backtesting FX options

Discussion in 'Options' started by Nashequilibrium, Nov 13, 2007.

  1. I would like to know if there is software that will allow me to backtest my options strategy. I am looking to trade fx options with Saxobank. Thanks in advance guys.....
  2. Does nobody have an idea about this? Has anybody tried this or am i just asking the wrong question?
  3. cvds16


    I doubt any such software does exist, options trade too infrequently to do such a thing.
  4. I do not recall finding historical price data for options. I can not analyze if I have no data.
  5. So there is no option software that can use historic prices of fx rate to give option prices for a given strike price? This should be very possible to do, and by historic prices i do not mean option prices, i mean actual historic spot price data. It should be possible to get option values from historic spot data with all the technology available or do i have to build it myself?
  6. cvds16


    what are you going to use for volatility ? doesn't seem that easy to me ...
  7. something like the ATR.
  8. kms200


    I believe OptionVue's software has backtesting capabilities for FX options. I'm not 100% sure, but I would suggest checking out their site or giveing them a call.
  9. MTE


    There's no direct relationship between the ATR and the implied volatility!
  10. Thanks, it seems like they do, i am going to go through their tutorial manual, i hope it is not just historical data on option prices, but they seem pretty efficient and the software is relatively cheap as well. I hope it work!!
    #10     Nov 14, 2007