Recent content by TSL trader

IV based models do not cut it. The IV limitations is exactly why we used real BID/ASK data for the backtest, no models. We assumed buying on the ASK and selling on the BID. A high average trade will cover any realistic slippage. Sounds like those algos are just following the moving spread with...

Agree. I see no service providers that backtest the way options strategies need to be backtested to gather a true expectation. These packages do not design a options trading strategy but only "go back in time" to see how the options combination moves over time, that's not a backtest. Once you...

Relative to true options backtesters: We are suprised that there are not more true options backtesters available as it is a important tool for trading sytem development. A time decay or a underlying movement test of a single isolated options combination or position is NOT a backtest of a...