Need Quant w/Options experience

I hear you sys. If one utlizes the closing bid/ask spread and assumes you bought the offer and sold the bid would not that make the back testing more similar to testing stocks...ofcourse we have the IV mean, deltas and everything but if you are only going off of EOD data as your consistent buy or sell it should test decently? shouldn't it?

R
 
Back-testing equity options strategies using the closing B/A spread, just doesn't work as well as you'd tend to think. Some of the reasons are wide spreads, market microstructure differences in the equities and options market, and over-all poor data quality.
 
A person with extensive Option trading experience usually can tell right away whether the strategy would work or not. It does not require back testing as most of the strategies could be assessed using the option behavior knowledge.
 
Depending on how far back you want to backtest and depending on how soon you want to implement, couldn't you just develop software to record the tick-by-tick every day? Of course, you would only get data from the present day forward, but then at least you have every single piece of data you need.
 
silly idea

Conditions change

just wake up in the morning and trade the shit.............Reinventing the wheel, FUDGADDABOUTIT.
 
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