Software for backtesting Options portfolios

V

vladbby

Hello Everyone,

I'd appreciate if someone can recommend me an options software/database that will help me with the following:

Here's what i'd like to backtest: I have a list of tickers, and on a specific day I'd like to buy/sell ATM calls/puts for each single one of them, and would like to check the PNL of each position and the entire portfolio on another day in the future. There're many stocks and many periods that I'd like to backtest, so manually is not an option. It doesn't have to be software, could just be a database that can be imported into Excel/R. DOESN'T have to be free, I'm ready to pay for something that will get the job done.

Any advice on what would be the best way to do it?

Thank you
 
1) Do you only require EOD data? -- or finer granularity, such a minute? - Costs range from free, to > $20K for data. (how much history do you require? -- 180 days, 10 years, ...?)
2) Will you develop your software, or do you want someone to develop for you?

Your request seems vague, but perhaps you are testing the waters here!
 
mushinseeker said:
are you putting criteria or filter on your stocks? or just buy an ATM spread daily?
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No, I filter stocks ahead of time, and have a list of tickers that I'd like to backtest. I'm also only looking to do one sided trades - no spreads.

stepandfetchit said:
1) Do you only require EOD data? -- or finer granularity, such a minute? - Costs range from free, to > $20K for data. (how much history do you require? -- 180 days, 10 years, ...?)
2) Will you develop your software, or do you want someone to develop for you?

Your request seems vague, but perhaps you are testing the waters here!
More...

Yup, only EOD is fine. The longer, the better. 7+ yrs at least, preferably more.

I'm not looking to do any heavy stats, just need to get portfolio values and drawdowns. I'd prefer to just use Excel or R, if I can get the data i need.

truetype said:
Hanweck
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This looks interesting, thank you!
 
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