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This question already has an answer here:

Is there a good web-based option for back-testing of equity options trading strategies.

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marked as duplicate by vonjd, LocalVolatility, olaker Jan 14 '17 at 20:32

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GetVolatility features a pretty robust backtest capability. But be aware, it's paid and somehow expensive, since it focus on professional traders.

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See this workaround suggestion for Quantopian:

As of now Quantopian only offers equity trading. However, I think it would be fairly easy to hack something together for the sake of backtesting.

For simplicity, say it's a European call, I guess you could calculate the Black-Scholes price and buy at time i. Then down the line at e.g. time i+90 (days) you could see if you would get a positive payoff, i.e. max(S-K, 0) > 0 and in that case submit an order.

Actually Pandas can be used to fetch options prices from Yahoo! Finance (see http://python4econ.blogspot.hk/2013/02/building-stock-options-historical.html), but I don't think it's possible to get historical option prices anywhere for free. Thus, you might have to stick with your Black-Scholes price (even though the option you calculate might not be available in real life).

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Thinkorswim brokerage platform has some backtesting capability. Not sure how good it is.

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  • $\begingroup$ I actively use Think or Swim for both trading and teaching. It has the ability to do fairly robust backtesting on options trades with its trade simulation and ThinkBack tools. The system isn't perfect and I have seen it mess up, but for general purposes, it is pretty good. A hint, if you fund a ToS account for $50 they give you the whole ToS platform and data for free. There is no requirement to trade and no fees. When you shut the account down you get the money back. The one major complaint I have is that there is no way to export the data for more robust testing. $\endgroup$ – drobertson Aug 9 '16 at 18:50
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Optionsprofitcalculator primarily lets users get an overview of option position prices in regard to underlying price at expiration. But you can also fiddle around with certain fields if you know the backdated options values. You just have to expand "manual entry options."

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