Hi What software is available that has intraday options backtesting data? I've tried optionnet explorer but find it a bit clunky to get all the Greeks data. I'd also like to get snapshots on the bid asks at specific intervals. ONE only provides the mid. Also, I'd like to download the datasets for a specific date, rather than manually enter the Greeks. I have my own formulas that look at various factors. Any suggestions on what might have what I'm looking for? What are the veterans using? Thanks
You may wish to check out CBOE LiveVol. I purchased their 60-sec data for SPX, but hear they also have software for those that prefer not to build from scratch. I just observed this, but check out their other products as well. "http://www.livevol.com/options-strategy-backtester"
Capital Market Laboratories is a new sponsor to ET. I do not think their backtester is intraday, but Ophir Gottlieb might be able to make a suggestion.
We have an option back-tester. it doe snot use intra-day data, but it was the winner of the best trading ideas platform in North America for 2018. Here you go: In a few mouse clicks and 30 seconds, empirically identify patterns that have repeatedly turned a profit over and over again, then see those results with no room for confusion or doubt. Here is a video demonstration of the CMLviz Option Back-tester that will change your view of what an ‘options expert’ is and then shape your view of trading for the better, forever. The video is in the middle of the page: http://bit.ly/elite_options
WOW. Hugely impressive. This amounts to an in-office personal advisor. Just watching the videos should be instructive. (You have tapped and bottled a Best-Of methods set, IMO. *Very* nice.) Way-big . ("Way-big ." Huh! I am a picky bastard, but this is the second time this week that I've written that. And I'll bet I haven't written that in a few years.... Yow.) (Given my somewhat snarky "1-lots." answer above, though -- I'd offer a caution: entry and exit are really key in the so-much-less liquid options-on-equities markets. Hence, my "1-lots" answer was quite genuine: you can easily burn realized profit by struggling to get into the most attractive of positions/spreads, because the other side failed to come to [your] party. By way of constructive criticism, I'd offer that CML might want to aim in that direction. It would be a *boatload* of work, and a boatload of data[!!!], but would so-very-much add to usability of current proffered entries, *and* add a bunch more that were made good by virtue of actually having a better market than the BID/ASK might've advertised. AND you could throw "microstructure" into your materials, and give academics around the globe some big nerdy hard-ons. {Just sayin'....})
I appreciate the feedback, Tom. On word of caution on one lots is that a ticket fee on commission can really impact returns. We use a one lot i our demonstrations assuming all traders have their own size preferences. Approximately 85% of our members trade 5 lots or larger, according to a poll we ran a few months ago. We also have a warning system in place for back-tests that rely on illiquid options.
Options pricing is quite variable intraday. This is especially true for early morning pricing and end of day pricing. How are you accounting for your percentages without this data? Win rates and roi are very deceiving, especially in a bull market . Likewise a stock option price can have very high peaks and valleys intraday. Again unless a Trader understands the full extent of the movement, they are more likely to succumb to emotion and exits prematurely. This is why intraday price movement is so important in my opinion. Looking forward to hearing your comments
This is actually why I think it is so unimportant. Test an idea or hypothesis, use calm, methodical rice checks, like EOD, and learn from those pattern. Also, our back-tester has stops and limits, and those can be set in real life for the entire trading day and even GTC.