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Options Backtester for Algorithmic Trading
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Options Backtester for Algorithmic Trading

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

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treydog999 View Post
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.

Can you pls provide an update on the solution you found?

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alko View Post
Can you pls provide an update on the solution you found?

Solution is build your own, i used python and mongodb

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options testing, how to

Can you pls provide an update on the solution you found?

I wish that I could afford an automated testing solution but the available existing software I have found does not work. The only solution which I found helpful was TOS. It allowed me to manually use historical trades to test various trading ideas.

I first created a procedures and rules based trading system and used simple stock trades, ignoring the obvious differences. I applied the time constraints of contract expirations and set potential maximum exit losses (essentially a stop loss) based on contracts purchased and allocation rules. My strategies currently do not sell contracts.

The idea was the stock operated as ATM options and were close enough to verify a strategy, procedure and rules. Once satisfied with a potential test results I used TOS and selected historical options data and then hand tested the system.

This accomplished two things. I allowed me to test potential systems (using historical stock data) with enough accuracy to focus on and select potential system candidates to then test manually. Second when manually testing I learned how the system actually performed at a transactional level. This understanding was probably the best benefit. No matter what I believed should happen I always found things I had not anticipated. Those helped me redefine and improve everything.

Substituting stock trading for options made it easier to work with. Because I am only doing simple trading I did not have complex options (multi-legged) trades. I believe those kind of trades would require an options only testing approach.

I reviewed lots of software solutions but none seemed to offer portfolio level testing for options. AmiBroker said they could do this but it is older and one I never tested. The more modern software solutions just did not work. I thought there may be potential with software like Trade Station or Multicharts and although I can program the scope of that project was beyond my capabilities and knowledge.

Hope this is clear and perhaps helps.

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