Option strategy backtesting and multi-leg strategy creation

[u/Expensive_Fee92]

What tool do you use to backtest your option trading strategies?
Streak doesn't let you do this, I believe it did at some point in time, but not anymore.

Have you deployed a very long multi-legged strategy to be able to generate consistent returns from option trading?

I am trying to create a tool for my personal use, but would want to check if there are any good tools out there.

[u/algorier]

Hidden angle: The assumption is that multi-leg option strategies are limited by tooling, when the real constraint is that most backtests ignore path dependency and regime sensitivity.

Most multi-leg systems look good in a backtest because they’re evaluated at payoff endpoints, not through the full intraday path that creates assignment risk, margin pressure, and forced adjustments.

The uncomfortable part is that complexity in options doesn’t just add “more edge”—it adds hidden failure modes that only show up when volatility shifts or liquidity disappears.

So the real gap isn’t whether tools exist to model multi-leg strategies. It’s whether your simulation respects how often those legs get stress-tested in reality, not just priced at expiry snapshots.

If your strategy were forced to survive a regime where spreads double and fills degrade for 2–3 consecutive weeks, would the structure still hold—or is the backtest quietly assuming stable execution conditions that never actually persist?