OptionLAB - Automated Options Backtesting

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Option Explorer is a software that allows the user to backtest strategies that are based on Options on Futures. It is possible to subscribe a Life-Time License: a one-off payment that gives the user access to the software indefinitely. Historical data plans are flexible, the subscriber can add new series whenever he needs them and benefit form scheduled updates. Anyway, once an historic series has been purchased, it stays locally on the user’s PC, forever, with no recurrent fee.

The Option Explorer uses actual historical data (it is NOT modelled through pricing methods such as Black and Scholes): it is real option chains we are talking about, with end of day quotation (settlement price), completed with Delta and the other greeks, Implied Volatility for all available strike prices and maturity date of every Montly series (starting from 2005) and Weekly series (starting form 2010)a Weekly series, of course, includes Monthly contracts as well. All historical data is updated up to June 1, 2017.

 

 

  WHAT THE OPTION EXPLORER ALLOWS YOU TO DO 

This is the user interface of the Option Explorer. After specifying contract and date details, such as contract type (weekly or monthly), the needed date of quotation, the expiry date, the option right (call or put) and the strike price, it will be possible not only to instantly get the historical price, but also to buy or to sell the contract, generating an operation in the backtest panel on the right.

By clicking on “View Option Chain”, an option chain window will open featuring all available contracts for that date and maturity, showing quotation and other relevant historical data, and allowing the user to operate historical trades directly from the option chain.

For example, it is possible to choose the strike to trade starting from its Delta or Implied Volatility, from Volume or Open Interest peaks, or from any calculation made externally on any software (maybe with an indicator plotted on a chart showing on which strike levels to buy or to sell options). In this way, it is possible to operate a backtest of any strategy on options, independently by its mechanical or discretionary nature.

At this point all you have to do is to choose exit conditions with one of the multiple available options: imposing a fixed amount of days for the position, manually choosing the day of exit, keep the position open until maturity, set up Stop Losses and Profit Targets (expressed as price move, % of premium, or dollar value of profit/loss). The Option Explorer will autonomously calculate the trade outcome. In case of error, by pressing the red “X”, the user can delete the related row.

It is also possible to group multiple trades into strategies and consider them as single operations.

Trades do not have to be inserted with any specific order, and are not supposed to be on a single instrument. Option Explorer will automatically sort them temporally and consider multiple instruments as part of a single portfolio when evaluating performances.

Once the backtest has been completed it will be possible to save the work and keep it (or share it with a friend that is using the Option Explorer too) or to evaluate performance plotting the Equity Line (Daily or Close to Close), the profit and loss distributions, drawdown, and main performance metrics.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   

 WE ARE CONSTANTLY AT WORK TO IMPROVE AND 
ADD NEW FUNCIONALITIES TO THE OPTION EXPLORER: 
ALL FUTURE UPDATES WILL BE AVAILABLE FOR FREE.

March 2017: it’s now possible to intervene on any trade loaded in the backtest, simply by double-clicking on the trade whose parameters you need to modify.

June 2017: you can now code the trading rules of your backtest (using our proprietary language Option Language), import equity lines of trading systems on futures or on futures and options, export the results of your backtest in Excel, automatically create an Easy Language strategy that mechanically covers your naked short trades.

 

 

And now, from Easy Language, on any entry/exit setup it’s possible to directly Buy/Sell options instead of trading the underlying futures only (you can even create hybrid strategies).

 

You can now show the historical payoff chart of any trade of the strategy you coded, with the indication of the relative position of the underlying at entry, at closing, and at expiration time.

 

   

  PRICING 

The price of the Option Explorer depends by the number of historical series purchased (that feed the Option Explorer):

Quante Serie
  Vuoi Acquistare   
 Solo Monthly     Weekly+Monthly      Sconto   

  Licenza Option Explorer   

1

 290 590   - 590

690  1390  -20%  490

990  1990  -30%  390

10

1490

2990

-50% 290

(All prices listed are in Euros)

It’s not necessary, but if you want to update your Database every year we give the possibility to update every series (weekly or monthly) at the following conditions:

1 YEAR UPDATE OF ONE WEEKLY SERIES: 99€
1 YEAR UPDATE OF ONE MONTHLY SERIES: 59€

To properly understand the size of a series it must be clear that we are not talking about a price stamp for every trading day, but about a price stamp for every put and call, on every available strike on the option chain of every available maturity date, completed with Greeks, Implied Volatility, Volumes and Open Interest… for every trading day.

It’s a massive amount of data we are talking about:

The historical series of MINI S&P500 alone is composed of

12,014,610 (over 12 million)

data rows, and every row contains option premium, strike, maturity, greeks (Delta/Gamma/Theta/Vega/Rho), Implied Volatility, Open Interest and Volume.

