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RUT Index options spread backtesting

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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4 Comments
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.

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.

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.

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. 

0

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

 

1

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.

 

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.

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.

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