We need to compile a list of the best backtesting/framework platform: Stocks: 1. This platform should be able to pull atleast 20+ years of data down to trade/quote resolution to maximize granularity. 2. Should be able to construct a universe and access delisted stocks and it's data. 3. Model slippage, fees, stock splits and dividends. 4. Calculate Sharpe,Beta, Sortino and more on daily/monthly resolution to be able to chart it. 5. Make your own charts unrelated to above stats. 6. Be able to see detail information on not only the portfolio level but also on trade level such as profit factor,sharpe,sortino,max profit and loss and volatility all at trade level. 7. Calculate minimum capital required for the strategy to work and max capacity of the strategy without hindering returns. The nearest platforms I could find that could do all of this was QuantConnect and MultiCharts. However, they both have set backs. Quantconnect has numbers 1,2,3,4( The beta calculation is wrong and resolutions could be lower),5 and of 7 it's only able to calculate strategy capacity. MultiCharts a few things are harder, it can do 1, 2 is possible but much harder to do, you would need to import the delisted stocks and it hard to construct a universe of 500+ stocks on MC.However 3,4,5,6 is possible and MC only calculates the min capital required. What other platforms do you that fits some or hopefully all of these criteria? Please also provide a comprehensive checklist for Options,Futures, and FX that you would want the framework to be able to provide.
ORATS backtests US equity options including SPX and VIX: We backtest back to 2007 on near end of day data (EOD markets are notoriously unreliable). Greeks are used in backtesting and are based on smoothed IV levels. There are some delisted We calculate slippage as traveling 75% of the bid ask spread. Commissions are .01 per contract. Stock splits are avoided by exiting the day before and entering the day after. Dividends are considered by adjusting the stock price. Sharpe and Sortino are calculated yearly, no beta or charting. You can make your own charts with the downloadable data. We have trade level min/max profit, monthly, yearly, and drawdown. Capital required is calculated as well as average capital needed. Check it out at https://dashboard.orats.com and get the discount in my signature. We are releasing a table of pre-canned backtests that considers the current market environment by filtering for RSI, VIX, IV, SMA and Slope (skew) levels.