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Options Backtesting algo


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Options Backtesting algo

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  #1 (permalink)
Melbourne
 
Experience: Advanced
Platform: NinjaTrader
Broker: IB, ThinkOrSwim, Kinetic
Trading: Options, Forex
 
dimkdimk's Avatar
 
Posts: 38 since Dec 2009
Thanks: 0 given, 6 received

Hi All

I need an advise.

I need a platform or software where I can test my ( really simple ) options strategy. I have been using many types of automated trading software before. However, all of them are not Options friendly. What I mean by that is that my strategy is going back for years and trades at the money options at that point in time. So I need all options chains back in time.
However, all backtesting packages that I have been using so far requires me to add all instruments to my instrument lists, or add all instruments that I want to test. Imagine that for 10 expirations for 12 month for 10 years.

So I was wondering if there is any service provider or software that would allow me to track performance of a portfolio of options in backtesting mode.

Again, nothing cool. no real-time trading required. It is just to make sure that what I want is actually working.

Real-time trading I can implement later with the TradeLink, or even raw InteractiveBrokers API, etc.

Thank you

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  #3 (permalink)
Buckeye Nation
 
Experience: Intermediate
Platform: Ninja Trader
Broker: Amp/CQG, TOS
Trading: CL, 6E, YM and ES
 
Posts: 208 since Jul 2010
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dimkdimk View Post
Hi All

I need an advise.

I need a platform or software where I can test my ( really simple ) options strategy. I have been using many types of automated trading software before. However, all of them are not Options friendly. What I mean by that is that my strategy is going back for years and trades at the money options at that point in time. So I need all options chains back in time.
However, all backtesting packages that I have been using so far requires me to add all instruments to my instrument lists, or add all instruments that I want to test. Imagine that for 10 expirations for 12 month for 10 years.

So I was wondering if there is any service provider or software that would allow me to track performance of a portfolio of options in backtesting mode.

Again, nothing cool. no real-time trading required. It is just to make sure that what I want is actually working.

Real-time trading I can implement later with the TradeLink, or even raw InteractiveBrokers API, etc.

Thank you

Have you tried ThinkOrSwim (TOS)? I use TOS for all my options trading. They have an OnDemand feature, which is a replay of the market that you could use to backtest. Also, they have Thinkback feature, which is more of a static testing tool than the OnDemand tool. I think you might find what you are looking for on TOS.

Kulu

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  #4 (permalink)
Oslo, Norway
 
Experience: Advanced
Platform: CQG, Excel
Trading: CL
 
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Posts: 1,198 since Apr 2010

Timebend : Silexx Financial Systems

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  #5 (permalink)
Melbourne
 
Experience: Advanced
Platform: NinjaTrader
Broker: IB, ThinkOrSwim, Kinetic
Trading: Options, Forex
 
dimkdimk's Avatar
 
Posts: 38 since Dec 2009
Thanks: 0 given, 6 received



Good stuff. Probably this is what I need.
However, not clear how to get it. Trying to contact sales...
By chance do you know if Timebend is a separate package ? or it is included into their Obsidian platform ?

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  #6 (permalink)
Melbourne
 
Experience: Advanced
Platform: NinjaTrader
Broker: IB, ThinkOrSwim, Kinetic
Trading: Options, Forex
 
dimkdimk's Avatar
 
Posts: 38 since Dec 2009
Thanks: 0 given, 6 received


dimkdimk View Post
Good stuff. Probably this is what I need.

Hey guys,

Timebend solution must be good but not affordable.

I talked to the guys and details are not very encouraging:

Timebend is mainly an institutional product and separate from the Obsidian trading platform.
Unfortunately we can't make "on-demand" demos of Timebend available due to the volume of market data and the complexity of the resulting setup requirements. Licensing depends on the type of market data required and starts at $2500/month for hourly resolution option data (~500MB/day) and goes up from there for raw OPRA data (~20GB/day).


any other solutions for automated backtesting of options ?

I am under impression that there is something in eSignal. Did anybody try this ?

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  #7 (permalink)
Glendale, WI
 
 
Posts: 20 since Oct 2011

The Financial Data Finder A - G

had this: IVolatility.com - Services & Tools -> Analysis Services -> Advanced Historical Data -> Implied Volatility Index

Theoretically you could write a script to grab all the data you need from it.

Alternatively there is OptionVue: OptionVue Options Trading Software

I have heard a lot of good things about it but have not used it yet.

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  #8 (permalink)
Oslo, Norway
 
Experience: Advanced
Platform: CQG, Excel
Trading: CL
 
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Posts: 1,198 since Apr 2010

I didn't know it was that expensive. I sat through a presentation of their trading platform and that was only $400 a month...

There isn't many good (and affordable) options backtesting solutions out there. Judging by the name of your website, you might be better off coding it up on your own. You will still have to pay for the data...

Check out this site:
Historical Option Data, Implied Volatility, EOD Data & more!

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  #9 (permalink)
Tampa + FL/USA
 
 
Posts: 1 since Apr 2016
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Try key2options

They have youtube channel as well. You can watch the videos or sign up for free trial on the website

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  #10 (permalink)
London, UK
 
 
Posts: 38 since Jul 2015
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Lornz View Post
...you might be better off coding it up on your own. You will still have to pay for the data...

That's what I did, but its a ton of work, and it hasn't (yet) paid off.

Buying something is a lot cheaper.


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