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Backtesting Options Strategies in R ?
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Backtesting Options Strategies in R ?

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Backtesting Options Strategies in R ?

I was considering looking at some options backtesting software but considering just using R for it. I know we have the blotter accounting framework and RQuantlib to do some of the calculations.

Anyone have any experience backtesting options strategies in R? anyone use any other software instead?

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I use data.table package to clean up the option file I have (~800 MB for several years of SPX daily close info) at first then I calculate the Greeks and some info I need with library(fOptions) so you do not need to rely on the Greeks calculated by the data source.

I have only tested some simple strategues like you sell a put/straddle at certain delta with certain maturity requiement and set a profit target of X% and as top of Y%. I do not rely on other quant strat packages for this type of exercise and I simply use a for loop to go from day 1 to day T. Once the close of the put/straddle option price is below my profit target I assume my limit order is executed. If the close price is > my stoploss I assume I exit at the close price for a more realistic simulation. By looping through the dates it is not difficult to record your trading performances.

Hopefully this info is useful.

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