RUT Index options spread backtesting by Eyal Eshed

Eyal Eshed

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Hi,

I am looking specifically to samples of how to perform backtesting on the RUT or SPX options spread trades. I am new to Python programming and the amount of information is overwhelming. I'd appreciate if someone can point me to sample code.

1) Can QC backtest the RUT or SPX Index 10 years back?

2) The parameters for the backtest should include a spread (long and short strikes), Days to Expire, and the Implied volatility.

3) The premium for the Short/Long strikes

4) The market price

Thank you,

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Eyal Eshed

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Jack Simonson

Hi Eyal,

Yes, we offer all of the features you are asking for. Please have a look at some sample code in our open-source repository and the Documentation section on options data. As for learning our API, I suggest you work through the Boot Camp lessons, as these will give you a good introduction and help you build the skills necessary to work with trading options on our platform.

Eyal Eshed

48 ,

Thank you, Jack.

I am not a programmer. I was hoping to connect with someone in the community that has done work with Index backtesting for the RUT.

Thanks.

CloudTrader

490 ,

Hi Jack,

Regarding feature 1) Eyal asked about, I have not been able to get any data for index options like RUT or SPX.

As I know, only equity options are currently supported but index options not yet.

I can see there a GitHub issue for implementing this feature, which was opened by Jared:

https://github.com/QuantConnect/Lean/issues/3616

Jared Broad

All feature requests have to be evaluated and weighed against all others. Please be patient while we try and build this for you. I hope we will get the budget for this feature in 2020 but cannot be sure. LEAN is open source if this is super important to you please make efforts to contribute the feature to the code base.

Eyal Eshed

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