Backtesting option strategies with TradeStation

Discussion in 'Strategy Building' started by MoneyBunny, Jun 27, 2006.

  1. Greetings!

    This is my first post, so I'll give you a bit of background.
    I'm an options trader, typically working on a swing trade/position
    trade sort of time frame. (I typically hold trades 1-3 weeks.)
    I have been thinking of switching to TradeStation/OptionStation
    because I would dearly love to have full programmatic control
    over

    a) scanning for options positions
    b) backtesting option trading strategies

    TradeStation tries very hard to make you believe that they
    have such capabilities; see, for example,

    http://www.tradestation.com/optionstationSuite/OptionStationSuite_overview.shtm

    (notably the sublinks for "Option Chain Analysis" and "Position Analysis")

    They claim to have hundreds of built-in indicators, such as
    "Put Call Ratio," "Percent to Double," etc., all of which are written
    in EasyLanguage and thus presumably modifiable for my own nefarious
    purposes. All this is fine and dandy, and exactly the sort of thing
    I'm looking for, EXCEPT for one big pile of caveats:

    Their "Easy Language Getting Started Guide" and "Easy Language
    Reference Guide" (both available as downloadable PDFs on their Web
    site) do NOT document these features! Indeed, these documents have
    not been updated since 2002, and only concern TradeStation version
    6.0, not 8.1. And even some of the functions that were mentioned
    back in 2002 have not yet been documented, let alone all the new
    functionality added for OptionStation. Worst of all, while the
    existing documentation is well written, there is not a single
    example - in these documents or anywhere else on their Web site
    that I could find - of how to backtest an option strategy.

    Here is pseudocode for a (relatively simple) entry rule of
    the type of strategy I would like to backtest:

    if Close CrossesAbove (50-day SMA) then
    Buy 10 calls one strike InTheMoney with at least 60
    and no more than 90 days to expiration
    end

    Can anyone with OptionStation experience confirm whether

    a) the EasyLanguage functions that support OptionStation have
    actually been documented anywhere?

    b) it is actually possible to backtest option strategies,
    and if so, please point me to a published example, either
    on their own Web site or perhaps in one of the trading
    magazines?

    Unfortunately, the people at TradeStation I have corresponded
    with are sales bozos who clearly don't know their own product
    very well (or maybe they DO know and just don't want to admit
    flat out that they haven't updated their documenation in FOUR
    YEARS!!). So I would be grateful for advice from someone with
    more knowledge in this area.

    And if there is any other package out there that can
    actually backtest _option_ strategies, I'd love to hear about
    it too (along with an explanation of where it expects to get
    its options data feed). Thank you kindly for your help!
     
  2. hello all,

    i have also been looking for cost effective ways to backtest some option trading strategies. primarily interested in backtesting plain speculative buying calls vs positive theta calendar spreads and vertical put spreads (all bullish strategies).

    I am currently looking at OptionVue backtester and Optionetics platinum as possible solutions; but dont like that fact that both have a high startup/recurring costs (i wish Amibroker comes up with option backtesting software..). But if that is the only way to go i will use them for a while i guess.. does anyone have experience with either one or both; and if so can you post your experiences using them or suggest one over the other.

    BTW i have already used up my 15 day trial with Optionetics platinum about a year ago; while i was starting out with options and i thought it was fine.. but what do i know; i was just getting started with options at that time and everything looked good :)

    thanks
    gariki