Software for options backtesting data?

CML_Ophir said:
This is actually why I think it is so unimportant.

Test an idea or hypothesis, use calm, methodical rice checks, like EOD, and learn from those pattern.

Also, our back-tester has stops and limits, and those can be set in real life for the entire trading day and even GTC.
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Price patterns are expressions of buying and selling behaviour. Past behaviour is not indicative of future behaviour. In a very simplified analogy just because the ball falls on red 3 times, does not mean its going to fall on red again. That is not a sound trading strategy.

I also think having a more complete picture is allows for more stringent risk mgmt. Saying
It's done X the last 5 times is not risk mgmt.

I'm sure it's not easy to get all that data but I hope one day you see the value of that data. I'm sure I'm not the only one that feels that the more accurate the data, the better the Backtesting can be.
 
CML_Ophir said:
This is actually why I think it is so unimportant.

Test an idea or hypothesis, use calm, methodical rice checks, like EOD, and learn from those pattern.

Also, our back-tester has stops and limits, and those can be set in real life for the entire trading day and even GTC.
More...

Imagine a call with a price of 1.5 Monday EOD, 2 Tuesday EOD, and 1.75 Wednesday EOD.

Your software will assume that the change between Monday and Wednesday is .25, and you will say that the return of the trade was 16.7% with no heat.

But you are missing the possibility that the call traded below 1 at some point Wednesday Morning, so if you had a "magical" stop loss at 1, the trade would have been a loss.

This makes your backtests using EOD values a little unrealistic.
 
Back testing volatility strategies is a very hard task and I have never seen a commercial software product that does it well. There are so many tricky problems to solve and most vendors fail to even calculate the forward price correctly.
 
Secret Santa said:
Back testing volatility strategies is a very hard task and I have never seen a commercial software product that does it well. There are so many tricky problems to solve and most vendors fail to even calculate the forward price correctly.
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Yeah. I'm not even looking for someone to do the backtest for me. I just want access to the data in a functional and efficient format. Surprised how few options there are that have even that data (B-A, Greeks, iv, etc...)
samuel11 said:
Imagine a call with a price of 1.5 Monday EOD, 2 Tuesday EOD, and 1.75 Wednesday EOD.

Your software will assume that the change between Monday and Wednesday is .25, and you will say that the return of the trade was 16.7% with no heat.

But you are missing the possibility that the call traded below 1 at some point Wednesday Morning, so if you had a "magical" stop loss at 1, the trade would have been a loss.

This makes your backtests using EOD values a little unrealistic.
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And that is the likes of LTCM, some quants-math types and more recently vix trading hedge funds went crashing down. They trust the model results absolutely with disregard to black swan events, (and even large volatility days). Stats ppl throw out the outliers, traders plan for the outliers and make sure they can withstand it and trading another day.
 
Kirribilli said:
Is there a free trial of the backtesting of options? Instead of stops, can it backtest spreads?
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There is no trial period but if you don't like it after the first month, just let us know and you get a full refund.

You can test spreads, in fact, you can test almost anything up to 4 option legs + stock using the custom strategy builder (unlimited custom strategies can be saved for later use).

Give it a shot: http://bit.ly/elite_options
 
CML_Ophir said:
There is no trial period but if you don't like it after the first month, just let us know and you get a full refund.

You can test spreads, in fact, you can test almost anything up to 4 option legs + stock using the custom strategy builder (unlimited custom strategies can be saved for later use).
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One thing that I was not able to figure out ... and I only watched 2 minutes here and there ... what platform does it run on? Will it run on a Mac? Will it run on an iPad? How about a phone?
 
harryp said:
One thing that I was not able to figure out ... and I only watched 2 minutes here and there ... what platform does it run on? Will it run on a Mac? Will it run on an iPad? How about a phone?
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It's web based. Other than Safari, it works in all browsers. But, I would not try it if you don't watch the entire video. You'll end up wasting your time and opportunity.
 
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