Best Options Strategy Backtesting Platform to test complex options trading rules?

Discussion in 'Trading Software' started by abdibile, Apr 24, 2011.

  1. abdibile

    abdibile

    I am looking for a platform that allows me to backtest options strategies dynamically adjusted based on certian (partly complex) rules.

    As the data (e.g. lots of strikes, months and the greeks) and rulesets are different from Stock/Futures Trading a platform like tradestation can not be used.

    I am looking to acomplish rules like e.g.:

    Buy a 3 M Call that costs $30
    Sell a 1 M Put that compensates theta of the bought call with the overall position having the lowest possible delta and gamma of less than x
    As soon as the gamma of this position reaches an inflection point adjust by relacing the put wiht another put that minimizes Delta and gamma or if gamma reaches a local maximum buy another put that reduces Vega by x% with adding the lowes possible gamma

    Does nayone know of a platform capable of backtesting such systems?

    Or what would you suggest to do? Build something in Excel?

    Thanks a lot for your input!
     
  2. Silexx Obsidian has back testing abilities in a program called "Timebend" We have clients on Obsidian, but I have not seen Timebend in action. This is a premium platform for professional traders.

    Send me a note if you need more information.
     
  3. if your backtesting is really complicated, wouldn't it be better to purchase option data and program it yourself in excel or matlab or another software package. this way you can modify your back test and ensure you get all your components right.
     
  4. abdibile

    abdibile

    I have ben thinking of doing it in Excel (or even in Matlab) but after having 600,000 lines of option prices in Excel and trying to selsct some using vlookup my computer crashed...

    Does anyone have a hint for me how to learn how to do backtests in Excel more efficiently or even learn to do it in Matlab?

    Are there good books out there exactly on this topic?

    Thanks!