System for backtesting

Discussion in 'Options' started by sumer, Apr 8, 2005.

  1. qazmax

    qazmax

    You set the interest rate
    You set the dividend amount and date
    You set your personal vol or tell it to use the IV
    You set the widths of your markets
    You set the how your new quote should look after you trade your mark.
    Glorified calculator.... there are different prices for differrent products. Most just show your net position, some graphing, the greeks, allow for fake positions, etc...

    :)
     
    #21     Apr 21, 2005
  2. Cajun5

    Cajun5

    Platinum past data is usually good.

    But if the stock splits, Platinum does not split adjust the past option data.

    You have to split adjust the trade and that is likely the source of the "bad" data if you dont split adjust the trade in backtesting.

    Do you have a specific stock with bad past option data in Platinum ??
     
    #22     Jun 27, 2005
  3. JetFuel

    JetFuel

    Anybody used OptionVue's backtrader to backtest ideas?

    It seems to be the only package that has historical intraday option pricing... every 30 minutes since January 2001
     
    #23     Jun 27, 2005
  4. Prevail

    Prevail Guest

    I've heard good things about it.
     
    #24     Jun 27, 2005