How to Combine Options Strategies to Enter & Exit on the Same Dates in a Backtest

Building complex trading strategies is possible with the ORATS Backtester using the Combine feature and the Symbol Entry Exit Dates method.

The first step is to run a backtest and download the results. 

Here I want to add a long call to a put butterfly that has an exit strategy. I want to make sure the call exits when the put fly exits.

In the zip, select StrategyOutputs folder and open the StrategyTrades.csv. Open the trades file and off to the side make three columns with Symbol, Entry Date, Exit Date. Copy those into the Symbol box and construct your second backtest that will enter and exit based on the dates you pasted.

Make a formula that collects the entry and exit dates.

Select the Symbol,Entry,Exit and copy.

Paste into the Symbols box in the Create New Backtest section.

Run the backtest. Click on the box next to the test along with the original backtest. Click 'Combine' and the new test will have the combined results of the two tests.

Here I chose to under-weight the long call vs the put fly.

Trial the backtester for yourself.