Delta Neutral Testing Question

Discussion in 'Options' started by John_Wensink, Jun 24, 2006.

  1. I was interested in backtesting a delta neutral strategy using SSF's and Futures.

    Either long the future and long a put or short the future and long a call.

    I wanted to set it up where positions are only taken on a quarterly basis and adjusted once certian parameters were violated.

    Can anyone point me in the right direction as far as a good software package?

  2. do you have B&S formula in Excel ? The rest should be very easy , especially if one of the legs is a spot.