Greetings!
This is my first post, so I'll give you a bit of background.
I'm an options trader, typically working on a swing trade/position
trade sort of time frame. (I typically hold trades 1-3 weeks.)
I have been thinking of switching to TradeStation/OptionStation
because I would dearly love to have full programmatic control
over
a) scanning for options positions
b) backtesting option trading strategies
TradeStation tries very hard to make you believe that they
have such capabilities; see, for example,
http://www.tradestation.com/optionstationSuite/OptionStationSuite_overview.shtm
(notably the sublinks for "Option Chain Analysis" and "Position Analysis")
They claim to have hundreds of built-in indicators, such as
"Put Call Ratio," "Percent to Double," etc., all of which are written
in EasyLanguage and thus presumably modifiable for my own nefarious
purposes. All this is fine and dandy, and exactly the sort of thing
I'm looking for, EXCEPT for one big pile of caveats:
Their "Easy Language Getting Started Guide" and "Easy Language
Reference Guide" (both available as downloadable PDFs on their Web
site) do NOT document these features! Indeed, these documents have
not been updated since 2002, and only concern TradeStation version
6.0, not 8.1. And even some of the functions that were mentioned
back in 2002 have not yet been documented, let alone all the new
functionality added for OptionStation. Worst of all, while the
existing documentation is well written, there is not a single
example - in these documents or anywhere else on their Web site
that I could find - of how to backtest an option strategy.
Here is pseudocode for a (relatively simple) entry rule of
the type of strategy I would like to backtest:
if Close CrossesAbove (50-day SMA) then
Buy 10 calls one strike InTheMoney with at least 60
and no more than 90 days to expiration
end
Can anyone with OptionStation experience confirm whether
a) the EasyLanguage functions that support OptionStation have
actually been documented anywhere?
b) it is actually possible to backtest option strategies,
and if so, please point me to a published example, either
on their own Web site or perhaps in one of the trading
magazines?
Unfortunately, the people at TradeStation I have corresponded
with are sales bozos who clearly don't know their own product
very well (or maybe they DO know and just don't want to admit
flat out that they haven't updated their documenation in FOUR
YEARS!!). So I would be grateful for advice from someone with
more knowledge in this area.
And if there is any other package out there that can
actually backtest _option_ strategies, I'd love to hear about
it too (along with an explanation of where it expects to get
its options data feed). Thank you kindly for your help!
This is my first post, so I'll give you a bit of background.
I'm an options trader, typically working on a swing trade/position
trade sort of time frame. (I typically hold trades 1-3 weeks.)
I have been thinking of switching to TradeStation/OptionStation
because I would dearly love to have full programmatic control
over
a) scanning for options positions
b) backtesting option trading strategies
TradeStation tries very hard to make you believe that they
have such capabilities; see, for example,
http://www.tradestation.com/optionstationSuite/OptionStationSuite_overview.shtm
(notably the sublinks for "Option Chain Analysis" and "Position Analysis")
They claim to have hundreds of built-in indicators, such as
"Put Call Ratio," "Percent to Double," etc., all of which are written
in EasyLanguage and thus presumably modifiable for my own nefarious
purposes. All this is fine and dandy, and exactly the sort of thing
I'm looking for, EXCEPT for one big pile of caveats:
Their "Easy Language Getting Started Guide" and "Easy Language
Reference Guide" (both available as downloadable PDFs on their Web
site) do NOT document these features! Indeed, these documents have
not been updated since 2002, and only concern TradeStation version
6.0, not 8.1. And even some of the functions that were mentioned
back in 2002 have not yet been documented, let alone all the new
functionality added for OptionStation. Worst of all, while the
existing documentation is well written, there is not a single
example - in these documents or anywhere else on their Web site
that I could find - of how to backtest an option strategy.
Here is pseudocode for a (relatively simple) entry rule of
the type of strategy I would like to backtest:
if Close CrossesAbove (50-day SMA) then
Buy 10 calls one strike InTheMoney with at least 60
and no more than 90 days to expiration
end
Can anyone with OptionStation experience confirm whether
a) the EasyLanguage functions that support OptionStation have
actually been documented anywhere?
b) it is actually possible to backtest option strategies,
and if so, please point me to a published example, either
on their own Web site or perhaps in one of the trading
magazines?
Unfortunately, the people at TradeStation I have corresponded
with are sales bozos who clearly don't know their own product
very well (or maybe they DO know and just don't want to admit
flat out that they haven't updated their documenation in FOUR
YEARS!!). So I would be grateful for advice from someone with
more knowledge in this area.
And if there is any other package out there that can
actually backtest _option_ strategies, I'd love to hear about
it too (along with an explanation of where it expects to get
its options data feed). Thank you kindly for your help!
