backtesting FX options

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.....

 

Does nobody have an idea about this? Has anybody tried this or am i just asking the wrong question?

 

I doubt any such software does exist, options trade too infrequently to do such a thing.

 

I do not recall finding historical price data for options. I can not analyze if I have no data.

 

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?

 

what are you going to use for volatility ? doesn't seem that easy to me ...

 

something like the ATR.

 

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.

 

There's no direct relationship between the ATR and the implied volatility!

 

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!!