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Options Backtesting Software?
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Created: by Chubbly Attachments:3

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Options Backtesting Software?

 
Trading for Fun
Ottawa
 
Futures Experience: Advanced
Platform: Many
Favorite Futures: Options
 
Posts: 87 since May 2015
Thanks: 67 given, 88 received

Options Backtesting Software?

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

Commodity Systems Inc. ? EOD Market Data and Trading Software
Options Trading and Analysis Software
Options Strategy Evaluation Model by Peter Hoadley
SamoaSky Software Informer: Latest SamoaSky software updates and reviews: OptionsOracle, Option Strategy Builder, Opt...
Oscreener / Options Strategy Historical Performance Back-Tester
http://www.optionvue.com/
Commodity Query ‚€” Morningstar Commodities & Energy


Also I found a good historical option data source
Stock Options Analysis and Trading Tools on I Volatility.com


Last edited by Chubbly; September 22nd, 2015 at 03:24 AM.
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Elite Member
sydney
 
Futures Experience: Intermediate
Platform: milticharts
Broker/Data: interactive brokers
Favorite Futures: Aussie dollar/stocks
 
Posts: 3 since Jul 2009
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QuantyCarlo ? Optimize Your Option Trading Strategies

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Trading for Fun
Ottawa
 
Futures Experience: Advanced
Platform: Many
Favorite Futures: Options
 
Posts: 87 since May 2015
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This tool was also sent to me by the admin of the site.

Currently in beta (and free) but fully functional from what I have tested.

https://www.getvolatility.com/

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Trading Apprentice
San Francisco, CA
 
Futures Experience: Advanced
Platform: IB, Volatility
Favorite Futures: Options
 
Posts: 1 since Apr 2015
Thanks: 0 given, 0 received

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!

 
 
Elite Member
Kaiserslautern, Germany
 
Futures Experience: Master
Platform: NinjaTrader, OptionVue
Broker/Data: IB
Favorite Futures: Options
 
Posts: 3 since Apr 2015
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QuantyCarlo has suspended new sales as they are using their tool internally for a private hedge fund.

OptionNET Explorer is preparing a new automated backtesting tool. No release date announced but I expect it will be this quarter.

Tom Nunamaker
See what I'm reading now at http://read.tn9.eu/
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Elite Member
New York, NY
 
Futures Experience: Advanced
Platform: TWS
Broker/Data: IB
Favorite Futures: ES
 
Bookworm's Avatar
 
Posts: 160 since Apr 2010
Thanks: 64 given, 148 received

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.

 
 
Elite Member
Kaiserslautern, Germany
 
Futures Experience: Master
Platform: NinjaTrader, OptionVue
Broker/Data: IB
Favorite Futures: Options
 
Posts: 3 since Apr 2015
Thanks: 0 given, 4 received


Bookworm View Post
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.

Tom Nunamaker
See what I'm reading now at http://read.tn9.eu/
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Market Wizard
Linz Austria
 
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@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 09:51 AM.
 
 
Trading Apprentice
San Francisco, CA
 
Futures Experience: Master
Platform: Bloomberg, IB
Favorite Futures: Emini
 
Posts: 8 since Dec 2016
Thanks: 0 given, 13 received


At my hedge fund, we use a combination of different tools to backtest our options trading strategies.

For example, our traders use the following backtesting tools:

Bloomberg
Deltix
OptionStack

Each of these tools have their strengths and weaknesses. For instance, OptionStack is great at backtesting complex option strategies, but Bloomberg / Deltix provides superior order execution services and advanced execution analysis.

The bottom line is that no one tool can satisfy all our trading needs. We use a combination of different tools in our trading toolbox.

The following user says Thank You to optionNinja for this post:

 



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