Options Backtesting Software? - futures io
futures io



Options Backtesting Software?


Discussion in Options

Updated
      Top Posters
    1. looks_one shodson with 3 posts (1 thanks)
    2. looks_two galindog with 2 posts (1 thanks)
    3. looks_3 aeromir with 2 posts (3 thanks)
    4. looks_4 Chubbly with 2 posts (4 thanks)
      Best Posters
    1. looks_one Chubbly with 2 thanks per post
    2. looks_two aeromir with 1.5 thanks per post
    3. looks_3 Trusty Jules with 1 thanks per post
    4. looks_4 jminck with 1 thanks per post
    1. trending_up 11,257 views
    2. thumb_up 15 thanks given
    3. group 25 followers
    1. forum 22 posts
    2. attach_file 3 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Options Backtesting Software?

(login for full post details)
  #1 (permalink)
Chubbly
Ottawa
 
 
Posts: 87 since May 2015
Thanks: 67 given, 88 received

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
https://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

Reply With Quote

Journal Challenge April 2021 results (now extended!):
Competing for $1800 in prizes from Jigsaw
looks_oneMaking a Living with the Microsby sstheo
(74 thanks from 10 posts)
looks_twoSalao's Journalby Salao
(22 thanks from 5 posts)
looks_3Deetee’s DAX Trading Journal (time based)by Deetee
(15 thanks from 7 posts)
looks_4Learning to Profit - A journey in algorithms and optionsby Syntax
(12 thanks from 7 posts)
looks_5Becoming a day trader (PA, volume profile, footprint etc.)by JirkaF
(0 thanks from 2 posts)
 
Best Threads (Most Thanked)
in the last 7 days on futures io
The Crude Dude Oil Trading System
72 thanks
futures io site changelog and issues/problem reporting
65 thanks
Would You Sell Your System?
61 thanks
FIO Journal Challenge - April 2021 w/Jigsaw Trading
29 thanks
Big Mike in Ecuador
25 thanks
 
(login for full post details)
  #3 (permalink)
 tradewiz 
sydney
 
Experience: Intermediate
Platform: milticharts
Broker: interactive brokers
Trading: Aussie dollar/stocks
 
Posts: 3 since Jul 2009
Thanks: 1 given, 1 received


QuantyCarlo ? Optimize Your Option Trading Strategies

Reply With Quote
The following user says Thank You to tradewiz for this post:
 
(login for full post details)
  #4 (permalink)
Chubbly
Ottawa
 
 
Posts: 87 since May 2015
Thanks: 67 given, 88 received

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/

Reply With Quote
 
(login for full post details)
  #5 (permalink)
realizedvariance
San Francisco, CA
 
 
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!

Reply With Quote
 
(login for full post details)
  #6 (permalink)
 aeromir 
Colorado Springs, CO, USA
 
Experience: Master
Platform: NinjaTrader, OptionVue
Broker: IB
Trading: Options
 
aeromir's Avatar
 
Posts: 6 since Apr 2015
Thanks: 0 given, 4 received



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.

Follow me on Twitter Reply With Quote
The following user says Thank You to aeromir for this post:
 
(login for full post details)
  #7 (permalink)
 Bookworm 
Long Island, NY
 
Experience: Advanced
Platform: TOS & Tastyworks
Broker: TD Ameritrade
Trading: Equities, index options and futures options
 
Bookworm's Avatar
 
Posts: 175 since Apr 2010
Thanks: 65 given, 166 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.

Reply With Quote
 
(login for full post details)
  #8 (permalink)
 aeromir 
Colorado Springs, CO, USA
 
Experience: Master
Platform: NinjaTrader, OptionVue
Broker: IB
Trading: Options
 
aeromir's Avatar
 
Posts: 6 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.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to aeromir for this post:
 
(login for full post details)
  #9 (permalink)
 myrrdin 
Market Wizard
Linz Austria
 
Experience: Advanced
Platform: Zaner360, TWS, Vantage
Broker: DeCarley, IAB, RJO
Trading: Commodities
 
Posts: 1,783 since Nov 2014
Thanks: 2,930 given, 2,418 received

@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

Reply With Quote
 
(login for full post details)
  #10 (permalink)
optionNinja
San Francisco, CA
 
 
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.

