Questions for Index(SPY/RUT) Option vertical spread strategy backtest

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I would like to try some back-tests for the Vertical Spread RUT/SPY Option strategy with  QuantConnect and met some issues.

Can I import my own data instead of using the data from QuantConnect? 

The reasons are:

1 Quantconnect does not support  index option so far( https://github.com/QuantConnect/Lean/issues/3616).

2 Quantconnect has data for the RUT option(https://www.quantconnect.com/data/tree/option/usa/minute/rut) since 2010, I have the data since 2000.

3 RUT option data from Quantconnect contains no field of "Delta", which is important for my strategy.

Appreciate your help or hint in advance;

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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 Rex,

Importing custom data is supported, however, the option pricing depends on the underlying price, and we do not currently support the data for the underlying cash indices (SPX, RUT), and it's not possible to replace this using custom data. Instead of using Index Options, I suggest using options on equities that track these indices, e.g. SPY for SPX and IWM for RUT.

Best,
Shile Wen 

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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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