What software are you using to backtest option strategies? That's fairly advanced stuff, as you either need to have a mountain of data about all option prices, or to simply make assumptions.
My own, of course.
🙂
When I got down to doing serious testing, I used TOS ThinkBack to get the end of day data, including Probability of Touching for the RUT and the SPX. If I ever rerun the tests, I'll also use the data I've been saving for the NDX. I may also extend it to weeklies as I don't yet have the experience of seeing these perform over at least one market cycle.
My favorite reference in this area is "Design, Testing, and Optimization of Trading Systems" by Robert Pardo.
This was done before I discovered Prodigio, so I can't speak to the efficacy of using it in terms of rapid development. I wrote it in PHP (I was once a member of the PHP QA team) and run it the server that hosts my websites (GoDaddy at the moment).
For automated access to data for testing and to populate my online Dashboard, I had hoped to get a FIX account from TOS, but that availability to retail traders has been suspended pending decisions by TD Ameritrade. I am informed that this access will not be available in the future.
Back-Testing has considerable limitations and I only use it to qualify strategies for paper trading (which also has limitations). I attempt to avoid curve fitting by separating my data set into two non-contiguous sets so that the strategy can be developed on one set and tested against data it has never seen. If the data set is sufficiently large to cover several market cycles and the testing/validating cycle does not become a close sister to developing on just one data set, then curve fitting is likely avoided. Paper trading helps confirm the results as it is a test-forward process. For me, small money trading is the only confirming proof.
