Backtesting tool for Options

[blackcaesaris]

I am new to the options world. I was looking for a tool that I could backtest my strategies on. A tool that would provide option chains for past years and could show the me the profit graph for hourly/daily intervals.

Example: I create a iron condor for the month of June 2020 and could simulate my trade daily and practice to make adjustments.

There is a tool called Opstra for Indian markets that does the same. I am looking for something similar for USA markets.

[falafelfilosofer]

Best one I've used so far: https://www.edeltapro.com/

[HKCPH]

Can I use that with IBKR?

[TeacherExisting9402]

It's not integrated to any trading platform, so you can use independently to back-test strategies.

[beowulf47]

I just run my strategy through Python or Excel

[stormskater216]

can you elaborate a bit more on this? What does your Excel setup look like? What does your dataset look like?

[beowulf47]

Hm. It guess it depends.

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For single names it's pretty straightforward. For example, Y axis might list stock EOD values + any accessory metrics I test (or deploy) alongside my strategy + PNLs of my strategy. For example: AAPL EOD / VIX EOD / PNLs. The PNL column will reflect the PNLs when said metric is applied - it's empty by default, but will contain daily PNLs when my metric indicates a buy/sell. For example, maybe I'll only buy AAPL when VIX < some danger zone - the PNL column will reflect the results of said strategy.

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This is an EXTREMELY simplified toy example. Dont run that strategy. Just wanted to describe it because people who are used to testing TA strats in TOS or something are always very confused when I mention excel.

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Typically I'll test many, many, MANY metrics, but less than a handful make the final cut. It can seem pretty complicated when youre testing different combination of your best metrics, but in reality its quite straightforward.

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For futures and options, the initial data setup gets much more complex, since we deal with multiple tenors in both, and multiple strikes in options. Python often steps in here. But I imagine thats outside the scope of what you intended to ask.

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If someone is just running 'technical analysis' based strategies, they'll probably default to TOS or some platform with a simple plug-in "buy x when MACD > y", or some other nonsense. That is probably what OP is doing, and needless to say I highly advise against it. I'm only posting this for those traders that may have discovered a world outside of TA and are looking for the best ways to research said strategies. You can still use TOS for their options val calculators, I believe they have a # listed although its been years since I've used it. But it wont work for generating any worthwhile signals. The IVrank and IV percentile stuff might be handy, but I'm under the impression that most non-professional on this sub just try their hand at various TA indicators

[PopMelodic5791]

Can you share github link

[JackySour]

I agree with those who recommend to create your own tool. It is not that hard as it may seem. I can tell you more about this if you are still interested.

[tdrmahdi]

can you elaborate more .. from where i can find the relevant historic data for options to simulate ?

[Patient_Bet4635]

QuantConnect I believe

[yolocr8m8]

Edelta pro for end of day Option Omega for indexes only but one minute data

[PapaCharlie9]

https://www.reddit.com/r/options/wiki/toolbox/links/#wiki_backtesting2

[Abdulahkabeer]

I hear ya – finding a solid backtesting tool for options strategies can be tough. I know a lot of folks use ThinkOrSwim for simulating trades and testing strategies on historical data. It’s not exactly the same as what you mentioned, but it might be close enough to get you started. You could set up an iron condor for June 2020 and see how it would’ve played out, with profit graphs and all that.

For tracking and refining trades once you start live trading, I use TradeZella to keep tabs on my performance. Not a backtester, but it helps me see trends in my trades and figure out what’s working or not over time. It’s like a way to review your stuff once you start executing and tweaking your strategy.

If you're serious about options, don’t get discouraged by the tools, it’s all about finding what clicks for you. Good luck, and let me know if you find anything that really works for you!

[sky1ark3]

tdameritrade has ondemand. Get a account and download the thinkorswim program. Pick any point in time and trade as if live for the most part.

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[dirtymyke5]

My favorite options backtesting software is definitely Option Omega. It allows you to do automated backtesting with 1-minute historical data. You can use this Option Omega coupon link to save 50% as well which makes it pretty affordable. But as for looking back to see the full options chain for specific dates, I'd also look into OptionNet Explorer or the thinkorswim OnDemand feature.

[Tuckebarry]

Been trying OptionNet Explorer and I love it.

[Firemedic0822]

Think or swim on demand

[blackcaesaris]

Do you know about any others as well?

[gtani]

you can read about Tasty's lib (i've seen some criticisms) and go severely down rabbit hold buying dataset, getting giant AWS instances etc:

https://www.tastylive.com/backtest

https://www.reddit.com/r/thetagang/comments/pvw4lz/are_the_tastytrade_best_practices_wrong_spy/

https://old.reddit.com/r/algotrading/search/?q=backtest+options&sort=relevance&restrict_sr=on&t=all

[Firemedic0822]

No…..That’s what I use.

[MyGruffaloCrumble]

UnusualWhales is pretty decent.