Delphian’s backtesting allows you to build, test and optimize your trade ideas systematically based on data. Define your own trade rules, price targets & stops. Use an assortment of Delphian’s 45 pre-populated indicators or create your own. Model the strategy around your risk/return parameters. Analyze findings before risking your capital.
In order to backtest a trading strategy systematically, there has to be a reason or signal to enter the trade and to exit the trade. These signals must be specific so the platform can create rules to be tested for designated symbols over specified time periods. The trading strategy, profit targets, stop losses and other similar features are tested against the original dataset of entry and exit dates that is created.
There are three ways to create a backtest:
Backtests can be run on individual stocks, ETFs or indices or on a combination of any of the symbols. The platform has default stock lists like the S&P 500 and a liquid options list and also allows users to create their own stock lists. There are three ways to create a custom stock list for use in the platform.
Selection of testing dates:
Testing dates for backtests can be customized for a specific time period or for the entire range of available dates starting from January 3, 2007. Specific testing periods need to select a date range with one day increments, i.e. March 12, 2009 to December 30, 2011.
|Bull Call Spread
|Bear Call Spread
|Bull Put Spread
|Bear Put Spread
|Long Call Calendar Spread
|Long Put Calendar Spread
|Long Call Diagonal Spread
|Long Put Diagonal Spread
|Short Put Calendar Spread
|Short Call Calendar Spread
|Long Call Butterfly
|Long Put Butterfly
Option Strike Selection:
For strategies with multiple option legs there are additional choices available:
Options Type: Weekly or Monthly expiration
Winning and losing trades can be closed or adjusted based on:
Profit Percentage, Loss Percentage, Trailing Profit Trigger, Underlying Price, State Modeling Targets, Position Delta, Custom Signal, Leg/Breakeven Parameters
Profit and loss percentage are based off of: Current Risk, Initial Cost, Max Profit or Max Risk.
Roll Out, Roll Up, Roll Out & Up, Convert to a different option strategy
Close the trade after __ Trading Day(s)
Close the trade __ Days(s) before Expiration
Backtest reports include in-depth analysis of the trading strategy. The overall run results will include calculations for win percentage, profit factor, efficiency and more. Within the run results, users can view the individual trade results to include strike prices on entry and exit, daily profit-loss calculation and more.
Our single-click optimization allows you to find a sweet spot within minutes by quickly altering strike selection, profit targets, stop loss, adding in a secondary filter, utilizing a different trading strategy and more. The optimal strategy can be quickly found by using over 20 different options trading strategies and the ability to compare each strategy’s results side by side.
This section lets the user select a secondary confirmation filter utilizing State Modeling or a custom signal to test if the strategy can be improved or not with the additional entry criteria.