I got interested and decided to see if I can find a better tool for Option backtesting than what the ToS platform has in Thinkback, it is OK but looking for something faster. A quick Google search and this is what I found below. If anybody has used any of these products can you please write a short review or feel free to PM me directly
I am interested in testing Options on Equities as well as Futures. So if the tool had SPAN and Reg-T margin requirements built in that would be perfect
I am the creator of getvolatility.com, thank you for mentioning it here Chubbly! It's currently in beta, and I'd appreciate any feedback on it.
In general, the app will show you historical prices and back-tested payoffs for any option strategy. It also highlights opportunities which are cheap or expensive today after running statistical analysis on all of the historical data it has. It also includes detailed historical implied volatility, skew, and surface charting.
I am happy to answer any questions anyone has on it!
There are two programs I know that can support serious manual option back testing: OptionVue and Option Net Explorer. You can enter simple or complex trades in either program and use historical prices to obtain realistic results. OV has 30 minute history going back several years while ONE has 5 minute history. Either program will be a huge improvement over TOS.
I made a suggestion to Len Yates at OptionVue about increasing the speed of collecting back testing data. He's going to think about how to do that so it's a better experience. Currently it's quite slow when back testing SPX due to the large number of strikes and expirations.
OptionNET Explorer has very quick back testing data already and it is in 5-minute increments.
These are both for manual back testing only.
OptionNET Explorer is releasing an automated back tester in the near future. QuantyCarlo has one but it is currently off the market.
@ron99 suggested a successful ES put selling program some time ago, which later was modified by him. Backtesting is done via a special prodedure, which seems to be a bit complicated and time consuming.
Would it be possible to backtest this program using OptionVue or some other similar program in an easier way ? Does anybody have experience ?
Thank you for any comment.
Best regards, Myrrdin
Last edited by myrrdin; February 15th, 2016 at 08:51 AM.