Hello, I'm evaluating Amibroker for backtesting options strategies. Can anybody please point me to a simple example on how this can be done? Their support told me that they can't provide it right now. Also, please don't try to sell me your consulting, I'm a programmer myself, it's just not obvious on how I can select option chain and strike in amibroker's API. I found some Indian code, where it's done like this: _N( Symbol1= ParamStr("Strike1", "NIFTY14MAR6000CE") ); Obviously, options symbol will be different for SPY/SPX/etc, expiration and strike as well. Regards, Stepan.
How valuable and accurate do you find backtesting options strategies? I believe that looking at old bid/ask spreads makes it difficult to make assumptions on where and when you can find liquidity. And, the bigger your AUM, the larger the transactions size and the more uncertainty.
Wanted to add: I can probably connect external options pricer into amibroker...did anybody do something like this before?
I agree, but what price do you assume? Do you use the middle point of the NBBO or worst case being the offer for buy orders and the bid for sell orders?
Your best bet for backtesting option strategies is to open an account with TOSwim and use their ticker by ticker on-demand feature. You would load ticker 1, and use the FF/rew button and do what-if analysis.. then you move on to the next ticker. As far as avoiding consultants because you are a programmer, I get it. I loathe hiring them as well as long as I can do the same within a reasonable amount of time and expense. That is the reason why I must’ve hired my Amibroker consultant in Bangalore for only 3 hours this year. That being said, you will find that backtesting option systems is pretty complicated for there are multiple dimensions that is very hard to capture, even in the above system of TOS which is tick by tick. Lastly if you think being a programmer arms you with “street cred” to options simulations, do so at your own financial peril. A market wizard once said “Everybody gets what they want out of the markets” . Vast chasm between clicking a buy button and being a good options trader. I can tell you one thing… selling options with vix at 12 will win 80% of the time… but you will most likely give it back… you know how I know? Been trading options for 20 years – hundreds of thousands of contracts and I have given it back in every way possible. You are competing with the SIG’s/Virtu’s of the world … look at their help wanteds—they hire MBA’s in finance AND hardcore programmers. Also check out Opscan by optionvue.
bummer, this thread has disappointed me. Whenever i see someone post about options backtesting i get excited and join the thread to find once again this technology hasn't reached the consumer yet. Also, if Im not entering and exiting a trade at a high frequency then theres no reason i shouldn't be able to trade that strategy as long as im not taking up more than 10% of the OI...right? bump for another sad thread with no condition based entry and exit options backtesting... happy new years all ps...i found an amazing tutorial for an options backtester last year.. the company was in pre release and i watched a video of it... it was everything you would want. stock based or option based Conditional entry... then again stock or option based exit... ie greeks. you could specify what prices the spreads would get bid/ask/mid... it would also graph a projection of returns based on each type of fill price..... pretty much nailed it... I was awaiting their release and the company was purchased by a hedge fund and sent an email out saying thanks for the support but they would no longer be offering the product. Pretty much all its internet foot print was removed... sad days this to me means there is obviously some advantage to options backtesting^^^^
Try this Webinar next week. May CML will work well for you. https://www.lightspeed.com/webinar/discover-scientific-option-trading/ Bob