OptionNET Explorer Backtesting

[Romuald 743]

Hi everyone,

I would like to start a topic about backtesting with OptionNET Explorer (ONE). I am a new user to this software so certainly have I very basic questions. I am using ONE v2.0.75 BETA version.

My goal was to understand better how backtesting is working with ONE so I started with the helper of ONE. I only found one match for "backtesting" and it was a video :

Did you guys see other informations about backtesting in ONE?

So I watched it. Here is a brief summary of this video (I do not mention "special" features like adjustment for example). I let you read it then, at the end, I would have some questions. 

 

1. Choose the account
2. Choose the date and time when you want the backtest to start. The buttons allow you to increment date and time in the past or in the future.
3. Select the underlying
4. Note that the chain option corresponding to the underlying and the expiration date now appears
5. You are now ready to model your trade. Enter the required numbers (in format “+” or “-” if you want to buy or sell)
6. The risk profile screen area is automatically updated
7. When the model is completed, press the “Commit Trade” buttonNote : in the v2.0.75 BETA the button is here : 
8. Complete the Trade Documentation in the pop-up window
9. Note that the numbers you entered in the Model column are now moved into the Pos column
10. You can now go forward in time by clicking on the Date and Time buttons
11. To close the trade, simply counter add the positions in the Model column (replace “-” by “+” and “+” by “-” signs). Then, as usual, commit the closing trade by clicking on “Commit Trade”
12. The trade is now closed and you can see the report by clicking on “Reports”
13. Fine Tuning. Once the backtest closed, it is possible to change the price of the options (putting for example the price of today) and see how the backtest reacts. 
14. Click on “Trade Log”. The result appears in the backtest trade window

Here is an example. Following an alert received by one my program (technical trigger), I simulated a bull put spread on MSFT, delta's 20 and 11, expiration 22 days from now. To make a backtest I followed the check list here above like this :

1. Date and Time : 11-MARS-2021 (the date I want to backtest)

2. Puts deltas the closest to 20 and 11 with expiration date the closest of 22 days (at that time, it was 21 days). 

3. I clicked on the "Date and Time" Button to go from one day to the other. When the gain was OK for me I closed the trade.

4. Here is the result :

Now I have some questions :

1. Are the green points the P&L of each day until I closed the trade?
2. Is that backtest only related to year 2021? I mean : ONE has not automatically entered a new trade as soon as I closed mine, right?
3. No technical triggering is possible, OK?
4. If I well understand, I have to go manually, day after day, then close my trade when I am OK with the gain. If I want to make an other backtest, I have to begin from start (entering a new date, selecting a new expiration date, etc.)?
5. Now here is the part "Analysis" of the report  It looks like all the positions are plotted there (real, tests, etc.). Is it possible to have the equity curve for that backtest over years?

Thank you for your reading. Please do not hesitate to comment.

 

 

 

 

 

[InvestTrader 42]

@Romuald, do you use ONE to send the trades to the broker? I use IBKR and ONE can do that via the TWS API. What is experience or opinion on this?

[InvestTrader 42]

On 3/11/2024 at 1:41 PM, Romuald said:

Are the green points the P&L of each day until I closed the trade?

I think the dots (green or red) represent the different P&L's for the day in the projection

On 3/11/2024 at 1:41 PM, Romuald said:

If I well understand, I have to go manually, day after day, then close my trade when I am OK with the gain. If I want to make an other backtest, I have to begin from start (entering a new date, selecting a new expiration date, etc.)?

As far as I know ONE doesn't offer automated backtesting in the sense that you can set the parameters and the software repeats trade after trade after trade 

[Romuald 743]

On 3/15/2024 at 4:30 PM, InvestTrader said:

@Romuald, do you use ONE to send the trades to the broker? I use IBKR and ONE can do that via the TWS API. What is experience or opinion on this?

No, I send my trade manually. I use IBKR.

[Bullfighter 386]

 

2 hours ago, Magnetar said:

 

Now that we're venting about TradeHawk... I find it to be an absolutely terrible platform. It's extremely buggy and clunky. I switched from TOS to TradeHawk mainly because of the commissions, but oh boy... You definitely pay for those commissions in a different way. I still use TOS to analyze, charts, etc... 