Reply With Quote
The following user says Thank You to optionNinja for this post:
 
(login for full post details)
  #11 (permalink)
galindog
Danbury Connecticut USA
 
 
Posts: 5 since Feb 2014
Thanks: 0 given, 1 received

Hi. After months of hacking away, I am able to test technical setups on the underlying ticker and find an optimal options strategy for it. I ran across that method while reading market Wizards and came across the John Bender method. PM me for more details.

Gabriel

Reply With Quote
 
(login for full post details)
  #12 (permalink)
 Cyberjoe 
Cincinnati, OH, USA
 
Experience: Advanced
Platform: NinjaTrader, Python
Broker: InteractiveBrokers, TastyWorks, IQFeed
Trading: VIX, VXX, UVXY
 
Posts: 9 since Jun 2016
Thanks: 5 given, 7 received


galindog View Post
Hi. After months of hacking away, I am able to test technical setups on the underlying ticker and find an optimal options strategy for it. I ran across that method while reading market Wizards and came across the John Bender method. PM me for more details.

Gabriel

Which tool are you using for your backtesting?

Reply With Quote
 
(login for full post details)
  #13 (permalink)
galindog
Danbury Connecticut USA
 
 
Posts: 5 since Feb 2014
Thanks: 0 given, 1 received

I am using Amibroker for backtesting and am able to simulate option returns paired with stock technical analysis. In the interest of full disclosure- for I am new to the site and don't want to violate vendor rules, I have a website and offer backtesting services for option traders. PM me for details.

I primarily use the tool to rule out broad strategies like "is put selling good at this vol level" or does a bollinger band breakout make money if used with a backspread,etc... Once I rule out the bad stuff and find good stuff, I scan then plug it into thinkorswim on-demand for tick by tick confirmation of the big picture backtests.

Reply With Quote
The following user says Thank You to galindog for this post:
 
(login for full post details)
  #14 (permalink)
 rainmonkey 
Oakland, California
 
Experience: Beginner
Platform: Interactive Brokers, ToS
Trading: ES
 
Posts: 7 since Aug 2017
Thanks: 1 given, 1 received

If you can write JS, you can try writing your strategies into Alta5 and backtesting.

Reply With Quote
 
(login for full post details)
  #15 (permalink)
 shodson 
Quantoholic
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,962 since Jun 2009
Thanks: 529 given, 3,654 received

For backtesting some simple strategies I've been using CMLviz's trade machine product for a few months now. It's only $49/mo and tests some simple strategies and instruments. One thing I like about it is its ability to test around earnings dates as I like to trade stock options before and after earnings.

About every day they also send a trade you might want to consider and include a sample backtest you can examine.

Here's a recent trade idea of a pre-earnings trade on Ambarella

CMLviz.com - CMLviz News

And here is the included backtest of the strategy for review

CML TradeMachine



I've done about 11 small but real-money trades so far just following their picks that I like and I'm net negative so far but it's too early to judge. But my own earnings trading strategies work better, so far. For $only 49 a month, though, I'll keep giving it a try but I'm starting to lose hope. The WFC loss was a big hit to the overall effort, thanks to their continued PR problems. I usually try something new for at least 20 trades before making a final judgment so the jury's still out on this one.



The GOOGL and CBOE trades are still open.

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #16 (permalink)
Trusty Jules
Brussels, Belgium
 
 
Posts: 3 since Aug 2017
Thanks: 0 given, 1 received

Interesting thread - am looking at all these services. For starters I did try the Ambarelli play and its up 21% on day 1 which is nice. As regards your trading though - geez the WFC position was way larger than others. You were trading practically 135K of WFC there - easy to lose money in those cases.

Reply With Quote
 
(login for full post details)
  #17 (permalink)
 shodson 
Quantoholic
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,962 since Jun 2009
Thanks: 529 given, 3,654 received


Trusty Jules View Post
geez the WFC position was way larger than others. You were trading practically 135K of WFC there - easy to lose money in those cases.

