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looking for historical data for back testing different options trading strategies


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looking for historical data for back testing different options trading strategies

  #1 (permalink)
 samthetrader 
Toronto, ON
 
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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

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  #3 (permalink)
JuneBug
Clearwater, Florida USA
 
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NinjaTrader is great for historical data and backtesting

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  #4 (permalink)
 mrphr 
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You may want to look at IQ/DTN Feed and/or maybe Kinetick for a more reliable and accurate historical data.

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  #5 (permalink)
 NetTecture 
Szczecin
 
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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

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 sam028 
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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.

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  #7 (permalink)
 mrphr 
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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.

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  #8 (permalink)
 
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 Maisie 
san francisco
 
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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.

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  #9 (permalink)
 NetTecture 
Szczecin
 
Experience: Intermediate
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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.

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  #10 (permalink)
 samthetrader 
Toronto, ON
 
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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.

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Last Updated on March 11, 2012


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