Strategies for backtesting basic option plays

[Rosey]

Hi guys,
I'm trying to find, if it exist, a backtest strategy for purchasing (iron butterflies, straddles, etc) weekly, monthly and hold til expiration. Didn't think it would be difficult, but haven't found any in TOS. Guidance would be appreciated. Hoping not to recreate the wheel here.

 

[BenTen]

Currently, the backtesting strategy only supports buying and selling of shares — no way to implement options into it.

 

[Rosey]

Thanks.

 

[skynetgen]

In TOS there is great tool under Analyze-> thinkback. you can backtest any option combination at any backdate and get P&L results for any date

 

[Rosey]

In TOS there is great tool under Analyze-> thinkback. you can backtest any option combination at any backdate and get P&L results for any date

Thanks

 

[dhasl002]

@skynetgen Is it possible to script thinkback?

 

[BenTen]

@danwilks12 Nope, backtesting strategies only support shares at the moment.

 

[danwilks12]

@danwilks12 Nope, backtesting strategies only support shares at the moment.

That's a shame. Are there any other softwares what can automatically buy options instead of shares? or is that just not possible at all for retail investors.

(for making a trading bot not backtesting)

 

[rad14733]

You can backtest options, singularly, the same way you test other Equities... The problem is that you can't backtest combination strategies... I have run literally hundreds of backtests on options as they are what I primarily trade...

 

[Snubsy]

Hello Everyone,

I am trying to come up with a strategy to backtest buying at-the-money options. I have tried searching for similar threads but have not been able to find a solution. To explain the strat, I want the strategy to buy an ATM call option when the 9 EMA crosses above the 12 EMA and close it when the 5 EMA closes below the 12 EMA. I am testing this currently on the SPY on the 4HR time frame.

I started looking into GetATMOption() but am not sure how to get this to work with the AddOrder(); function. I want to use this function to see what the PL would be when applying this strategy.

Here is the script I currently have,

def EMA5 = ExpAverage (close, 5);
def EMA9 = ExpAverage (close, 9);
def EMA12 = ExpAverage (close, 12);
plot Long =
EMA9 crosses above EMA12;
plot Short =
EMA5 crosses below EMA12;
AddOrder(OrderType.BUY_TO_OPEN, condition = Long, price = close, 1, tickcolor = Color.GREEN, arrowcolor = Color.GREEN, name = "BUY");
AddOrder(OrderType.SELL_TO_CLOSE, condition = Short, price = close, 1, tickcolor = Color.RED, arrowcolor = Color.RED, name = "SELL");

I would greatly appreciate any help or guidance in the right direction.

Thank you!

 

[MerryDay]

https://usethinkscript.com/threads/strategies-for-backtesting-basic-option-plays.1269/