Unlike backtesting stocks or futures, backtesting multi-legged option spreads does have its unique challenges.
One way to backtest your options strategies is to download historical option data (Market Data Express) and use a technical analysis Excel plugin (TA-Lib).
You can then create an Excel spreadsheet to automatically enter / adjust your spread trades as certain technical conditions are hit.
A better way is to use an automated options backtesting software, such as (OptionStack). Using this tool, you can create rules to automatically enter and adjust your option spreads as market conditions change. In fact, you can backtest years of complex option spreads (collars, condors, etc..) in seconds.
However, this software is currently in beta and there appears to be a sign-up waiting list.
answered Mar 20 '14 at 4:07
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