Back

Binary Options Backtesting - Zero Spread

Hello,
Just signed up.
Can I get zero spread with QC ?

I am a binary options trader and I need to backtest my strategies, which requires zero spread.
In binary, there is one price only.
E.g. I open trade at 1.23400 - 1.23400 and in 30 minutes I close it at 1.23401 - 1.23401
The price has risen (no matter by how much), so a binary option would win and make me money.
However, with 1 pipette spread (the minimum I can get with MetaTrader backtester) the trade is not counted as a winning trade.
Update Backtest








Welcome @JanMusil! You could make a strategy with zero spread if you want. You'd probably need to hack a little bit but its possible. Are you trading on equities or forex? Do you have your own data?

The key is creating a custom transaction model. I just shared one like this a couple of days ago. With this same model you can set it to have 0-slippage and 0-fees. This will effectively have net-zero effect when you place a trade.

The backtesting engine uses the absolute of the fees - so you can't make it pay you on trading.
0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks Jared, that's good news :-)
That means QC is the first tool I've found that can do the job.

One more question: If a trade goes neutral - e.g. Open 1.2345 and Close at 1.2345
Does it count as a profit trade (increasing Win Rate) or a losing trade (increasing Loss Rate %) ?

I'm trading on forex (but only with binary options, which is essentially betting Up/Down), there's some data with free demo accounts on MT4 and I'l probably buy some more historical data.
Or is there some free data on QC?
0

We have 7 years of tick level FX you can use, you just need to request it into your algorithm -- Our data library is here: https://www.quantconnect.com/data

We actually treat break-even trades as a loss at the moment - you can see this code here: https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Common/Statistics/Statistics.cs#L244

In theory it should be possible to hide the Statistics calculator method with a "new" preface and replace it with your own one, but I've never done it before :) I'll have a go at this later tonight and post and example here for you.
1

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.



Backtesting is the best way to find out whether your option strategy is going to work or not. However, conditions are not exactly the same while backtesting the strategy, but it gives you an idea about how strategy will work in real market without putting any money at risk.
0

Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed