Backtesting Frustration (Part 2)

I left off talking about spreadsheet headers, which really define the whole backtesting project. Today I will continue by discussing some frustrating aspects of the OptionVue (OV) software itself.

Having opened for business in 1983, OV has more tenure in the “high-end options analytics” space than any other company. A more recent newcomer to the space is OptionNET Explorer. ThinkorSwim brokerage also has some backtesting functionality through its thinkBack module.

None of these software packages support automated backtesting. This would be a process by which I could define a trading system/guidelines and have the software automatically process the entire trading interval with an output of results in seconds (e.g. AmiBroker for stock/futures trading systems).

Since a delay is incurred to update the matrix (i.e. options chain) whenever I switch time or date, my approach is to enter a new backtrade on each trading day. To maximize efficiency, I try to monitor/record necessary statistics for each open trade while the data is loaded for that date. This includes PnL and anything else specified by the column headers.

Frustration #1 regards buggy R-codes (see last post), which has gotten worse over the last year’s worth of software updates. Positions displayed in the matrix are shown in the “Ex.Pos Included” field or checked in the pull-down menu:

I used to be able to quickly scroll through open trades by typing the corresponding letter, number, or symbol into the Ex.Pos Included field (obstructed in this screenshot by the pull-down). I am now limited to letters and I often have difficulty entering them with keystrokes.

You can also see the “ALL” selection that toggles with “NONE” by clicking on the arrow. The “APPLY” button is only available intermittently and not in the current screenshot. If I try checking select positions, “ALL,” or “NONE” when the button is not available then I cannot move forward.

Issue #2 regards the days to expiration (DTE) calculation. When Backtrader is set to 2001 – 2002, DTE is calculated based on expiration Saturday. As far as I know, these options have always expired on Friday. The software is inconsistent as to when it changes DTE calculation from Saturday-based to Friday-based. When I tested this yesterday it was on 1/3/03. Today it happens on 1/13/03.

Either way, I have to remember whenever I visit the early portion of the database to check DTE in my head for consistency. Sometimes I will forget this for a few historical weeks/months and be forced to go back and modify every DTE number for affected trades. Cue additional frustration.

I will continue next time.