using options oracle to backtest strategies

[centralbev]

First, great product.  Thank you so much!

I am using Options Oracle, and the Data Center to backtest different stratagies.  I have historical options data on SPY from 1/08 to 12/09. 

I can help explain to anyone interested, and would like to colaberate with others on backtesting different option strategies.  Currently I am looking at Iron Butterflies, Calanders, and Calanders/Iron Condor combonations.

OptionsOracle is a great tool to visualize risk, and balance all of the greeks.

Centralbev

[myamit]

Dear centralbev,

I have developed dynamic short strangle & back-tested manually for year 2009. I wish to know how I can use OO to backtest for further years & also how do get data thru SPY. It seems very perfect strategy and generated handsome returns for year 2009. Btw I trade on NSE (Indian stock exchange).

Please advice.

[ramesh]

Any Option software which supports NSE india

[myamit]

Ramesh,

I could not understand what you're trying to refer.... specifically my questions are...

1. Where do I get NIFTY options pricing from year 2005
2. How do I back-test dynamic strategy (for example I take some position & it has to be modified based upon closing lelels of Nifty)
3. And also what is SPY? Also can you name few good options software that supports NIFTY options & allow dynamic backtesting.

Regards,

[lanzes]

@centralbev (or others).

could you please explain how you use options oracle and datacenter for backtesting?

I have historical options data available for about 10 years (SPX) and it would be great if I can upload this data
in the datacenter and start testing strategies in the following way:

1. set the date in the past (eg 05-01-2007)
2. see a list of all options available on that date in the past
3. make a strategy with these options
4. then increase the date by 1 day and see whats happening with the strategy taken
5. make adjustments in the strategy (if necessary)
6. and so on until expiration of the options in the strategy

In this way its possible to test every possible strategy in different circumstances.
Is this possible with datacenter and optionsoracle?

Please let me know, because if this is possible you could learn and develop strategies way faster.
In this way you can simulate years in hours

Thanks in advance for an answer.

[centralbev]

lanzes,

I was doing the backtesting on Option Oracle version 1.4.3, I'm having problems with version 1.5.0

Here is my procedure:

1.  Convert my data, which is a csv file.  Basically, in my data I needed to change the date format from yyyymmdd to mmddyyyy.  Then I sort the data by date, and create a csv file for each day.  For example, I have data for SPY from 1/1/2008 to 12/31/2009.  I create a csv file for each day.  Each file contains trade date, underlying data, and individual option data for each strike and each experation month.  Each individual csv file contains about 2000 rows in excel.

2.  I would then load a day into Option Oracle data center.  This is the problem with version 1.5.0., I can't get the option chain data to load in.  I'm  currently working on this problem now.

3.  You then change the settings in Option Oracle to receive data from the data center, and not an exchange like CBOE.  It is also important to change the date on your computer to match the date of the data you are looking at.  Option Oracle does not import expired options, so if your computer is set to June 2, 2010 and you import data for Jan. 3, 2008, nothing will show.  Change the date on your computer to Jan. 3, 2008 and everything will show up.

4.  Then enter your positions as you would normally, save the position information, and repeat the process. 

5.  I mostly back test one month strategies, like calanders, butterflys and iron condors.  While this process is tedious, it does work.  I was able to buy the data for SPY, 2 years, for about $50.  So with free Option Oracle, $50 for data, and some number crunching in excel, I was able to backtest fairly cheaply, (compared to optionvue). 

Again, I'm having problems with version 1.5.0, so I'm stuck.  If anyone has version 1.4.3 and can get that to me, we can start some backtesting.  In colaboration, with many hands working the data, some serious backtesting can be done very cheaply.

centralbev