Approaches and Data Limits in Web-Based Options Backtesting
Summary
The document surveys several possible ways to backtest equity options strategies online. It mentions a paid service with dedicated backtesting, a brokerage platform with some backtesting features, and a payoff calculator that can be used with manually entered historical option values. These are pointers to tools, not a comparison based on documented tests.
One proposed workaround is to simulate a European call using a Black–Scholes value, then evaluate its expiration payoff against the underlying price and strike. The response notes that historical option prices may be difficult to obtain for free, and a theoretical model price may not correspond to an option that was actually tradable. The suggestions provide no evidence about accuracy, data quality, costs, or performance. Platform features are described briefly, with uncertainty about their quality, so users would need to check whether the available historical prices and modeling assumptions fit their strategy.
Key ideas
- A theoretical European call price can serve as a backtesting proxy when historical option quotes are unavailable.
- A modeled option may not match a contract that was actually available to trade.
- The document names several web or brokerage tools but does not compare their accuracy.
- Manual historical option values can be entered into a payoff calculator.
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Full text
# Web-based Backtesting for Options Traders # Web-based Backtesting for Options Traders Is there a good web-based option for back-testing of equity options trading strategies. ## Answer by Gruber (score 2) https://quant.stackexchange.com/a/29540 GetVolatility features a pretty robust backtest capability. But be aware, it's paid and somehow expensive, since it focus on professional traders. ## Answer by jake_r (score 1) https://quant.stackexchange.com/a/29553 See this workaround suggestion for Quantopian: > As of now Quantopian only offers equity trading. However, I think it would be fairly easy to hack something together for the sake of backtesting. For simplicity, say it's a European call, I guess you could calculate the Black-Scholes price and buy at time i. Then down the line at e.g. time i+90 (days) you could see if you would get a positive payoff, i.e. max(S-K, 0) > 0 and in that case submit an order. Actually Pandas can be used to fetch options prices from Yahoo! Finance (see http://python4econ.blogspot.hk/2013/02/building-stock-options-historical.html), but I don't think it's possible to get historical option prices anywhere for free. Thus, you might have to stick with your Black-Scholes price (even though the option you calculate might not be available in real life). ## Answer by baerrus (score 0) https://quant.stackexchange.com/a/28450 Thinkorswim brokerage platform has some backtesting capability. Not sure how good it is. ## Answer by SheldoQ (score 0) https://quant.stackexchange.com/a/29718 Optionsprofitcalculator primarily lets users get an overview of option position prices in regard to underlying price at expiration. But you can also fiddle around with certain fields if you know the backdated options values. You just have to expand "manual entry options."
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