Quote from byteme:
It's debatable whether you can reverse engineer a system by looking at past trades that system has made. It naturally depends on the type of system though so I'm not going to enter into that debate.
That aside, your example seems to be referring to options trading.
Backtesting software for options has always been on the weak side - at least for retail traders.
The main contenders were OptionVue and Optionetics, though I haven't looked at them for several years.
The thinkorswim platform had some rudimentary option back testing capabilities last time I checked, which I'm sure will be improved upon in months to come.
Part of the problem is getting hold of good quality and complete options data.
The sheer volume of options data is mind boggling and only set to increase. Some data vendors supply options data with pre-calculated greeks but getting good intra-dat options data was hard to do last time I tried (several months ago).
There really isn't any reason why the software for this kind of thing isn't more readily available, it's not necessarily THAT complicated but I guess there hasn't been much of a demand up till now.
Options trading for retail traders is probably one of the fastest growing areas so I suspect we'll see some better options related software in the near future.
I guess you're wanting to take a look at a range of variables at the particular instant a trade was made e.g. stock price, option price, IV, greeks, time to expiration, smile, perhaps some standard TA indicators etc.
Then compare those variables with how they looked when the trade was closed.
Using the above two you might be able to deduce some logic for why the trade was opened and what criteria was used to close the trade.
The problem is, you have no idea what kind of variables were taken into account for opening and closing the trades.
