Historical Options data backtesting

Historical Options data backtesting

crfaldu
2021-05-15 15:54:00

I was thinking of buying historical options data and was wondering if I can use quantshare to load this data and use it for back testing. I guess we will have to use external database feature to do this. But I am confused how it would work since there will be numerous strike prices per day. Any tutorials or post which discusses how to best do this.

Thank you.

QuantShare
2021-05-17 11:06:23

It would be possible but very complicated and would need tons of scripts.
QuantShare was not designed to backtest options.

GS
2021-10-21 06:24:03

Earlier there was NSE Derivative downloader, now it is not working. It was a good tool to access EoD Derivatives data. I request you to kindly make it work again. Also, if we can have a screener to filter MAX OI and a way to calculate PCR would be definitely helpful.

Thanks

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