Tuesday, May 14th 2019
Backtester Upgrade: Signals & Stats
New! Over 100 new volatility triggers as signals to drive trading. Sortino Ratio, volatility and best and worst month and year and trade returns.
The backtester has been upgraded with over 100 new volatility triggers as signals to drive trading, as well as additional statistics including Sortino Ratio, volatility, and best and worst month and year and trade returns. Users can set min-max readings to enter and exit trades based on data set levels landing within their min-max. The upgrade is available on
We continue to release upgrades to the backtester. Last month we added stock-only backtesting; the ability to combine multiple stocks in a portfolio; and added exit rules.
The current upgrade adds signals to trigger trading and additional statistics.
Use volatility data to drive trading. Previously, we had IV Rank as a trigger. We have added over 100 new triggers to our quiver. You can find the triggers in the Core General list here, and our Core Earnings calculations here. All these data sets have all been added to our backtester. Now you can set min-max readings to enter and exit your trades based on data set levels landing within your min-max.
For example, two new datasets triggers are "ivPctile1yr", a percentile of the implied volatility for a year, and "ivPctileEtf", a percentile of the implied volatility of the current symbol divided by its best ETF vs. year range. For selling a put spread, you might only want to sell when the IV is high, so you would set the min at 50 leaving the max blank.
Also, set the exit indicator trigger at or below the entry trigger, maybe at 40.
In the case for the SPY its best ETF is IWM. The short put spread above will only sell when the ratio of the SPY 30 day implied volatility divided by the IWM implied ratio is in the top 50% percentile for the year, and the trade would exit if the percentile fell below 40%.
Here are some results using a SPY short put spread alone as a benchmark then with ivPctileEtf and ivPctile1yr.
In the case above, running the put spread without any triggers had an annual notional return (profit / stock price) of 1.4%. The ivPctileEtf > 50 returned 0.56%. The ivPctile1yr > 50 returned 1.53% with a better Sharpe.
Sortino Ratio - we have added the overall Sortino and each year's Sortino. The Sortino Ratio is a variation of the Sharpe Ratio where only the downside volatility is measured, ignoring how volatile the trade is when you are making money. Here's an Investopedia article on Sortino.
Volatility - we now show the overall volatility and each year's volatility.
Best/Worst Month/Year - we have added 4 new time span readings, best month returns, worst month returns, best year returns, and worst year returns.
Best/Worst Trade $ and % - we have added 4 new trade readings, best trade in dollars, worst trade in dollars, best trade in percent and worst trade in percent.
For the test above, here are the new stats.
And, compared to the benchmark.
Notice that the worst month in the benchmark is -4.36% and -2.79% for the IV Percentile test.
Here are the monthly and annual returns, annual volatility, annual Sharpe & Sortino:
For the IV Percentile test:
And for the benchmark test:
Go to wheel.orats.com to try it out!
To see pricing for various levels of the backtester, go HERE.
If you need to upgrade or cancel your subscription you can do that HERE.
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