Options Backtesting algo

Discussion in 'Options' started by dimkdimk, Sep 25, 2011.

  1. dimkdimk


    Hi All

    I need an advise.

    I need a platform or software where I can test my ( really simple ) options strategy. I have been using many types of automated trading software before. However, all of them are not Options friendly. What I mean by that is that my strategy is going back for years and trades at the money options at that point in time. So I need all options chains back in time.
    However, all backtesting packages that I have been using so far requires me to add all instruments to my instrument lists, or add all instruments that I want to test. Imagine that for 10 expirations for 12 month for 10 years.

    So I was wondering if there is any service provider or software that would allow me to track performance of a portfolio of options in backtesting mode.

    Again, nothing cool. no real-time trading required. It is just to make sure that what I want is actually working.

    Real-time trading I can implement later with the TradeLink, or even raw InteractiveBrokers API, etc.

    Thank you
  2. check out thinkorswim, they offer thinkback which let's you enter your orders "back in time". Another provider is platinum. If you want a more "automated" backtest you'll probably have to get quotes (which usually isn't free) and write it yourself.
  3. dimkdimk


    Thank you Engine.
    I have ThinkOrSwim account, however it is rather manual trading. I need more automated approach. Moreover, their OnDemand system is not working now and I don't know when they are going to fix it.

    I probably could have downloaded quotes myself but I would prefer to not to invent the wheel :)

    I have learned that eSignal have some backtesting capabilities as well. But I am not sure if it will meet my expectations.