Our new release, version 3.1, builds upon the VolQuant platform to include interactive backtesting. Testing can now be immediately performed by users to determine the volatility captured when dynamically hedging delta-neutral positions. Various parameters can be selected to simulate a position and backtested to determine the best scalp or stop width for the selected period.
User-defined settings include:
- specific market periods,
- excluded day(s),
- constant or actual days-to-expiration,
- rolling to the at-the-money strike on each close,
- setting implied volatility to the market or user-defined, as well as
- typical option pricing inputs.
The results are shown in a customizable display containing selected aggregate and individual data.
Backtest Options Trading Positions
Our scalp/stop data and theta move-to-cover data can be used to further evaluate differences between underlying historical volatilities and implied volatility. While VolQuant provides data for high and low captured volatilities for predefined periods, market makers and delta-neutral traders wanted to further drill down and customize the backtesting. Now users can backtest with user-defined values matching their current or potential positions.
Current User? Get a Free Upgrade to version 3.1 — Contact us here