Hello folks, I use tos backtesting quite a bit but recently been hitting bad data issues; like N/A values for even the ATM straddle prices in backtester from time to time; so looking to what else is there out there to test custom option trading strategies. I know optionvue is one option. Pinging to see what else is there. Thanks! -gariki
mjl13, Can you backtest option strategies with Ninjatrader? Looking at their website http://ninjatrader.com/Simulate, it seems its only for futures. Have you been backtesting option strategies on Ninja?
Can you clarify what you mean by "... in backtester"? Are you writing your own ThinkScripts for your backtesting? Are you using ThinkBack, OnDemand, or normal mode? -- I have some experience with TOS and don't recall that issue, unless dealing with illiquid products. I do have OptionVue. I had Option Net Explorer a couple years ago which was OK for manual backtesting.
Not thinkscripts (i use Amibroker to model; and dont really care to convert). I mostly use thinkBack. Here is a sample; see the N/A prices around the ATM call and put; if this happens in the middle of a backtest, you pretty much have to redo that trade after restarting the application.
FYI: In the past, I used TOS ThinkBack, OnDemand, and normal mode using ThinkScripts in search of usable (reliable) backtesting of options. I found that the quality and reliability of the information was varying, making it very frustrating to use, as I would put a good deal of effort then find the data would morph to something unusable. For example, currently (and for the last few years, OnDemand option pricing via the TOS GUI may not even allow visibility to near the money strikes (most of the time, only set of near the money were visible). ThinkBack is a quick and dirty tool for simple tests, but always had shortcomings that made it impractical for my normal backtesing needs. -- For ThinkScript, the threshold for "too complex" from TOS seems to be a moving target, so if you have something working today, the next update of TOS may not function at all. My observations for the last few months (an eternity in TOS time) is that RTD functionality in normal mode as well as in OnDemand has remained functional (except on weekends, OnDemand may cease to work for intervals, but is fairly easy to detect!). Your screen grab implies that the issue is not so much with an N/A price, but that the expiration, strike, and everything for that OPRA is producing N/A! -- I have not observed this issue, but don't use ThinkBack much due to other issues with it. -- Unclear how reliable the price is from ThinkBack since it is only end of day values, and the bid/ask may change from market close until the values used by ThinkBack are captured (I do not think they clarify or guarantee this).
Crap. Sorry about this. I just glanced at your post on my phone and thought you were referencing equities. No, Ninjatrader does not backtest options. Sorry for the confusion.