We're super excited about releasing options backtesting for the WallStreet.io community.
Options backtesting is being released as Beta.
During the first 7-10 days of beta we will be piping in new data to account to replace EOD data with 15 min before EOD (explained below). Two things to consider while we push options data into the live site. 1. You may see some gaps in the data results and 2. strategy results may change. With 2 billion endpoints its going to take about a week to pipe in all the data. We will let everyone know once all the data is deployed.
You Need to Backtest a Technical Stock Strategy with Your Options Strategy.
Before you click on the OPTIONS tab we recommend you first load up a strategy in the BACKTEST tab. Here's a strategy you can use to get started.
Having a strategy in the BACKTEST tab will provide your options test with entry and exit points. If your BACKTEST is blank then we will assume you always want to be in the strategy and will constantly roll your position starting with the time frame you have selected on the chart (1 yr, 3 yr, 5 yr and 10 yr are the options). Check out this article to see how we manage rolling expirations.
EOD vs. 15 min EOD Options Data
Recently we've had long conversations with the CBOE (Chicago Board of Options Exchange) as they've been supporting us as we built the world's fastest options backtester.
One thing we've noticed during testing is that End of Day options data tends to have wide bid ask spreads. Wide end of day bid ask spreads are causing some strategy results to look odd.
After more research it turns out that this practice is actually the industry standard since it provides more accurate bid ask spreads. With this information and after talking with the CBOE we've decided to use data from 15 min before the end of the day.
Our tests confirm more accurate backtest results using this new method. Right now we're piping in new data from the CBOE to account for this change.