I want to backtest for LEAPS issued back in 2018 and since expired or exercised? I want to do this to get as sense of the possible P/L for shorting a far OTM call from issuance to expiration date. UVXY is among the underlyings I'm interested in. Anyone do this? Site, software, service?
Looking for backtesting site/software/help
- Thread starter dcwriter2
- Start date
Free “thinkBack” feature in ToS for non-automated backtests (entering various trades for past dates and viewing P&L, as well as supporting closing, rolling, and adjusting positions) . I use it all the time.
www.orats.com backtester may do it.
I cant figure out how to use this. I typed in UVXY and set a 2018 Sept P/L date assuming that the Jan 2021 LEAP was open then and has since closed. But nothing happens.
UVXY was reverse split 100:1 since then, old UVXY options replaced with new ones, and practically all backtesting platforms have problems with such data, often mixing old options with new options, and/or unable to properly scale the past underlying price to pre-split options, etc.
The best I could do is select January 2 2018 as the date, then selected a $10-strike call expiring January 18 2019. It does show P&L, though it seems shifted by $400:
VXX with 30C option seems more accurate:
(you have to select some reasonable date range in the bottom/P&L chart as well)
Matt_ORATS
Sponsor
Our backtester at wheel.orats.com can be set up as below.
For splits, we exit the position the day before and re-enter the day after automatically.
It takes a few seconds to set up.
Also, we can stagger our trades and simulate entering the position every x number of days, here Entry Days = 30:
Here's the backtest link. https://wheel.orats.com/backtest/18WaknoHyANXfaFU2N2E2Ngjm57iWqVGVL
You can view this with a trial and get a reduced rate to subscribe using the link in the signature below.
Once you find a backtest strategy you like, our scanner can find the trades that meet your criteria ie as to days to expiry, delta, price or whatever.
Message me with any questions.
For splits, we exit the position the day before and re-enter the day after automatically.
It takes a few seconds to set up.
Also, we can stagger our trades and simulate entering the position every x number of days, here Entry Days = 30:
Here's the backtest link. https://wheel.orats.com/backtest/18WaknoHyANXfaFU2N2E2Ngjm57iWqVGVL
You can view this with a trial and get a reduced rate to subscribe using the link in the signature below.
Once you find a backtest strategy you like, our scanner can find the trades that meet your criteria ie as to days to expiry, delta, price or whatever.
Message me with any questions.