how to backtest this option idea?

Discussion in 'Trading' started by elite1974, Sep 9, 2023.

  1. elite1974

    elite1974

    Simple option idea.

    Write 1 0DTE SPX straddle closest to the money, at market open and then every 30 minutes thereafter until 30 minutes before market close. For a total of 13 straddles.

    Then take assignment or expiration of all 13 straddles.

    How do I see the daily results of how this performed over the last year?
    Or how much to pay someone to generate this data correctly?
     
  2. ETJ

    ETJ

    Talk to Matt at ORATS.
     
  3. I can write a test framework program for you that uses simulated stock prices (ie. so called GBM data) in a Monte Carlo simulation.
    The advantage of this solution is that you can run it many times using different data, whereas with real stock data you test just one of the many possible outcomes...
    The program can be extended / changed / supported as you wish.
    You of course get also the source code,
    Drop me a PM if interested.
     
    Last edited: Sep 9, 2023
  4. Analyzing the daily results of such a trading strategy over the course of a year would require substantial data collection and analysis like: manually tracking your strategy each day or using trading software. It is important to gather data consistently and accurately to evaluate the performance of your trading strategy over time.
     
  5. newwurldmn

    newwurldmn

    A proper chatgpt response
     
  6. probably going to be difficult since you are dealing with intraday data.

    You probably will need to figure out some custom code to do this properly.
     
  7. cesfx

    cesfx

    Backtesting it in my imagination... it feels like it could turn very ugly on a high volatility day.
     
    Windlesham1 likes this.
  8. newwurldmn

    newwurldmn

    On one of those 3percent days where you are selling options for 4 points watching them move 50
     
    cesfx likes this.
  9. Sergio123

    Sergio123

    I have a hypotheses that high volatility in the mornings ends up suppressing after 2pm-3pm. I think it's just animal spirits and that won't change.

    Except on FOMC days when it is the opposite.

    I think a mechanical strategy would work on most days but then you would need to account for exceptions.
     
  10. M.W.

    M.W.

    After you pissed on the GBM model just a day ago? That's rich. Do you even realize that stock price return terminal (as in around option expiries) distributions are not log normally distributed most of the time? Complete nonsense to base back-tests on data that was derived through GBM

     
    #10     Sep 9, 2023