Are there any good, usable tools for backtesting option strategies (or add-ons for standard packages or online-services or whatever). Please also provide infos on price and quality of the products if possible.

I heard that there is a rule called Traffic light from Basel which is used to backtesting the VaR numbers. However I could not find exactly which regulation from Basel mandates that, although I am overall …

Dec 25, 2020 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Dec 15, 2023 · Regulators want to backtesting VaR estimates based on both Risk theoretical PnL and Actual PnL. My question is how can Backtesting of VaR be done with Actual PnL? Typically, financial …

Dec 27, 2022 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Jun 20, 2006 · Share ideas, debate tactics, and swap war stories with forex traders from around the world.

Feb 3, 2025 · Backtesting specifically, and any forecasting method in general, has limits and that’s perhaps the biggest challenge for traders to understand. Some traders place so much reliance on …

Sep 21, 2019 · 5 I am running a project to compare features of different backtesting software. A viewpoint to touch is on whether pricey software come with better characteristics/results thus …

Jun 26, 2016 · Backtesting on historical options data Papers about backtesting option trading strategies In particular I am interested in spread trading. From these I've gathered backtesting these strategies …

Dec 1, 2019 · To start, a brief description of their procedure might help for comparison. Backtesting Historical simulation Monte Carlo simulation Bootstrap replication Cross-validation