More of a general question:
- is there anything there like a software to have any meaningful backtesting done on US equities with options in portfolios. Looking more of an off shelf product or open source something that can use for this purpose.
If you search online you get some products but nothing really to show some comprehensive data wise.
For example if you want to test just moving average crossover on stocks with you buying call spread etc and see what would be the returns on that strategy for past 5 years or so. Just an example here, most of the backtesting tools will let you see the returns on the stocks portion part instead of buying the stocks if you do call spread etc on say 100 of stocks etc, is there any tool out there.? I know the data can be problem since, to have meaningful bid/ask spread on option is huge but just say on top 50 names or indexes or something like that. Just thinking out load.
On opensource side, in R there is quantstrat and python zipline etc which deals with equity portion but I have not see anything even in commercial side which provide option with backtesting abilities.
Any pointers will be awesome.