Hmm let's see...



I sold a $2.00-wide put spread (54-52) for $0.88, so my max risk was
2.00-0.88 = $1.12
* 100 shares per contract * 25 contracts = $2,800 of risk
which was less than 2% of my cash account, not including any margin.

How did you come up with $135k of risk?

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #18 (permalink)
Trusty Jules
Brussels, Belgium
 
 
Posts: 3 since Aug 2017
Thanks: 0 given, 1 received


shodson View Post
Hmm let's see...



I sold a $2.00-wide put spread (54-52) for $0.88, so my max risk was
2.00-0.88 = $1.12
* 100 shares per contract * 25 contracts = $2,800 of risk
which was less than 2% of my cash account, not including any margin.

How did you come up with $135k of risk?

I didnt say your risk was 135K - I said you were trading 135K of WFC in that position. By way of comparison here are the sizes you were trading in the underlying for your other positions (approximately based on entry):

JPM 85K
FP 66K
SBUX 17K
LITE 35K
LRCX 51K
Googl 10K
MAR 73K
Q 73K
NVDA 34K

This is not your risk except in the sense that you could have been forced to buy 135K worth of WFC if it closed under 54 and above 52. Its simply that by trading a bigger chunk of underlying you get more brutal outcomes - your max win or loss is realised in bigger steps. I don't have the ability to look up historical option and IV/Greeks but just look at the following hypothesis where we assume all identical IV and Greeks with delta at 50.

You experienced a 1.9% move in the wrong direction with WFC - that's US$ 2500 (1.9% of 135k) at delta 50 - 1250. A similar move of the smaller underlying JPM trade would have meant a swing of only 800 bucks to the down side. Now in reality of course there are other things to take into account and we should calculate on standard deviation, the fact it was a spread and yada yada. My remark wasn't very sophisticated in that sense, its just when you trade more underlying you get more big outcomes.

The classic beginner mistake (I have been guilty of it) is to over dimension trades - when someone says they have 10 GOOGL ATM calls that doesn't sound like much compared to my portfolio where I have 38 outstanding positions the underlying value in both cases is about 1,000,000 $. Joe Newbie might be surprised that in a quick downturn of his Googl position he blows out his account.

When you have the big swing its also hard to patch up a trade.

Just as an aside though, as regards your claim that you risked only $2800 - perhaps I misread but I see

WFC p AUG17 54 sold @0.92
WFC p AUG17 52 bought @0.40

Hence you risked ($0.52-2)*2500= -$3700

Granted your theoretical max loss on the JPM or GOOGL was larger but the value in underlying was lower which made binary outcomes less likely. For that reason I would call those trades more conservative. The risk of trades can be viewed in a number of ways - your 2% rule is a good one but its just one rule by which to measure.

I recalculated your p&l (except the CBOE spread) based on a resizing your positions to all reflect the same value in underlying (just dividing the outcome by the gross value of the underlying you were trading). In that case the net of those trades is vastly positive. The reason is simple your big loser is downsized and the big winner - Googl - is upsized (if that's a word). Now granted in practice its unfeasible to get that outcome exactly - for one the options don't trade in fractions of 100 shares - but its just to give an idea. It seems the advice of your site is not so bad. Just my $0.02.

Having said that I missed my chance to cash in on AMBA in the first day and am down 50$ for now :-( Lets hope the rally comes tomorrow.

Reply With Quote
The following 2 users say Thank You to Trusty Jules for this post:
 
(login for full post details)
  #19 (permalink)
 shodson 
Quantoholic
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,962 since Jun 2009
Thanks: 529 given, 3,654 received

You are correct, I bought the 52 put for $0.40, not $0.04, so my credit was $0.52, so my max risk was $1.48 per contract, or $3,700 total.

I appreciate the potential problem of expiration with price in between the strikes, but I never carry these to expiration, so that's not an issue. However, if my short 54 spread is exercised while I was in the position, I would suddenly end up short 2,500 shares of WFC, which would tie up a lot of margin! But I have enough portfolio margin to unwind that, so I'm not too concerned with that. But, yes, early assignment is a real risk not many people understand until it happens to them (it happened to me once).

