3. Backtesting Options based on Futures
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Backtesting Options based on Futures


  • Hi,

    Here's what I want to accomplish.

    I want to go over futures data, apply a particular strategy (say moving average crossover) and at the specific time point of the crossover, I want to buy and sell using options (synthetic futures or long call/put).

    So, essentially what I want to be able to do is, supply a timeseries of OHLC data of options of the underlying (say NIFTY50) along with the different strike prices and optiontype (PE/CE) and enter/exit trades in backtest based on that.

    So, essentially, my options timeseries data csv file header is as follows:

    Date, Expiry, OptionType, StrikePrice, Open, High, Low, Close

    How do I use this to backtest options with the OHLC format?

    I remember the admin mentioning about being able to test options with OHLC format. Any direction on this could really help.

    Thanks a ton!

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  • R

    Hey Shravan,

    You can just inherit the GenericCSV class and add additional lines. have a look at this post.

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  • Hi,

    Thanks Rajan. I am onto it. However, is there a way we can introduce a line which takes in string as input?

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  • R

    Hey,

    I just looked int to the source code for GenericCSVData and BT converts anything other than date to float values. In case if you just want to feed CE/PE.. maybe take them as +1 and -1 ? would that solve your issue ?

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  • Yes, that's what I have done for now. Thank you for the prompt response!

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data 8 futures 2 options 1
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