Where to do backtesting?

bologeorge · Jul 3, 2013

Hi, does anyone know where can I do some backtesting on option strategies?

For example I want to test this: When Vix futures is in contango,buy ITM puts on VXX every Monday and close it every Friday. Start from 10000 USD and see how it performed in the pasr 4 years.

daniel5198 · Jul 3, 2013

TOS (Ameritrade)

bologeorge · Jul 3, 2013

Quote from daniel5198:

TOS (Ameritrade)

Thank you. I will try it.

bologeorge · Jul 6, 2013

Quote from daniel5198:

TOS (Ameritrade)

It seems that TOS can only do backtesting trade by trade. But I want do some systematic trading following some fixed rules.

comintel · Jul 7, 2013

Quote from bologeorge:

It seems that TOS can only do backtesting trade by trade. But I want do some systematic trading following some fixed rules.

There is nothing.

TOS cannot do it.

OptionVue cannot do it.

TradeStation cannot do it.

You have to write your own from scratch! And it is not easy as large amounts of data handling are involved.

But the upside is, if you do program it yourself from scratch, you will have access to insights that few have.

bologeorge · Jul 8, 2013

Quote from comintel:

There is nothing.

TOS cannot do it.

OptionVue cannot do it.

TradeStation cannot do it.

You have to write your own from scratch! And it is not easy as large amounts of data handling are involved.

But the upside is, if you do program it yourself from scratch, you will have access to insights that few have.

Well, I think a quant can make it within minutes. I cannot do it because I'm don't know how to write code. Anyway, I can also make it within few hours, trade by trade.

mushinseeker · Jul 8, 2013

can prob do it but steep learnign curve

Check their website for the mid to adv level backtesting tutorials where u will see the power of AB.

lindq · Jul 8, 2013

Quote from bologeorge:

Hi, does anyone know where can I do some backtesting on option strategies?

For example I want to test this: When Vix futures is in contango,buy ITM puts on VXX every Monday and close it every Friday. Start from 10000 USD and see how it performed in the pasr 4 years.

Check out InvestorRT at www.linnsoft.com.

You can reach them at support@linnsoft.com to verify that they still support options data/backtesting. Good software with good support.