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Options Backtest Platform with Realistic Fill & Slippage
A web-based backtesting platform for short-dated options strategies that offers transparent, user-adjustable slippage and fill models, walk-forward optimization, and side-by-side strategy comparison. Targets the gap between expensive institutional tools and cheap-but-unrealistic retail backtesters.
Why this matters
You trade short-dated options on SPX or NDX and spend hours backtesting put-selling, iron condor, and strangle strategies. But every backtest tool you try leaves you doubting the results. You cannot tell whether the platform models slippage on stop-loss orders realistically, whether fills assume mid-price when the bid-ask spread is wide, or whether gap risk on fast-moving days is captured. When you test spread strategies, commissions eat into results but the backtester ignores them. You want to sweep dozens of parameter combinations — wing widths, deltas, exit rules — but the per-run pricing adds up fast. And you worry that tuning a stop-loss to historical data is just overfitting to a handful of tail events. You need a tool that is transparent about its assumptions, affordable for heavy iteration, and helps you avoid fooling yourself.
- · Built for Active retail options traders running 0DTE/1DTE SPX/NDX strategies who backtest regularly and are frustrated by unrealistic fill assumptions.
- · Most likely monetization: SaaS subscription with tiered plans (e.g., $29/mo for basic, $79/mo for unlimited runs and walk-forward).
The Pain · Narrative
You trade short-dated options on SPX or NDX and spend hours backtesting put-selling, iron condor, and strangle strategies. But every backtest tool you try leaves you doubting the results. You cannot tell whether the platform models slippage on stop-loss orders realistically, whether fills assume mid-price when the bid-ask spread is wide, or whether gap risk on fast-moving days is captured. When you test spread strategies, commissions eat into results but the backtester ignores them. You want to sweep dozens of parameter combinations — wing widths, deltas, exit rules — but the per-run pricing adds up fast. And you worry that tuning a stop-loss to historical data is just overfitting to a handful of tail events. You need a tool that is transparent about its assumptions, affordable for heavy iteration, and helps you avoid fooling yourself.
Score Breakdown
Market Signal
Go-to-Market
Active retail options traders who sell 0DTE or 1DTE SPX/NDX puts and iron condors at least weekly and currently use per-run backtest services or spreadsheets
~30K-50K active short-dated options traders globally who backtest regularly
Organic posts in options trading communities and content marketing via strategy backtest sharing
$39/month for unlimited backtests with basic slippage; $79/month for walk-forward optimization
25 paying subscribers within 30 days of launch from community organic posts and shared backtest links
MVP Scope · 1–2 weeks
- Set up historical SPX/NDX options chain data pipeline from a data provider (e.g., Polygon.io or ORATS)
- Build core backtest engine that supports naked puts, strangles, and iron condors with configurable DTE, delta, and wing width
- Implement a basic fill model with user-adjustable slippage (bid-ask spread percentage) and mid-vs-bid fill option
- Create a simple web UI for defining a strategy and running a single backtest with equity curve output
- Add SPX buy-and-hold benchmark overlay on the equity curve
- Implement parameter sweep functionality allowing users to test ranges of delta, wing width, and stop-loss multiples
- Add commission modeling with preset broker fee structures (IBKR, Tastytrade, etc.)
- Build side-by-side comparison view for multiple backtest results showing CAGR, Sharpe, Sortino, max drawdown, and MAR ratio
- Implement walk-forward optimization that splits data into in-sample and out-of-sample periods and flags overfitting risk
- Add user accounts with Stripe billing and two subscription tiers
Differentiation
Why This Might Fail
Self-rebuttal — the most important trust signal
- 1Historical options data licensing is extremely expensive and could make the unit economics untenable at $39-79/month price points — a single data feed can cost thousands per month.
- 2Established competitor WhisperTrades already has mindshare and a low-cost per-run model; they could add the transparency features and undercut on price before this product gains traction.
- 3The target user base is sophisticated and small — many advanced traders already build custom Python backtest scripts using open-source libraries (e.g., QuantLib, mbsm), making it hard to justify a subscription.
Evidence Summary
How AI synthesized this insight — no verbatim quotes
Approximately five commenters expressed concerns about the realism of backtest fill models, specifically questioning whether slippage, gaps, and bid-ask spread assumptions are handled correctly on stop-loss exits for fast-moving short-dated options. Multiple users wanted to test various parameter combinations — wing widths, deltas, exit rules, stop-loss multiples — and one referenced an existing platform charging 50 cents per run, indicating willingness to pay but also price sensitivity. At least three commenters discussed the overfitting risk inherent in optimizing stop-loss rules, noting that tail events dominate P&L. Commission impact on spread strategies was called out as a real-world friction point that backtests often ignore.
Action Plan
Validate this opportunity before writing code
Recommended Next Step
Build
Strong demand signals detected. Real pain, real willingness to pay — start building an MVP.
Landing Page Copy Kit
Ready-to-paste copy based on real Reddit community language — no editing required
Headline
Options Backtest Platform with Realistic Fill & Slippage
Sub-headline
A web-based backtesting platform for short-dated options strategies that offers transparent, user-adjustable slippage and fill models, walk-forward optimization, and side-by-side strategy comparison. Targets the gap between expensive institutional tools and cheap-but-unrealistic retail backtesters.
Who It's For
For Active retail options traders running 0DTE/1DTE SPX/NDX strategies who backtest regularly and are frustrated by unrealistic fill assumptions
Feature List
✓ User-adjustable slippage and fill model with transparency controls ✓ Walk-forward optimization with out-of-sample validation to detect overfitting ✓ Parameter sweep across delta, wing width, stop-loss multiples, and DTE ✓ Commission-aware P&L including IBKR-style fee structures ✓ Side-by-side strategy comparison dashboard with SPX benchmark
Where to Validate
Share your landing page in r/r/options — that's exactly where these pain points were discovered.
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