backtesting options strategy

sambazone

Junior member
27 0
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?
 

holmes16

Junior member
32 2
hi,

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 :)
 
 
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