Back Test Options Strategies....

[kalapur73]

Not totally following you..Are you referring to Delta hedging,maintaining your initial vega/gamma???

I use Orats more of a research tool,idea generator and backtester.

Maintaining initial delta, for instance.

 

[Matt_ORATS]

ORATS has the ability to delta hedge, enter and exit based on technical and volatility information, exit based on profit and other factors, and also the ability to combine strategies together. For example, if you wanted to test and iron condor and adjust the tested side, you could run the short call vertical and put vertical separately, exiting and rolling the strategy when your tested criteria are met.

 

[Nadexsniper]

ORATS They are a sponsor.

thanks for sharing

 

[cartmm]

I use TradeMachine PRO by CML. Its pretty good for all my needs, but I wouldn’t say that I’m a power user, most of my trading is longer duration usually 10-45 days and not overly complex mainly CR spreads, Flys and Condors.

Has anyone compared ORATS to TradeMachine, I’d be interested to hear opinions? I like TradeMachine, but if there’s something much better, I would happily consider..

 

[taowave]

I demoed TM a while back and went with Orats...

IMHO,Orats is the best program out there,but you should do a Demo and decide for yourself..

Matts a good guy and very responsive if you have questions

 

[Matt_ORATS]

I use TradeMachine PRO by CML. Its pretty good for all my needs, but I wouldn’t say that I’m a power user, most of my trading is longer duration usually 10-45 days and not overly complex mainly CR spreads, Flys and Condors.

Has anyone compared ORATS to TradeMachine, I’d be interested to hear opinions? I like TradeMachine, but if there’s something much better, I would happily consider..

I'd happily do a comparison. I'll start by using your guidelines.
Here's my method to find a good trading strategy starting with put credit spreads.
I select testing for the current environment. The table will identify any tests performed under the following current conditions:

• High VIX > 20,
• SPY price is <200SMA, SPY<50SMA,
• RSI oversold < 40,
• IV percentile moderate 33-66,
• slope (skew) percentile high >66, or no constraints:

https://gyazo.com/8e4ffac28a476032f104e6ffb836677b
I set the DTE min to 10 max to 50, and observe the list sorted by 'Best return on risk' that uses max drawdown among other factors to compare the return to the risk.

https://gyazo.com/7e0301f82939be2978d71d6938db2978
Looking at the top trade sorted by this method, it is 36 DTE, delta -23 +12, spread price/stock price around -1.28%, entry conditions SPY<50d SMA and RSI oversold (this means it only backtested trades when these two conditions were met).

https://gyazo.com/329865b9f8ecac5b82520d4d32fb913e
Here are the performance metrics:

https://gyazo.com/fa4a6da1f2a8eb242a184d144d4f593e
For example, the strategy was in the market only 41% of the time, the win rate was 64%, the notional return was 1.55% (profit/stock price), the margin return was 24%, the Sharpe and Sortino were 1.2, the drawdown was 1.9% and the worst month was 1.2%.

This strategy looks good to me so the next step is to make sure it wasn't overfit. I do this by looking at similar backtests. As you might guess with all these possible ways to test the strategy the total number of tests is huge. Just for short put spreads there are 5 million. There's a 'Find Similar' button that filters down to similar tests.

I loosen the DTE, deltas and current environment entry filters and get > 100 similar tests.
I sort descending to see the worst similar strategies. Even the worst tests rarely lose money and those had different entry triggers using only the slope that isn't that important for this strategy.

https://gyazo.com/d84771f4bd49a710286a4275210f40e0
I'd try a few more variations here to get comfortable with this strategy.
After that and I like the strategy, I save to favorites and scan on the criteria.

https://gyazo.com/80ab88cb9929d9490dc64121fb30b539
The options scanner pulls up the trades that meet the DTE, Delta, spread/stock criteria and sorts the list various ways.
Clicking on one of the trades and set the stop loss alert at -50% as stipulated in the backtest. This trade can be sent to paper trading or a broker and you will receive a notification if the stop loss is met.

 

[athlonmank8]

Is there a scan tool that will allow you to scan for historical price movements on the option itself instead of judt the stock? I've looked around and I haven't seen anything.

 

[Matt_ORATS]

Is there a scan tool that will allow you to scan for historical price movements on the option itself instead of judt the stock? I've looked around and I haven't seen anything.

We do not offer that.
We have volatility of volatility, and volatility of implied volatility that you can scan on.

 

[taowave]

What do you like about that feature??

Its an illusion due to Delta,theta and Vega changing as time goes by....

Is there a scan tool that will allow you to scan for historical price movements on the option itself instead of judt the stock? I've looked around and I haven't seen anything.

 

[athlonmank8]

What do you like about that feature??

Its an illusion due to Delta,theta and Vega changing as time goes by....

It would simplify my work. I'm scanning a few hundred options by hand at the moment to determine if they meet certain criteria. Trying to figure out an easier way to do this.