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Recommendation on Options Back Testing tool please
Based on my experience with OpenQuant, which is a development platform for automated trading strategies (and therefore can be easily be used for backtesting your personal strategy), I can give a little insight into what you might look for in such a platform.  OpenQuant is a coding environment, which reads data feeds from a variety of sources (more on that in the second point), and runs the code for your strategy on that data and gives you the results. The data could be imported from a live data feed or from historical data, either through numerous API's, CSV/Excel, etc. You can write your own strategies using the custom C# libraries included with the software, which spares you from implementing your own code for technical indicators, basic statistical functions, etc. Getting the data is another issue. You could use joe's strategy and calculate option prices yourself, although you need to exercise caution when doing this to test a strategy. However, there is no substitute for backtesting a strategy on real data. Markets change over time, and depending on how far back you're interested in testing your strategy, you may run into problems. The reason there is no substitute for using real data is that attempting to replicate the data may fail in some circumstances, and you need a method of verifying that the data you're generating is correct and realistic. Calculating a few values, comparing them to the real values, and calibrating accordingly is a good idea, but you have to decide for yourself how many checks you want to do. More is better, but it may not be enough to realistically test your strategy. Disclaimer: Lest you interpret my post as a shameless plug for the OpenQuant platform, I'll state that I found the interface awful (it looked vaguely like Office 2000 but ten years too late) and the documentation woefully incomplete. I last used the software in 2010, so it may have improved in the intervening years, but your mileage may vary. I only use it as an example to give some insight into what you might look for in a backtesting platform. When you actually begin trading, a different platform is likely in order.  That being said, it responded fairly quickly and the learning curve wasn't too steep. The platform wasn't too expensive at the time (about $700 for a license with no data feeds, I think) but I was happy that the cost wasn't coming out of my pocket. It's only gotten more expensive and I'm not sure it's worth it.