MesoSim v2.7: Russell-2000, Adjustment Improvements

We are pleased to announce the release of MesoSim version 2.7, which comes with exciting new features that enhance the options backtesting capabilities for our users.

List of improvements

Russell-2000 Index

One of the key features of this release is the addition of the Russell 2000 index (RUT), which enables users to validate their strategies on RUT with a single line of change. This allows for a better assessment of robustness by having a correlated instrument to run fully out-of-sample tests.

Litmus test for Boxcar-NG and NetZero

We were excited to run both Boxcar-NG and NetZero on Russell, expecting a slight performance degradation (as the backtests are slightly optimistic by nature) compared to SPX.

The results speak for themselves:

AddLegsAdjustment: Road to Black Swan Hedge and A14 Strategies

The new version also introduces the Add Legs Adjustment feature, which allows users to add single or multiple legs as adjustments to their strategies. This capability is required to simulate more dynamic strategies such as Ron Bertino’s Black Swan Hedge or Amy Meissner’s A14 Strategy. 

The  Add Legs Adjustment feature's usage is demonstrated via two built-in templates:

Rolling legs horizontally: Requirement for the Anchor Trade

MoveLegAdjustment now supports moving the leg to new expiration, which is required for backtesting Steady Options' Anchor Trade.

Stepping on Strikes

With Version-2.6, we allowed backtests to re-use legs across positions. To further enhance the flexibility of the platform, we have introduced a non-constrained leg selection ("LegSelectionConstraint": "None"), which allows strikes to be re-used for legs even within positions.

Convenience features and fixes

We have also addressed the annoyance of missing fields appearing as warnings (in yellow) by automatically upgrading jobs during Cloning and providing users the possibility to upgrade templates with a click of a button.
The new version also comes with minor fixes for OptionNet Explorer compatibility, UI, and missing data handling categories.

Roadmap

Looking ahead, we remain committed to improving MesoSim’s capabilities by adding new features and additional data to push the boundaries of Options Backtesting Software.

We plan to add VIX, more scripting capabilities, and calculating Reg-T margin before tackling Forward Testing. The current roadmap is available here.

Upcoming Pro plan

Some of the new features and datasets will go into the Pro plan of the options backtesting offering in the future, and customers with ongoing subscriptions will enjoy grandfathered pricing for the (yet to be announced) new Pro plan.


Overall, MesoSim version 2.7 is a significant step forward in our mission to provide our users with the best possible options backtesting experience.
We look forward to hearing your feedback on these new features.

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