Delta Neutral Testing Question

[John_Wensink]

I was interested in backtesting a delta neutral strategy using SSF's and Futures.

Either long the future and long a put or short the future and long a call.

I wanted to set it up where positions are only taken on a quarterly basis and adjusted once certian parameters were violated.

Can anyone point me in the right direction as far as a good software package?

Thanks

 

[IV_Trader]

Quote from John_Wensink:

I was interested in backtesting a delta neutral strategy using SSF's and Futures.

Either long the future and long a put or short the future and long a call.

I wanted to set it up where positions are only taken on a quarterly basis and adjusted once certian parameters were violated.

Can anyone point me in the right direction as far as a good software package?

Thanks

do you have B&S formula in Excel ? The rest should be very easy , especially if one of the legs is a spot.