Monday, October 5th 2020
Technical Indicators And Volatility For Triggers In Backtesting And Scanning
Technical indicators like MACD, RSI and Bollinger bands and volatility indicators like constant maturity implied volatility can be used to drive options trading in backtesting and scanning.
Technical indicators like MACD, RSI, and Bollinger bands and volatility indicators like constant maturity implied volatility can be used to drive options trading in backtesting and scanning. ORATS provides a platform to use these indicators to backtest and scan, with a list of triggers available for use. The platform also offers consulting services.
Technical indicators like MACD and RSI can be used in backtesting and in scanning the current market to determine when to trade a particular options strategy. Further, volatility metrics can be used as rules for when to trade.
Here are the steps to use indicators to backtest and scan.
Go to https://wheel.orats.com/ and use your email to sign in and start a reduced fee trial.
Click ‘Create New Backtest’
Choose ‘Edit Additional Parameters’ and click Edit next to ‘Entry Indicator Triggers’:
Click ‘Edit’ next to the Contango trigger:
Click to use technical indicators or click on the dropdown to see the volatility indicators.
In the dropdown of technical indicators, the list of triggers are shown here:
Chaikin Oscillator, Average True Range, Bollinger Bands, Commodity Channel Index, Exponential & Simple Moving Averages, MACD, Relative Strength Index (RSI), and Parabolic SAR are available technical indicators. These can be used for the current symbol of the backtest by leaving the ‘symbol’ input box blank, or can be applied to a different symbol.
Using our regular indicators by clicking the orange link brings up our large list of volatility related criteria. These indicators can be use alone with a minimum and maximum or in a ratio with other indicators.
For example below, in selling a way out of the money covered call backtest strategy, the indicator showing the implied volatility of the 5 delta at the 10 calendar day constant maturity divided by the 75 delta ratio when above 1 can be used to trigger a trade
There are endless numbers of triggers to try.
Here are a list of the volatility related ones:
Our new Scan functionality searches for these relationships in the current market. To find the backtest you just set up, go to Scan, Add Scan, Your Backtests and the backtest with the indicator triggers will be run and applied to the symbols you enter or paste in the symbols area, no matter if the backtest was applied to these symbols or not. This way you can find the symbols that meet the indicator triggers you have set up.
You might find these backtesting links helpful:
Here's a recent blog post on backtesting:
We also offer consulting services.
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