looking for historical data for back testing different options trading strategies - Traders Hideout | futures io social day trading
futures io futures trading


looking for historical data for back testing different options trading strategies
Updated: Views / Replies:3,908 / 10
Created: by samthetrader Attachments:0

Welcome to futures io.

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

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

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

Reply
 
Thread Tools Search this Thread
 

looking for historical data for back testing different options trading strategies

  #1 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Stock indices, Futures, Forex, oil, precious metals
 
Posts: 3 since Sep 2011
Thanks: 1 given, 0 received

looking for historical data for back testing different options trading strategies

Hi,

I have currently started learning on options and wanna back test the different options trading strategies on historical data, and also play with a practice trading a/c. Do you have any suggestions for that?

Thanks,
Sam

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Trading Apprentice
Clearwater, Florida USA
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Favorite Futures: ES, CL, GC, FX
 
Posts: 19 since Mar 2012
Thanks: 0 given, 3 received

Historical Data


NinjaTrader is great for historical data and backtesting

Reply With Quote
 
  #4 (permalink)
Elite Member
London
 
Futures Experience: None
Platform: .
Favorite Futures: .
 
Posts: 162 since Apr 2011
Thanks: 46 given, 107 received

You may want to look at IQ/DTN Feed and/or maybe Kinetick for a more reliable and accurate historical data.


Last edited by mrphr; March 10th, 2012 at 02:52 PM.
Reply With Quote
 
  #5 (permalink)
Membership Revoked
Szczecin
 
Futures Experience: Intermediate
Platform: Ninja, writing own now
 
Posts: 212 since Mar 2010
Thanks: 47 given, 102 received


JuneBug View Post
NinjaTrader is great for historical data and backtesting

Read before posting, you know.

When was the last time you saw OPTION prices in Ninja? Now read the title - he talks of OPTION trading strategies.

That will get expensive. Most data feeds dont carry enough istorical data to be orth it. I ahve a year of whole CME group, all options and spreads. Do not ask for the monthly price

Reply With Quote
The following user says Thank You to NetTecture for this post:
 
  #6 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,366 since Jun 2009
Thanks: 3,573 given, 3,982 received

You can try with MultiCharts and IB historical data for example.
But the main problem I found in backesting option strategies, is that as most of them usually have a large bid/ask spread, you never know at which price your order may be executed, or not.
And if you only use the worst option, or the best one, the results of your backtests will be very different.

Success requires no deodorant! (Sun Tzu)
Reply With Quote
 
  #7 (permalink)
Elite Member
London
 
Futures Experience: None
Platform: .
Favorite Futures: .
 
Posts: 162 since Apr 2011
Thanks: 46 given, 107 received


mrphr View Post
You may want to look at IQ/DTN Feed and/or maybe Kinetick for a more reliable and accurate historical data.

Sorry, no Kinetick as it only works on Ninja Trader, and I just forgot you can not trade Options on NT.

IQ/DTN + Multi Charts will to the job.

Reply With Quote
 
  #8 (permalink)
Elite Member
san francisco
 
Futures Experience: Beginner
Platform: Interactive Brokers
Favorite Futures: stocks & options
 
Maisie's Avatar
 
Posts: 146 since Dec 2011
Thanks: 99 given, 84 received

please let me know

i would love to know what you find. i'm working on a options daytrading strategy too and backtesting is just...tricky....because of the spread. those evil spreads can just kill your trades. next week i'm going to put orders between the midpoint and the bid and just trade the ones that fill and see how that goes. i wonder if you can get historical level 2 anywhere for the options so you can see what the spread was. how on earth i would have the time to analyze such data is beyond me though. lucky you to have programming experience.

Du sublime au ridicule, il n'ya qu'un pas. ~Napoleon Bonaparte
Reply With Quote
 
  #9 (permalink)
Membership Revoked
Szczecin
 
Futures Experience: Intermediate
Platform: Ninja, writing own now
 
Posts: 212 since Mar 2010
Thanks: 47 given, 102 received


Maisie View Post
i wonder if you can get historical level 2 anywhere for the options so you can see what the spread was. how on earth i would have the time to analyze such data is beyond me though. lucky you to have programming experience.

Nanex historical NxCore tapes. They have only "tapes" that they play during the day and the software records (and you can order old ones). The API gives you the real time data or plays back a tape file - very nice.

Anyhow, I get their tape for CME group - all 5 exchanges, all symbols. There is no "historical" there, recorded is recorded, no difference. But be careful what you ask for. 1 year and change and I track now around 850.000 symbols - many spreads, indices and... options.

Reply With Quote
 
  #10 (permalink)
Elite Member
Toronto, ON
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Stock indices, Futures, Forex, oil, precious metals
 
Posts: 3 since Sep 2011
Thanks: 1 given, 0 received


Thanks a lot to all you for your suggestions ... I will see which options works out the best for me. Since, I am just learning to trade options, I may not be able to make use of too costly data at this point but eventually I would like to do that.
Currently, I want to back-test the straddle and strangle strategies applied at the time of earnings report. These are the first ones I learned.

Reply With Quote

Reply



futures io > > > looking for historical data for back testing different options trading strategies

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Is there a way to get historical options data? Tarkus11 ThinkOrSwim Programming 7 April 18th, 2017 11:04 AM
Running 2 s back testing simulating optimization strategies and the same time fractal TradeStation 0 March 8th, 2012 07:13 AM
Back to the Future! Back testing multi time frame strategy trades occuring in future mrticks The Elite Circle 10 April 2nd, 2011 10:54 AM
Options Implied volatility historical data dimkdimk Traders Hideout 7 October 13th, 2010 08:38 AM
Historical Data and Strategies Accuracy nillz123 NinjaTrader Programming 4 September 20th, 2010 02:09 PM


All times are GMT -4. The time now is 08:47 PM.

Copyright © 2017 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
Page generated 2017-12-13 in 0.14 seconds with 37 queries on phoenix via your IP 54.160.245.121