I want to backtest for LEAPS issued back in 2018 and since expired or exercised? I want to do this to get as sense of the possible P/L for shorting a far OTM call from issuance to expiration date. UVXY is among the underlyings I'm interested in. Anyone do this? Site, software, service?
Free “thinkBack” feature in ToS for non-automated backtests (entering various trades for past dates and viewing P&L, as well as supporting closing, rolling, and adjusting positions) . I use it all the time.
I cant figure out how to use this. I typed in UVXY and set a 2018 Sept P/L date assuming that the Jan 2021 LEAP was open then and has since closed. But nothing happens.
UVXY was reverse split 100:1 since then, old UVXY options replaced with new ones, and practically all backtesting platforms have problems with such data, often mixing old options with new options, and/or unable to properly scale the past underlying price to pre-split options, etc. The best I could do is select January 2 2018 as the date, then selected a $10-strike call expiring January 18 2019. It does show P&L, though it seems shifted by $400: VXX with 30C option seems more accurate: (you have to select some reasonable date range in the bottom/P&L chart as well)
Our backtester at wheel.orats.com can be set up as below. For splits, we exit the position the day before and re-enter the day after automatically. It takes a few seconds to set up. Also, we can stagger our trades and simulate entering the position every x number of days, here Entry Days = 30: Here's the backtest link. https://wheel.orats.com/backtest/18WaknoHyANXfaFU2N2E2Ngjm57iWqVGVL You can view this with a trial and get a reduced rate to subscribe using the link in the signature below. Once you find a backtest strategy you like, our scanner can find the trades that meet your criteria ie as to days to expiry, delta, price or whatever. Message me with any questions.