Compared with 11 years of S&P500 daily data, which consists of 2,814 rows

…the Option data is 4,200 times bigger!

The final price will always be the sum of the Life-Time license of the Option Explorer (that ranges between 290 and 590) and the number of historical series purchased. An incremental discount is applied, it is function of the number of historical series purchased, and can be as high as 50%.

Purchasing 3 monthly series gives right to a 20% discount (final price 690 instead of 290 x 3 = 870)

Purchasing 5 weekly series (that include monthly as well) gives right to a 30% discount (final price 1990 instead of 590 x 5 = 2950)

In both cases the price of the Option Explorer must be added, and it would be 490 for the first scenario and 390 for the second.

...BUT WE ARE TALKING ABOUT A TOOL THAT WILL BE YOURS FOREVER
AND WILL MAKE YOU AUTONOMOUS IN PERFORMING BACKTEST OF ANY STRATEGY:
NO YEARLY SUBSCRIPTION FEE, NO LIMITATIONS IN WHAT YOU CAN TEST

 

Let’s make a few purchase examples (all prices listed are in Euros) :

EXAMPLE 1)
1 Monthly Series (290)
1 Complete Series (Monthly + Weekly) (590)
TOT: 880 + 590 (Option Explorer License) = 1470
…2 series do not give access to any discount, but by buy only one more… (As in example 2)

EXAMPLE 2)
1 Monthly Series (290 x 1)
2 Complete Series (Monthly + Weekly) (590 x 2)
TOT: 1470 – 20% = 1176 + 490 (Option Explorer License) = 1666
…by purchasing 3 series you have right to a 20% discount on the whole package and a reduction of 100 on the Life-Time License of the Option Explorer

EXAMPLE 3)
4 Monthly Series (290 x 4)
2 Complete Series (Monthly + Weekly) (590 x 2)
TOT: 2340 – 30% = 1638 + 390 (Option Explorer License) = 2028
... if you buy 5 series or more, the discount rises to 30% and the price reduction on the Life-Time License of the Option Explore rises to 200

EXAMPLE 4)
6 Monthly Series (290 x 6)
4 Complete Series (Monthly + Weekly) (690 x 4)
TOT: 4100 – 50% = 2050 + 290 (Option Explorer License) = 2340
... but it is with 10 or more series that you can profit from the highest discount of 50% on the whole package and a reduction on the Life-Time License of the Option Explorer of 300…

The price of the license of the Option Explorer diminishes based on the number of historical series bought (from 590 when buying less than 3 series, to 290 when buying more than 10).

It is possible to buy other historical series at any successive time to feed with more data the Option Explorer previously bought, as well as it is possible (but not necessary) to buy the periodical update of the database.


REMEMBER THAT YOU ARE BUYING DATA THAT IS GOING TO BE YOURS FOREVER:
YOU ARE NOT SIMPLY PURCHASING A SOFTWARE, YOU ARE INVESTING IN YOUR
CAPACITY TO ANALIZE WHETHER ANY OPTION STRATEGY HAS WORKED IN THE PAST OR NOT
,
IN A COMPLETELY AUTONOMOUS WAY, WITHOUT HAVING TO DEPEND ON ANYONE.

…We believe that it is “better to know”… “to Know”, for example, that a strategy has never worked before to find yourself trading it for a few months and realize that you are losing money…

”Knowing” how a strategy performed in the past can give valuable information about what you should expect in the future: how much drawdown to accept, what kind of return to expect, or what would have happened in 2008 during the last flash crash.

 

 

 AVAILABLE MARKETS  

These are the underlying futures on which Options are available, with indicated the starting year of availability.

US FUTURES (INDEX, BONDS, COMMODITIES)

