Options backtesting?

xbrxx · Nov 1, 2003

Is there such a software that you can backtest option strategies? Like WealthLab or Amibroker for stock and futures.

xbrxx

nitro · Nov 1, 2003

The problem is that AFAIK, few if any have historical _intraday_ options data (EOD options data is nearly worthless.)

nitro

NUTSNEAL · Nov 1, 2003

I would also be interested in a data source for intra day options data. Genesis has the open high low close end of day data on equities and futures which is helpful, but not great.

Good Luck

Please let me know if you find a data source.

Thanks

Maverick74 · Nov 1, 2003

Quote from xbrxx:

Is there such a software that you can backtest option strategies? Like WealthLab or Amibroker for stock and futures.

xbrxx

YES! Optionvue's backtrader. You can test any strategy you want on any option going back 6 years. You can then roll the position forward in various time increments, 30 min, hourly, daily, weekly. And the software updates all your greeks as well. By far the most impressive thing on the market. The data itself is worth millions. Take a look at it.

fliesch · Nov 2, 2003

But you cannot test it mechanically! That's bad!
I found just one source for good intraday optionsdata (i lost the name) - I just know it was fucking expensive!

Maverick74 · Nov 2, 2003

Quote from fliesch:

But you cannot test it mechanically! That's bad!
I found just one source for good intraday optionsdata (i lost the name) - I just know it was fucking expensive!

Define mechanically. You can put on any position and trade it as if the trade was in real time and make all your adjustments. All the data is 100% accurate. You can hedge your deltas, change your spreads, modify all your greeks all while the market is moving.

fliesch · Nov 2, 2003

Yes. I know. It's really good. BUT IT IS NOT POSSIBLE TO TEST A MECHANICAL TRADINGSYSTEM MECHANICALLY at Optionetics. You would have to do it by yourself (each trade!).
If you would like to test some thousand trades this is not feasable.

Maverick74 · Nov 2, 2003

Quote from fliesch:

Yes. I know. It's really good. BUT IT IS NOT POSSIBLE TO TEST A MECHANICAL TRADINGSYSTEM MECHANICALLY at Optionetics. You would have to do it by yourself (each trade!).
If you would like to test some thousand trades this is not feasable.

Oh, OK, very true. Well good luck in that pursuit. LOL. That will cost you about a million dollars. No, Optionvue definately can't do that, although if you paid them enough money they could probably do something for you. LOL. good luck.

fliesch · Nov 2, 2003

I have a program that scans automatically historical data for several things (volatility...) has entry and exit signals programmed (Including Money and Riskmanagement). That program should run on those data without me always having to press a button some thousand times!! I hope you got it know.

Maverick74 · Nov 2, 2003

Quote from fliesch:

I have a program that scans automatically historical data for several things (volatility...) has entry and exit signals programmed (Including Money and Riskmanagement). That program should run on those data without me always having to press a button some thousand times!! I hope you got it know.

I understand what you are saying and good luck finding such a program.