backtesting options strategy


Junior member
I was wondering if there is a good coding platform with accurate historical data for options on EUR futures and S&P futures.

I use IB for trading, but their API is difficult to use and does not have supporting functionality to signal moving averages, local min/max and so on.

I am not looking for a system that would backtest a straddle or iron condor. I need to be able to code buying/selling vertical spreads, backspreads when certain events happen, so definetly, coding is involved.

I was looking at TradeStation, but they dont have options histroical data for backtesting.

Any help?


Junior member

i haven't come across any good historical options or futures data. what i've done in the past that works pretty well is following:

1.) download historical data for underlying instrument (usually more accessible)
2.) calculate theoretical option and futures prices from a defined set of parameters
3.) simulate the trade using the theoretical prices
4.) summarize the results
5.) adjust the parameters used to calculate theoretical prices (e.g. increase volatility by 10%)
6.) repeat steps 3-5

of course it's not ideal, but it has the benefit of mapping out how expensive the derivative would have to be before the trade becomes unprofitable. MatLab and R are useful for this sort of thing.

good luck :)
AdBlock Detected

We get it, advertisements are annoying!

But it's thanks to our sponsors that access to Trade2Win remains free for all. By viewing our ads you help us pay our bills, so please support the site and disable your AdBlocker.

I've Disabled AdBlock    No Thanks