How to Backtest a Short Calendar Diagonal Spread

This is another 'non-traditional' options spread that can be set up in the ORATS backtester by adjusting the Leg Relationships section.

Start by setting up the diagonal part of the spread by adjusting the typical at-the-money 0.50 delta calendar strikes with something like this, a short call delta of 0.30 and long call delta of 0.50:

Next change the Leg Relationships as the way it is set now with a min max of 0 to 0 will produce no results. Make the min max large so you don't need to think about it like -99 to 99.

Here are the results for the short call calendar selling the 90 day 0.30 delta and buying the 30 day 0.50 delta.

Let's try another combination and see if we can find better return statistics.

Here are results for selling the 60 day 0.30 delta and buying the 30 day 0.70 delta.

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