Diagnosing Missing Futures Data in an Options Backtest
Summary
A discussion about an options strategy notebook describes a backtest that produced zero daily profit and loss values and took a long time to load historical data. The reported cause was missing underlying futures data: the shared activity data package apparently contained options data only, so the futures series had to be downloaded separately.
The thread also clarifies that the Elite edition's research and backtesting modules use its own database directory rather than the database used by the open-source version. This is useful when checking data availability and database configuration, though the exchange is brief and does not provide a detailed reproduction, code fix, or performance evidence.
Key ideas
- An options strategy backtest may need the underlying futures data as well as option records.
- Community data packages may include options data without the corresponding futures series.
- Elite edition research tools use their own database rather than the open-source edition's database.
- The discussion reports a diagnosis but gives little detail about the final resolution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.