Pair Trading with Nifty Options

[myamit]

Dear Friends,

I need help to find out software or utility to back-test Nifty options pair trading.

For example,
One start of fresh series, I wish to
Step 1: buy Nifty Put & Call (depending upon earlier day's Nifty closing)

Step 2: Define range (based upon Nifty closing) & hold on position till Nifty dos not breach that range

Step 3: If range is violated than close position taken in #1 & take new position (as per the same formula used in step-1)

Step 4: On expiry calcuate premium earned

Could you please suggest good tool which can allow me to use various formula & buy/sell actions. I already have Nifty futures & options data since 2001.

Thanking you in anticipation.

 

[alroyraj]

Dear Friends,

I need help to find out software or utility to back-test Nifty options pair trading.

For example,
One start of fresh series, I wish to
Step 1: buy Nifty Put & Call (depending upon earlier day's Nifty closing)

Step 2: Define range (based upon Nifty closing) & hold on position till Nifty dos not breach that range

Step 3: If range is violated than close position taken in #1 & take new position (as per the same formula used in step-1)

Step 4: On expiry calcuate premium earned

Could you please suggest good tool which can allow me to use various formula & buy/sell actions. I already have Nifty futures & options data since 2001.

Thanking you in anticipation.

OptionOracle.

 

[myamit]

Thank you for your reply. However Options Oracle does not have a functionality that I need (or plesae suggest how to achieve following)...

Once I take a position - date should be forwarded one day -- check condition & if range is violated than take another position

Also I wish to automate this process for last 5 years (60 periods).

Regards,

 

[rkkarnani]

Thank you for your reply. However Options Oracle does not have a functionality that I need (or plesae suggest how to achieve following)...

Once I take a position - date should be forwarded one day -- check condition & if range is violated than take another position

Also I wish to automate this process for last 5 years (60 periods).

Regards,

No idea at all about how to meet your requirement. In fact what exactly are you looking for was not clear to me. But seem we require both data, Nifty Options and Nifty Spot or Futures Data.
Are you looking to use some Software to do historical analysis to check how the strategy worked out in the past?
May be someone well versed with Excel Sheet can do it.
By the way , would love to know in what format do you have the option data?

 

[myamit]

Thank you for your replies. Let me elaborate my query..

I have historical options data available (in text format) for about 10 years (Nifty) and it would be great if I can upload this data and start testing strategies in the following way:

1. set the date in the past (eg 05-01-2007)
2. see a list of all options available on that date in the past
3. make a strategy with these options (I will have defined business rules)
4. then increase the date by 1 day and see whats happening with the strategy taken
5. make adjustments in the strategy (formula driven & only if necessary)
6. and so on until expiration of the options in the strategy

In this way its possible to test every possible strategy in different circumstances.

Please let me know, because if this is possible you could learn and develop strategies way faster. In this way you can simulate years in hours

Regards

 

[briankim09]

Thanks so much for your post. Good step. I have no more ideas.
keep up your work.
__________________
online share trading