options backtesting with two underlyings

[clivec]

Does anyone know of a way to backtest an options strategy that uses two different underlyings at the same time? I haven't been able to find a backtesting system that will accomodate this. Thank you very much. C

 

[SD_]

Two underlying?
If it means two derivatives, then you can generate the PnL vectors for your strategy if you have historical data or access to software such as Murex or RiskMetrics, etc.
Using that you can compute the annualized returns, annualized vol, VaR, drawdowns, and the shape ratio for the strategy

 

[SamDQuant]

In theory, I am familiar with two options strategies that use two or more underlying at the same time, the Rainbow Option and the Basket Option. However, in practice, I have not traded any of these options. In my opinion, they are more complex than the traditional option strategies.

The two approaches to backtesting options strategies that I am aware of are:

(I) Get historical options data and backtest using Excel or other programming languages like Python, R, C++, etc.
(II) Use backtesting tools like the ones @Sudhansh Dua mentioned or as recommended on Stack Exchange - Quantitative Finance (Are there any good tools for back testing options strategies?).

I recommend that you know the option strategy before placing a bet.