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MesoSim v2.10: Exceptionally Versatile

· 3 min read
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While we continually add and release features to the MesoSim backtesting service, it's beneficial to mark milestones. We firmly believe that MesoSim v2.10 represents an important advancement for the options trading community, offering unparalleled flexibility in the low-code backtesting universe.

Key changes​

Full control over simulation dynamics​

By adding VarDefines to Entry, Exit, and all Adjustment types you are now empowered to capture or change state throughout the execution steps. Additionally, we have introduced a new Adjustment Type (called UpdateVarsAdjustment) built to alter variable states.

Lastly, we have converted all the numeric fields to Statements, enabling you to utilize Lua for calculating simulation parameters during execution. 

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We are showcasing the enhanced flexibility with the SPX-TrailingStop built-in template. The trailing stop results, in itself, are particularly noteworthy:

It turns a losing trade into a profitable one.

Backtest Analytics with DataVoyager​

Data Voyager (and Vega) is a data exploration tool that has been integrated into our Portal.Click on the Analytics tab to study how Greeks and other variables are impact your Strategy's Performance. You can also visualize the variables you created during backtest.

You can find a generic demonstration video of DataVoyager here.

Mark legs and enter later​

We allow now specifying Legs with Qty=0.

The concept here is to identify a contract at a specific moment and wait until favorable conditions arise. Once your conditions are met you can use AddLegsAdjustment to create a real Leg at the pre-defined contract. 

Concurrency in intraday runs​

The simulation performance has been significantly enhanced in this release!

The intraday strategies now run 1.5 to 2 times faster than before.The daily strategies' performance has also improved, with a margin of 15-30%.

These performance improvements now enable us to introduce concurrency in intraday runs. You can now simulate Multiple Entry Iron Condors [MEIC] (and others), where positions are taken multiple times per day.

The maximum concurrent positions in flight have also been increased from 10 to 12, allowing intraday strategies to enter positions every 30 minutes.

And there is more...​

The number of changes between version 2.9 and 2.10 is substantial:

We have implemented over 50 changes, including enhancements, fixes, and performance improvements, to deliver the current release.

You can find the full list of changes on the Service Status page.

Steps Towards Live Trading​

While the Simulator has become more flexible, we have also made progress in the areas of Live Trading and Forward Testing. Internal testing of a Position Monitor has commenced, and active work is underway for Order Creation (IBKR).

Once we are satisfied with the quality of the live offering, we will open up for a private beta. If you would like to participate, please send us an email at: [email protected]