AmiBroker for Options backtesting?

NJ23

Well-Known Member
#1
Is it a good idea to backtest options strategies in AmiBroker? Can it be used for such purpose? Any other options backtesters you can suggest?
 
#2
One way is to dump the Options Data into a Database like MySQL or SQL Server etc. and then design the various queries to do any kind of backtests you want.

I think it would be quite hard to do this type of work in Amibroker.
 
#4
If you are going to do that, then i think much better will be to use python + panda. Panda is great
@TracerBullet, I completely agree. Python + panda is hugely popular among trading community.

https://rabernat.github.io/research_computing/pandas.html
Pandas is a an open source library providing high-performance, easy-to-use data structures and data analysis tools. Pandas is particularly suited to the analysis of tabular data, i.e. data that can can go into a table. In other words, if you can imagine the data in an Excel spreadsheet, then Pandas is the tool for the job.

A recent analysis of questions from Stack Overflow showed that python is the fastest growing and most widely used programming language in the world (in developed countries).
 

NJ23

Well-Known Member
#5
If you are going to do that, then i think much better will be to use python + panda. Panda is great
I kinda sorta want to avoid Python and R. Back-testing, Walk Forward of AmiBroker is great. Hence want to see if AmiBroker could be used in any way.

Which Python packages would you suggest for Options?
 

NJ23

Well-Known Member
#6
I kinda sorta want to avoid Python and R. Back-testing, Walk Forward of AmiBroker is great. Hence want to see if AmiBroker could be used in any way.

Which Python packages would you suggest for Options?
How about Quantopian (Zipline)?
 

TracerBullet

Well-Known Member
#7
I kinda sorta want to avoid Python and R. Back-testing, Walk Forward of AmiBroker is great. Hence want to see if AmiBroker could be used in any way.

Which Python packages would you suggest for Options?
I didnt use any custom Trading library - just pandas/numpy as base. pandas does array processing similar to AB, and for me it was better to write my own thing (for cash market) than to learn how AB backtesting works.
Dont know about AB, i just suggested as alternative to using a Database ... Should have used quote

How about Quantopian (Zipline)?
yes this may be nice, i have not used it so far
 

NJ23

Well-Known Member
#8
I didnt use any custom Trading library - just pandas/numpy as base. pandas does array processing similar to AB, and for me it was better to write my own thing (for cash market) than to learn how AB backtesting works.
Dont know about AB, i just suggested as alternative to using a Database ... Should have used quote


yes this may be nice, i have not used it so far
How did you manage brokerages and slippages? Custom functions for them too?
 
#9
What exact difficulties are you expecting, if you choose to go with Amibroker itself ? Like option symbol names and data management itself is quite tedious work, before any real analysis or backtest could be done. What other issues are you anticipating ?

Are you planning to do it on 1 min time frame data, or use tick data as well ?
 

TracerBullet

Well-Known Member
#10
How did you manage brokerages and slippages? Custom functions for them too?
I used it only to understand how our market actually works. So that i can make a discretionary plan around it. I dont intend to trade mechanically right now ..
All code is custom as such i did not use any trading library. pandas is very easy to use, if you can code in AB then it should be no trouble.
Brokerage and taxes can be easily approximated. Ex Finvasia intraday stocks is about 0.00018485 * total size.
Slippages cannot be known with OHLC data and they will increase with size and will also depend on execution. So far slippage cost in stocks with small capital has been somewhere around expense and i take that as approximate slippage in my mind.
 

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