Entry-exit signals

Trade strategy testing is built around buy/sell signals.  For example, enter a FAANG trade when the RSI crosses above 30 and exit when the RSI crosses below 70.

Delphian Trading gives you flexibility in how you provide us with your data for your test.

• Import dates from Excel spreadsheet
• Create the dates manually
• Create the dates using a single or multiple indicators:
  • Candlesticks
  • Chart Patterns
  • Earnings
  • Custom Indicators (MACD, RSI, Gap Down, Moving Averages, Bollinger Bands, etc)
  • Calendar-based (Weekly, Monthly, Seasonally)
  • State Modeling
  • Implied Volatility

Stock selection & testing dates

Backtests can be run on individual stocks, ETFs or indices or on a group of symbols.   

There are three ways to create a custom stock list for use in the platform.

• Import the symbols on an Excel spreadsheet
• Manually enter the symbols
• Create a custom list using a single or multiple indicators (equity type, price, volume, open interest, etc.)

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 to current trading day.  Specific testing periods need to select a date range with one day increments, i.e. March 12, 2009 to December 30, 2011. 

Trading Strategies

The tables below show the strategies available for backtesting in the Delphian platform.  In addition to those listed below, we can create custom option strategies for our clients within a few days.

Option Strike & Expiration Selection

Option Strike Selection: 

• Delta: The user can select a range of delta between which the strike will be selected.
• Targets:  The user can select above or below the State Modeling targets or stop losses.  
• Upper Standard Deviation: The user can select a strike above or below a factor of the upper standard deviation. 
• Lower Standard Deviation: The user can select a strike above or below a factor of the lower standard deviation. 
• Expected Move %: The user can select a strike above or below the expected move % for the option expiration selected.  
• Percentage from Current Close: The trader can select the specific % above or below the current close price.  
• Points from Current Close: The trader can select the specific points above or below the current close price.
• Strikes from Current Close: The trader can select the specific strikes above or below the current close price.  

For strategies with multiple options there are additional choices available:

• Minimum Points from Determinant Leg
• Exact Points from Determinant Leg
• Strikes from Determinant Leg
• Balanced

Option Expiration: 

Options Type: Weekly or Monthly expiration

Days to Expiration: Entering 20 and 60 days will make the system search for an option expiration starting at 20 days and going out to 60 days. If an option expiration between these days does not exist for that specific entry point, the trade will be rejected.

Strategy Optimization

Once you have a trade and strategy idea, you need to see if it’s good and if you can make it better.  We make it easy to test strategies using over a decade of historical intraday stock and options data to find profitable trades.

• Over 40 different options trading strategies, with the ability to compare strategies side by side
• Single click optimization allows you to find a sweet spot within minutes
• Test based on a specific dollar amount per trade or contracts per trade. Additionally, you can allocate a specific percentage of the current portfolio value for each trade over the testing period to provide a cumulative profit/loss amount.

Secondary Confirmation

This section lets the user select a secondary confirmation filter utilizing State Modeling or a custom signal.

Trade Management

Opening Trade:

Bid Ask Spreads: Market, Mid-Price and Limit

Entry time: First Available, Hourly and Specific (20 minute intervals)

Closing Trade:

Stop after __ Trading Day(s)

Exit __ Days(s) before Expiration

Exit time: First Available, Hourly and Specific (20 minute intervals)

Profit and loss percentage are based off of Current Risk, Initial Cost, Max Profit or Max Risk. 

Winning and losing trades can be closed or adjusted based on:

Profit Percentage

Loss Percentage

Trailing Profit Trigger                                                   Adjustments

Underlying Price                                                           Scaledown

Position Delta                                                                Roll Out

State Modeling^TM Targets                                           Roll Up

Custom Signal                                                                Roll Out & Up

Leg/Breakeven Parameters                                       Convert to a different option strategy