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Options Backtester for Algorithmic Trading
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Options Backtester for Algorithmic Trading

  #1 (permalink)
Elite Member
seoul, Korea
 
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Options Backtester for Algorithmic Trading

I have been trying to find a solution for backtesting Options strategies? I have not seen any packages readily available. Is there any software out there that does it? Or would i end up needing to write a custom solution?

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  #3 (permalink)
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Optionvue isn't bad with 30-minute intervals of price data for most options going back a few years.

It's costly though just for the software and then subscription so get the 14 day trial first.

I think thinkorswim does it a bit too just not as comprehensive as Optionvue.

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  #4 (permalink)
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k20a View Post
Optionvue isn't bad with 30-minute intervals of price data for most options going back a few years.

It's costly though just for the software and then subscription so get the 14 day trial first.

I think thinkorswim does it a bit too just not as comprehensive as Optionvue.

Thanks for that link. But I am going to need something more robust. Thinkorswim is really not that strong enough for my needs. Optionvues website is not clear how you can do automated backtests or how its simulation works. I am guessing its got some proprietary code like ToS?

I am going to need to feed it any data, either from a tick storage database, Reuters, Bloomberg, and Mainland Chinese options from CTP. It is not necessary i use it for execution though, I already have infrastructure for that. So far I think my only option may be Deltix, but their CTP connector is very weak and unsupported but you still have to pay full monthly price for it. Its kinda stupid pay full price, but don't get full service.

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  #5 (permalink)
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OptionVue would be a manual back test. You click through the historic time intervals and do your adjustments by hand.

QuantyCarlo is a new software package which promises automatic backtests.

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  #6 (permalink)
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You might also want to look at Option Net Explorer.

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