Options backtesting software

[Luciferius]

Hello,

I am looking for a high quality options backtesting software that is able to backtest not only P/L, but also Greeks and draw historical options payoff charts.

I am currently using PaperMoney from ThinkOrSwim which is ok, but one can only backtest P/L in there and not Greeks. I know that LiveMoney is able to do that, but I am not an American and TD Ameritrade doesn't open live accounts for Europeans.

Any advice or shared experience is appreciated.

Thanks.

Luci

 

[ast4]

The most reasonable solution I've come across for this is to actually purchase options data. The granularity of the data will obviously depend on your trading frequency, so it might be expensive. One issue about data though (and this is with anyone), is that none of them actually compute the greeks correctly so you'll have to clean that up. Since a lot of options strategies are cross sectional, you could probably store it in a relational DB or just store everything in flat CSV files.

From there, the process I usually go through is build a proof of concept in excel then move onto a vectorized backtest using either R or python/pandas (whatever I'm feeling like for that day), then move into an event driven backtest if all that is looking promising. IMO this is the only way to really do it.