TradeStation Performance ReportI am in the midst of a trial of the TradeStation platform.  It is a wonderful system that allows you to quickly develop your own trading strategies, and then backtest them against historical data.  TradeStation will then create a Performance Report that shows you everything from your win/loss ratio to your Equity performance graph (showing how your initial capital grows/shrinks over time).

It seemed perfect for what I needed — except.  Except they don’t have historical options data.  They do have six months worth of historical options intraday data for NON-expired options.  But it doesn’t do you much good if you’re trying to backtest an option trading strategy based in front-month contracts only.


So, I am cobbling together a solution that is full of hacks and workarounds.  And I am discovering the beauty of using VBA macros in Excel in order to sew said hacks together.  John Walkenbach’s book at right is helping me do it.

I never really appreciated VBA.  Sure, I tried it in college during my days in the New Media Lab, and I knew many people utilized it for tactical matters, but as a former C#/.NET developer, I was far too “good” for anything as low as VBA.  But VBA is quick, dirty, simple, and plugable.  You can manipulate your data in the very spreadsheets that data sits in.  And it’s easy to get Excel — and that’s all you need to have to access their VBA editor, debugger and help documentation.  Not so for C#, which requires the highly computer-intensive, and wallet-draining, Visual Studio (although there is a free alternative).

But all of this hacking and sewing is really not what I want to be doing, educational though it may be.

Does anyone know of a good backtesting system with both the features and the historical data needed to do option backtesting?



5 Responses to “Backtesting with historical options data”  

  1. 1 Ajesh Prabhu

    OptionVue is the only SW I know which has intraday historical options data in 15 min interval and has back trading. However, the SW is expensive and also looks outdated.
    http://www.livevol.com has intraday historical data for $100/month.
    Did you find any intraday historical options data?

  2. 2 Brandon

    After burning myself out with macro-hacking as well, I did a Google search for options backtesting systems and came across this post. Did you ever find a user-friendly solution?

  3. 3 am

    Brandon,

    Unfortunately I didn’t. I do know there are certain schools, like Baruch college, which have this data. So far though, I haven’t found anything for the rest of us.

  4. 4 Johanna Gugliotta

    ciao!, thanks for the info, this post was really useful !

  5. 5 OptionsDataMine Admin

    you can go to http://www.optionsdatamine.com for historical stock options quotes going back 2 years

Leave a Reply