Thanks for double-checking my work.

Update: I closed my GOOGL trade for +$880.67 and did a long call trade on WDAY on Monday, exited today just before earnings for a $1,140 gain so I'm now net positive on all of these trades. The CBOE trade is still open, profitable.

My goal, since I'm experimenting, is to try to max risk about $2-4k per trade, a little over 1-2% of my account, hoping the probabilities play out in the long run for an overall profit, hence the sizing. I'm trying to be a casino and frequently realize my edges, and play as many consecutive hands as possible, with as many systems and setups that I can. This is just one that I'm experimenting with. I have like 5 other ways I trade, including the swing trading systems on my website.

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to shodson for this post:
 
(login for full post details)
  #20 (permalink)
 blb014 
Dallas, Texas
 
Experience: Intermediate
Platform: TOS
Trading: AAPL, /ES, IWM, SPY Options
 
Posts: 330 since Oct 2012
Thanks: 554 given, 186 received


shodson View Post
You are correct, I bought the 52 put for $0.40, not $0.04, so my credit was $0.52, so my max risk was $1.48 per contract, or $3,700 total.

I appreciate the potential problem of expiration with price in between the strikes, but I never carry these to expiration, so that's not an issue. However, if my short 54 spread is exercised while I was in the position, I would suddenly end up short 2,500 shares of WFC, which would tie up a lot of margin! But I have enough portfolio margin to unwind that, so I'm not too concerned with that. But, yes, early assignment is a real risk not many people understand until it happens to them (it happened to me once).

Thanks for double-checking my work.

Update: I closed my GOOGL trade for +$880.67 and did a long call trade on WDAY on Monday, exited today just before earnings for a $1,140 gain so I'm now net positive on all of these trades. The CBOE trade is still open, profitable.

My goal, since I'm experimenting, is to try to max risk about $2-4k per trade, a little over 1-2% of my account, hoping the probabilities play out in the long run for an overall profit, hence the sizing. I'm trying to be a casino and frequently realize my edges, and play as many consecutive hands as possible, with as many systems and setups that I can. This is just one that I'm experimenting with. I have like 5 other ways I trade, including the swing trading systems on my website.

Interesting. Thanks for the updates on these trades. I tried some earnings play on AAPL a few years ago with varied success.

Volatility is good for the market and trading.

Preservation of capital is the most important concept for those who want to stay in the trading game for the long haul. - Van Tharp
Reply With Quote
 
(login for full post details)
  #21 (permalink)
 jminck 
Rockwall, TX USA
 
Experience: Intermediate
Platform: IRT ToS
Trading: ES
 
Posts: 2 since Jul 2013
Thanks: 6 given, 1 received

I have been using AlgoNET Explorer for a couple of months and overall I find it to be pretty awesome if you are familiar with code (it supports C# and VB.NET scripting language) - below is a journal/blog post I wrote that has some screen shots and code fragment

https://bbvtrading.wordpress.com/2017/08/16/birth-of-a-trading-strategy/

Reply With Quote
The following 2 users say Thank You to jminck for this post:
 
(login for full post details)
  #22 (permalink)
Melkien
Buenos Aires
 
 
Posts: 1 since Oct 2017
Thanks: 0 given, 0 received

Jminck, any chance you could mention how one can use AlgoNET Explorer? I read it is currently only institutional, or is there another way of getting a trial/purchasing an individual license?

Reply With Quote
 
(login for full post details)
  #23 (permalink)
 jminck 
Rockwall, TX USA
 
Experience: Intermediate
Platform: IRT ToS
Trading: ES
 
Posts: 2 since Jul 2013
Thanks: 6 given, 1 received

I am a subscriber of their other software OptionNET Explorer and I think they gave current subscribers early access.

Reply With Quote


futures io Trading Community Traders Hideout Options > Options Backtesting Software?


Last Updated on October 10, 2017


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Journal Challenge w/$1,800 in prizes!

April
 

Seven Trading Mistakes Solved With Smart Trading Tools w/Brannigan Barrett

Elite only
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts