Backtesting
Wednesday, March 6th 2019
Backtest Weekly Options in SPX
Backtesting short-term SPX index options strategies with weekly and quarterly expirations.
Summary
The backtester can handle short-dated SPX trading strategies with weekly and quarterly expirations. By 2013, SPX had enough weekly and quarterly options to make short-dated strategy testing meaningful. The CBOE started weekly options in 2005, and by March 6, 2014, weekly options were available on more than 325 securities. Various strategies, exits, and combinations can be selected to create endless possibilities.
We get asked often if the backtester can handle short dated SPX trading strategies.
YES!
The Cboe started one week expirations in 2005 as a pilot. By March 6, 2014, weekly options were available on more than 325 securities. Here's the complete list on the CBOE site.
By 2013, SPX has enough weekly and quarterly options to make short dated strategy testing meaningful. for example, at the start of 2013 the SPX had these short term expirations:
- 1/4/2013
- 1/11/2013
- 1/19/2013
- 1/25/2013
- 2/1/2013
- 2/8/2013
- 2/16/2013
You can set up the strategy to only run after that date.
Above is a calendar spread strategy on short term options.
With the ability to select various strategies, exits, and to combine strategies the possibilities are endless.
Disclaimer:
The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors.
All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice.
Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein.
Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only.
Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional.
Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein.
Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading.
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