anybody would like to collaborate on building an options backtest platform?

Discussion in 'Strategy Development' started by mizhael, Jan 14, 2011.

  1. anybody would like to collaborate on building an options backtest platform?

    we will focus not on fancy GUI etc. , instead we will focus on ease of use for backtest ... we build for our own use...

    anybody is interested in collaboration?

    thanks
     
  2. LeeD

    LeeD

    Hi Mizhael, what is the proposed structure of ownership for the platform? If it is going to be open sourse, then it's an easy choice between a few popular open source libraries. If not, who will keep the right to license or sell parts or the whole?

    I don't mean to cool your spirit but, as a firend says, when you start a business, first, get a contract with partners, second, get an accountant.
     
  3. How about co-ownership?

    At least from my end, I am not starting a business of selling option backtest software. I just want to be able to test option strategiesMaybe you already sensed out the opportunities therein?
     
  4. heech

    heech

    I question the value of this. Liquidity in individual strikes is very low, and there are few market participants at any time... Whenever you trade a strike in real life, the MM on the other side will definitely adjust their quoting to match.

    Best you can do is probably estimate IV and vol surface, calculate theoretical from underlying, and then add a spread.
     
  5. I am interested but i am not a programmer. However, i could do my part using freelancing sites. Also, why not making it for multimarket backtesting/optimization. I am playing FX.

    Sharing in cost/benefit is what i am offering.
     
  6. Who has the historical options data? That is 99% of the battle...
     
  7. you are questioning the value of systematic option trading strategies and the backtesting of systematic option trading strategies?
     

  8. When you play FX options, you play thru options on FX futures, right? I couldn't find options on FX spots or forwards, unless you play OTC...
     
  9. Bloomberg?
     
  10. So you don't have it yet?

    Options data is like recording the full depth of book in equities - the sheer amount of data within the equities space is probably in the 15-25TB/year range. Do you have the ability to use/store that much?

    FYI, Bloomberg only goes back 6months on some things and you'll hit your daily/monthly data caps quick.
     
    #10     Jan 16, 2011