ZBZB]

Do you know if I have to purchase data and they do some "custom" backtesting or is there a ready tool to perform the backtests?

It is an app/program on the website. Matt from orats is a sponsor here.