 Available Series     Future Underlying  

   Monthly
Options   

Weekly
Options  

      Accuracy           

 EC EURUSD  2005 2010 97.5% 
AD  AUDUSD  2008 2010 98.1% 
BP  GBPUSD  2007  2010 93.4% 
JY JPYUSD  2008 2010 96.7% 
CD CADUSD  2005  2010 90.7% 
ES MINI S&P500 2005 2010  99.3%
NQ  MINI NASDAQ100    2005 2010 92.1% 
YM  MINI DOW JONES   2005 NA  98.1% 
TF  MINI RUSSEL2000    2008 NA  97.6% 
US T-BONDS 30Y  2005 2010  95.6%
GC GOLD  2005 NA   98.9%
CL CRUDE OIL 2005 NA  96.6% 
NG NATURAL GAS  2005 NA   93.6%
W WHEAT 2005 2011  93.4%
C CORN  2005  2011 91.2% 
S SOYBEANS  2005 2011 92.4% 
BO SOYBEAN OIL  2005 2011 92.1% 
SM SOYMEAL  2005 2011 88.4% 
KC CAFFE' 2009  NA 91.8% 
HG COPPER 2005 NA   96.9%
HO HEATING OIL 2005 NA   89.7%
RB GASOLINE  2006 NA   89.2%
CT COTTON  2009 NA  96.9% 
SB SUGAR  2005 NA  98.9% 
CC COCOA  2009 NA  97.3% 
LC LIVE CATTLE  2005 NA  91.8% 
LH LEAN HOGS 2005 NA   89.7%
TY T-NOTES 10Y 2005 2011  91.8%
SI SILVER 2005 NA   98.4%

 

 EUREX AND IDEM FUTURES

Available Series  Future Underlying  

  Monthly 
Options
   

  Weekly
Options
  

      Accuracy         

SX5E EUROSTOXX 50  2006 2010 94.0% 
DAX DAX 30  2006 2010 94.0% 
FTSEMIB FTSE MIB 40  2008  2012 94.0% 

 

Proposed dates refer to the first available option chain. It is possible for liquidity of far OtM and far ItM options to be low, especially after contract introduction. All information about volume and open interest is directly imported in the option chain and readily available.

We have calculated a ACCURACY INDEX for every historical series: the percentage shows an estimate of the portion of prices that present errors. Most common errors are premiums registered at -1 or 0, and are usually concentrated in the first couple years of the historical series. While -1 represent without any doubt an error, 0 is a more complex matter. 0 is by convention used to show that no price was quoted for that contract because it has never been traded. Thus, it’s important to separate the “error” and “convention” scenarios, and only use the reported number when it’s not the result of a corrupted data point. To distinguish between the two cases, we used the following assumption: “a liquid ItM contract must not quote 0”. We defined a liquid contract as one that has less than 4 months until expiration and it’s within the first 8 ItM strike prices. Option explorer uses a Corrupted Data Fixing system. Missing data is modelized using the Black, Sholes, Merton equation solved with an estimation of current Implied Volatility based on tomorrow’s and yesterday’s Implied Volatilities.

The percentage number shown on the side of every instrument gives an indication, before the purchase of the historical series, the estimate of the amount of these data errors. As you can see the average score is high (94.4% average), up to 99.3% for the Mini S&P500 and not lower than 88.4% registered for the options on Soybean Meal.

The Option Explorer runs on Windows environment: if you prefer to use Mac, you can emulate windows with Parallels (or any equivalent software) without any issues.

Every Monthly series needs (on average) HDD space for about 500MB, while Monthly + Weekly series can occupy up to 800MB.

 

  

  HOW TO PURCHASE 

Buying it is simple: write us an email and tell us how many historical series you would like to purchase and we will immediately quote the final price and you will just have to make us a wire transfer (or click on a link to proceed with a credit card). Within 1 or 2 days you will receive a file that was produced upon your choices. It will include the Option Explorer, the historical series you bought, and an installation guide. You will be ready to test your option strategies straight away!


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 data provider:

 

This software, data contained in it, the analysis that it’s able to provide, DOES NOT constitute in any way an invitation, an offer or a solicitation to buy or to sell a request or a subscription of financial instruments, financial investment product or services, nor an exhortation to execute transactions of any kind. This software and the data contained in It has been developed with highest possible degree of accuracy and diligence. But we do not provide any guarantee about the correctness, completeness, reliability, or actuality of the data (that is provided “as is”), of the content and proposed analysis. Historical data regarding returns and financial markets scenarios, past performances, effective or provided by historical tests or strategies, are not guarantees of future results. Trading can lead to losses that exceed the initial investment: we discourage anyone from investing or risking money that he can’t afford to lose. For further details, read the “Terms and Condition of Use” in the top left section of the vertical menu.  In no circumstance – negligence included – our business can be considered liable for losses and/or damages of any nature – independently of them being direct, indirect or consequential damages – derived by the access or use to the tools and elements of this software. This software is covered by Copyright. The use of this software and of data included in it is limited to the subscriber/purchaser only for a strictly personal use: resell or distribution of data in any form, unless explicitly authorized in written form, is forbidden. Any dispute about the use of this product is subject to swiss jurisdiction and laws, that regulate in exclusive manner the interpretation, application and effects of all above conditions. The Forum of Bellinzona is exclusively competent in merit to any dispute that arises in merit to this website and to its use. By accessing and continuing in the access of this software you declare to have read, to have understood and to have accepted the above legal information.

 

 

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