Hi there.
We cover equities, ETFs and indices, but not commodities.
We are adding a custom strategy with in a few weeks, that will allow you to break out of the pre-created strategies, and create whatever you like, up to 4 legs. This will cover calendars as well as broken wing butterflies and really any other construction. You will be able to create as many as you like and save them, to use/test them again at any time. This will likely sit in a new "advanced mode" so the simplicity of the standard mode will remain, but more advanced usage will be easily accessible.
We are also adding the functionality to trade 'x' number of days before earnings and close 'x' number of days after. Right now we have this, but it is set at 2 trading days -- soon the flexibility to choose your own will be available.
With respect to back-testing a shortput spread over the last 3-years, I understand your point, but it really isn't the goal of the back-tester. The point is, if you have a belief that the next year (or six-months, or one week, or whatever), will be somewhat similar to the last 6-mos, 1-year, 2-years, 3-years, or whatever you select, then you can pinpoint exactly which deltas, what timing of opening and closing, which length of options and how to handle earnings.
Irrespective of market direction, for example, owning a call or a call spread in some names, like Veeva Systems (VEEV) has been a big loser even though the stock is up 100%. However, selling puts, or puts with a stop, or a put spread, has returned 2-3x the stock. What we're seeing here is not some magic future telling crystal ball, what we're seeing here is that the vol dynamics in VEEV support a pretty strong thesis that being a net seller of premium (and vega, gamma and theta) has been substantially better than being a net buyer.
For reference here is a link to that story:
http://www.cmlviz.com/cmld3b/index.php?number=11369&app=news&cml_article_id=20170328_investing-in-upside-in-veeva-systems-inc-nyse-veev-with-options
While we would expect this for a stock that has moved just a little, or even a little rise, this is not the case with most stocks that have this abrupt of a rise (100%+). For most of those stocks, should you have been a net buyer of deltas you would have done much better than the stock and certainly selling the downside preimum. VEEV is just one example of how a mass calculation with a few clicks can uncover vol dynamics for a company that would not have clear otherwise.
Further, and more broadly, whether we are in a bull, bear, or sideways market, stock dynamics also tend to repeat. So, for some stocks, selling a put and closing with a 80% limit gain (i.e. sell a $2 put, buy it back if it goes to $0.40) has a massive effect on returns. That's bc some stocks tend to bounce rather wildly around expiration, or even more broadly, within expirations (the 80% limit is just random to this example, you can test any limit you want).
Imagine a stock that trades for $100, we're short a 95 strike put @ $2 and option goes to $0.40, 15 days before expiration, with the stock at $98. Some stocks, this is just a hold -- let the options expire worthless.But there are stocks that tend to vacillate wildly and all of a sudden, the stock goes to $94 and the put hits $3.
There's no real way to measure this behavior comprehensively without a back-tester unless you really have a lot of data and code up your own HV analysis (which is awesome if you do).
Hopefully the purpose of the back-tester is clearer now. As an aside, we will be adding stock technicals as well, so you can trade option strategies with entries and exits based not only on earnings, stops and limits, but also on technical triggers.
Thanks!
Ophir
