Option historical testing

[rmorse]

I'll let you know if I find something interesting.

To be fair Timebend did not just back test simple strategies. I believe it was capable of complex positions with hundreds of strikes.

 

[FLfutures]

I'll let you know if I find something interesting.

To be fair Timebend did not just back test simple strategies. I believe it was capable of complex positions with hundreds of strikes.

That helps to explain the price. Not knowing much about it, but for instance if Timebend or other proprietary program, was willing to sell/lease the program, without the ability to hold hundreds of positions, and hundreds of strikes, thus not only reducing the price considerably, but ensuring that I, or others, would not be in competition at least as far as managing funds.

I am an individual futures trader, mostly SP e-mini, but would like to add a stock options program, esp. if it could be operated mostly mechanically.

 

[xandman]

You mentioned SQL, so here:

http://www.livevolpro.com/help/livevol_report_builder.html

It's just scanning. I really should get a free sub for all the endorsement I give these guys.

 

[rmorse]

OptionVue. I was looking through my emails. I spoke to someone from this firm around 2 years ago. This is from their website:

OptionVue 7 - Learn before you trade!OptionVue 7's BackTrader uses real historic option prices and volatilities to allow you to accomplish months of paper trading in a matter of hours - the perfect learning tool for options or back-testing new option strategies.

Worth a call. Not sure what it looks like or how well it works. Should be in your price range. http://www.optionvue.com/index.html

 

[Option_Attack]

(edit: RM just beat me to it!) OptionVue may do what you need. They have been around for years, but I have never used them: http://www.optionvue.com/

You may not need a specialized option system back tester. I built my own years ago, but the struggle with data and fine tuning was never worth it IMHO.

My strategies are all backtestable with standard system testing software like Wealth-Lab and Amibroker. I then just analyze the underlying results and apply them to how I know the options would trade. But my strategies are all very simple and only use liquid indices like SPX, SPY, ES, QQQ, etc. The next month, ATM options have tight spreads and trade well. My trades are also more like swing trades lasting several days, up to almost 2 weeks. Definitely not high speed...

This does take some experience and practice to be comfortable with, but it works for me. I also keep a detailed Excel file with all trades and stats, to make sure my real trades track with the predicted stock trades.

Good trading to all.

 

[xandman]

This guys has been in futures for awhile. He probably knows OptionVue very well. I don't think they have the equities data.

 

[FLfutures]

This guys has been in futures for awhile. He probably knows OptionVue very well. I don't think they have the equities data.

I'm aware of OptionVue, but have not seriously looked at it. From their site:
http://www.optionvue.com/tour-optionvue-graphic-analysis.html

While in BackTrader mode, OptionVue 7 will automatically download historical prices, volatility information and charts going be tracked in the Portfolio Manager. You can then step forward in time by 1/2 hour or daily increments and watch how your position(s) changes along with historical volatilities, greeks and profit/loss.
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Maybe "step forward" testing is just one aspect of their BackTrader, but I did not see any summary reports, of say a 2-year run, with results for an optimization range. (Simple case: buy nearby call, if stock closes above it's simple 10-day moving average. Not a strategy to trade; just an example.)

Perhaps OptionVue is robust, and does what I'd like, but I lose confidence if a software vendor does not clearly illustrate the features/benefits.

 

[xandman]

The founder of OptionVue also has his own timing models for the VIX which sounds interesting. It's comical this small shop is still around, which tells you how innovative Len Yates was.

There's also LiquidPoint's Real-Time Edge which supposedly makes use of historical data. This may fit your criteria of testing a lot of stocks at the same time. But, I can't find any documentation or videos. Pls. PM me if you get additional info.

 

[OTM-Options]

Most recent discussion re option testing was several years old, so thought I'd begin anew.

I'm interested in a software product to back test individual stock option strategies, including stock writes (both calls and puts.)

Would like software to be able to run thru trading rules, on 100-500 stocks, and show summary statistics, for a 1-5 year run.

Suggestions appreciated.

Back testing has very (if any) limited use. Show me historical data for stock option strategies from 100-500 stocks over a 1-5 year run and I will show you F*CKING NOISE. Option positions have the same characteristics, in most cases they are VERY CLOSE to being a winner or loser. That's the nature of options, they are volatile and you don't need historical data to tell you that. The key to option trading is understanding the underlying.

Good luck with your quest for the holy grail.

 

[xandman]

The key is the difference between implied vol and realized vol. From a market neutral standpoint, your short vol PnL can get over run by hedging costs when realized exceeds implied.

I think there is room for backtesting if you have ever given relevance to a chart or other form of historical look. I mostly model what-if scenarios myself.