Options Backtesting Software

Discussion in 'Options' started by Luciferius, Jan 5, 2013.

  1. ironchef


    After several years trading options I came to the same conclusion - too many smart people in this space.:(
    Both are very valuable perspectives. Thanks.

    Aquarians, when you did your fundamental modeling, did you use the basic BSM model or did you have to use a more sophisticated higher level mathematical model? Also, my biggest problem is managing risk. Quite often I took profits too soon and missed out on big run up but other times, waited too long and saw my significant gains turned into significant losses. It was extremely frustrating.

    This thread is extremely helpful.

    #21     Oct 8, 2016
    turco_directo likes this.
  2. IMHO: Neither question is specific enough for a Boolean response. My thinking, goes something like this...:
    Even IFF one finds a trading strategy that is profitable and worthwhile for them, there exists a substantial amount of "noise" that could prove detrimental. So, for me, If something is working, I must dig to understand why, as more often than not, the basis for the success may NOT be what you think. This can be your worst nightmare, as you are likely to increase your trading size at wrong time and for wrong reason. The opposite is also true, where failure must also be understood, as to why! I have also pulled the plug early, when the strategy was actually just running thru a typical rough patch.
    Also, we all must be logically aware that we are fodder for someone else's cannon, and eventually, we will be come the "slower hiker" that the bear catches. Being aware that nothing remains constant (edges are exploited, and therefore diminish), should always be kept in mind.
    #22     Oct 8, 2016
  3. Easy_Test


    I built back test tool using Python, and VBA. It's really easy to use, and when you finish running the back test the data is in Excel so you can review every single trade to make sure the test went perfectly. I have been using it with my SPX data that goes back to 1996. If someone has stock data to test earnings trades, I'm up for a trade.

    #23     Apr 6, 2018
  4. optquant


    #24     Nov 26, 2018
  5. hi .. can anyone suggest a way to create a way or a source of data to create a time series graph of an option over let's say past 1-2 months? I looked into data sources such as orat, TD Ameritrade API and both of them involve fetching snapshot data. This means I have to save it locally every hour, ticker-by-ticker. This also means I would'nt be able to miss any day for there would be null values. An api that enable trader to filter by past x weeks data by timestamp would solve it for one could just iterate through the timestamps and build the "chart" on the fly. Any ideas would be appreciated. I looked into ivol and CBOE and they are very expensive. Thanks.
    #25     Nov 28, 2018
  6. If you have TOS, why not just select the option you wish to view with the aggregation and time span you wish? Guessing you mean something other than this?

    If you want to produce independently (do it yourself), then you will need the data. I get mine from CBOE Livevol, but you are correct, it is not free. --
    #26     Nov 28, 2018
  7. ironchef


    Just trying to help. I can get this from my brokerage trading platform. Is this what you are looking for?

    #27     Nov 28, 2018
  8. Thanks guys.:)
    I have to investigate liveVol and even the 2 graphs you guys pasted. If the data in the grpahs are downloadable in a csv, then that might work-- put it in a dataframe in python ,etc . I kinda want to do more stuff with it such as compare it with indicators in the underlying and create backtests off of it.
    #28     Nov 28, 2018