I wanted to use ONE, but I am a Mac user, and ONE keeps crashing with Parallels. But at this point, I'm considering going back to ONE again, even if it crashes. I just hate TradeHawk too much.

Sorry, I just needed to get that off my chest.

 

@Magnetar I am replying here regarding your issues with ONE and Parallels because I think it is a better fit than SteadyYields. The latest version of ONE (beta v2.0.78) has included support for the M family of Apple chips, if you use the 32 bit version. 

 

[Magnetar 11]

15 hours ago, Bullfighter said:

 

@Magnetar I am replying here regarding your issues with ONE and Parallels because I think it is a better fit than SteadyYields. The latest version of ONE (beta v2.0.78) has included support for the M family of Apple chips, if you use the 32 bit version. 

 

Yes, this thread is more appropriate   I vented my frustration in the wrong thread when TradeHawk came up. Thanks for replying.

Maybe I need to revisit my experience with ONE and Parallels. As far as I remember, they were already compatible, allowing the application to launch and run on Parallels. However, I encountered numerous crashes, especially when using Tradier as the API for live data. 
 

Based on my observations:

- Lots of crashes using the ONE Beta 

- Less crashes using ONE stable

- Crashes were way more frequent when using Tradier API for live data.

Another issue I encountered was that whenever ONE crashed, it didn't auto-save my progress. If I had added two or three different positions, they would all be deleted upon crashing, which was incredibly frustrating.

 

Do you run ONE in Parallels? Are you experiencing crashes? 

[Bullfighter 386]

No, I just rent a server which I access via Remote Desktop. There's a lot of vendors out there, like Hetzner, OVHcloud, Contabo,...
I use thinkorswim for my live data. Tradier does not provide live quotes for index options like VIX or SPX, nor did I find a way to pay for those to get them. This messes up the option pricing model, because you DO get an underlying quote, it's just that it's 15 minutes delayed. Not a problem with ETFs like TLT or TMF.

You can switch the live feed to Tradier only when transmitting the order, then switch back to thinkorswim for monitoring. 

[Magnetar 11]

 

Thank you for the tips. I thought about utilizing a cloud computer, but I'm hesitant to rely on yet another service or subscription to maintain my setup.

It seems like I switched to Traider to save on commissions, but now I find myself having to pay for other services to make up for the features it lacks.

 

 

[Canuck_Dave 215]

@Romuald I have been using ONE for about a year after OV shut down and fairly comfortable in using it ...... brand new SO member and I have "backtested" a few previous real trades to get a feel of they work as price, time and IV change throughout the length of a trade .... one comment and one answer for you

you can close a trade with one click of the "grid" icon between the red X icon and the magnifying glass icon as shown below ... this will insert an entry in the model column offsetting the positions you have ... follow that up with clicking on the Commit icon and the closing trade is entered

On 3/11/2024 at 9:41 AM, Romuald said:

Are the green points the P&L of each day until I closed the trade?

this statement is clipped for the ONE online manual

 

the daily movement of the Position's overall value as the Underlying vehicles price fluctuates over the current trading day - shown by the scattering of green dots (which are based on actual intra-day prices throughout the trading session) - shows that there is a considerable amount of movement on a daily basis.

 

in the case of a risk chart for a backtest I believe the dots are a scatter plot of trade's mid price at 5 min intervals throughout the day .... you will also see red dots in some cases ... the green dots are prices at which trade is positive and red dots are prices at which the trade is negative ... you will also see a slightly larger light blue dot and that is the price at the moment in time you are at as you step through the backtest

 

hope this helps

 

 

Edited June 15, 2024 by Canuck_Dave

[Canuck_Dave 215]

@Romuald regarding the performance plot here is one method I use to only report on certain trades ... for example I have backtesting account that I use to look at old trades to see how they worked out throughout the length of the trade .... I have attached a report I have to only show SO trades I have backtested ... you will see that I have ended the trade names with SO .... it hard to see but in the Trade Name column header there is a small upside down triangle which if clicked on opens up a window to filter report to only include certain trades .... there are  quite a few filter options available and you can filter any or all columns ...once you set up a report to show only the trades you wanrt you can click on the Analysis tab to see the performance of the selected trade group 

 

 

 

 

Edited June 15, 2024 by Canuck_Dave