Options Backtesting

[cordura21]

Hi guys, I was looking for any recommendation for backtesting options strategies, including time spreads, covered calls, multi legs, etc...

Can be something standalone or any 'package' for Matlab, R, etc...?



I found some stuff like Deltix (which is much broader), or cool execution stuff that it is not for backtesting.



Thanks in advance for the help. Cheers, Cord

[nadtim]

For me, the biggest hurdle is getting enough historical options pricing data to test a strategy.

So once you have enough data I suspect your options will open up... so to speak.

I couldn't avoid the pun. Wink



Good Luck!