Systematic options backtesting update
14 Jun 2016We’ve added the ability to backtest systematic strategies by option moneyness (strike price relative to underlying price). This is particularly useful for evaluating options strategies you trade at precise price levels, such as consistently selling 5% out of the money strangles Choose between option delta or moneyness in Calculation Type settings within Advanced Parameters in the backtester. This update gives you even greater flexibility over your options backtests.
