Backtesting
Monday, February 25th 2019
How to Backtest a Multi-Leg Option Strategy
How to Backtest a Multi-Leg Option Strategy
Summary
Backtesting a multi-leg option strategy can be done using the ORATS Wheel. To backtest a four leg Iron Condor strategy for SPY, sign up and request a user key, choose "New Backtest," select "SPY" and "Iron Condor," and press "SUBMIT." Once complete, view the report and adjust the strategy as needed.
Backtesting is a great way to see how a strategy performed historically. The ORATS Wheel helps you to backtest your strategy. Here we backtest a four leg Iron Condor strategy for SPY.
STEPS:
- Sign up and request your user key here: wheel.orats.com
- Choose the button 'New Backtest'
- Symbol type 'SPY' and dropdown menu choose Iron Condor.
- Press the SUBMIT button.
- In My Backtests your strategy will say 'processing'
- Once complete, click on the strategy link and view the report. The SPY:IronCondor has a 2.39% return with the stock price as the denominator.
- Adjust the strategy. Let’s test selling a two week Iron Condor. Edit the strategy and change Days to expiration (dte) new min,max around 14 days become 8,20.
- The SPY:IronCondor has a -0.70% return, worse than the 2.39% return so we might prefer the original days to expiration.
We hope you enjoy using the Backtester. If you have any questions please check out our videos or email us at support@orats.com.
Disclaimer:
The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors.
All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice.
Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein.
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Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading.
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