The new release includes the following features (and some bugfixes):

• Events Tab Export
• Portal viewable without registration
• Strategy Template: ThetaEngine

This was the first time David Sun's ThetaEngine strategy was made available in an automated backtester. If you want to know more about David and our implementation of his strategy, read our blog post!

So far, his unique approach of credit targeted dynamic sizing was impossible to model in the current backtesting offerings. With a tiny tweak in MesoSim’s ScriptEngine, we enabled David to bring his strategy to MesoSim.

David’s ThetaEngine is well described in his podcasts, and the trade details can also be studied via his Companion website.

You can find the backtest results of Theta Engine for 2021 here: https://portal.deltaray.io/backtests/d8e6c6e8-8654-4c8e-85b1-af0bf4e21b27

Please note that the above implementation is a limited version compared to what David has shared with us in Slack:

• He is creating a series of backtests in his studies, each targeting a different day of the week for trading. With such an approach, he can blend all the results and better model his live trading approach.
• We have limited our backtest period to 2021 for faster iteration. His shared backtests are running from 2014 - 2021.
• We increased the expected annual target credit percent to 25% as the volatility was relatively low for the given period.

To access his backtest results, please head to our Slack via this invite link.

Thanks David for collaborating with us and bringing your trade to our simulator.

What will happen next

We are going to add the hedging parts of the Trinity System (Bomb Shelter and Vibranium Shield) to MesoSim and share the results similarly.

During this period, there were over 6500 backtests executed by our users covering more than 47000 simulation years! 🙌

The new release includes the following features which our users most requested:

• Multiple positions in flight (aka Campaign mode)
• Built-in indicators
• IV Rank and Percentile
• Equity CSV Export
• Updated Documentation
• And numerous performance and usability enhancements

Pricing​

This year in trading is a real differentiator for options trading: High- and smart beta strategies are equally suffering due to the lack of a bull market.

At the same time, theta harvesting strategies enable option sellers to collect premiums.

To remove the barrier to entry and make options backtesting (and therefore, trading) more accessible to everyone, we reduced our pricing to provide the most competitive one on the market:

• Monthly: $50
• Yearly: $420 (or $35 / month)

Subscribe here

Our customers who signed up for a more expensive plan will also benefit from our pricing reduction. We'll contact you soon.

Features and performance​

To provide a more accurate simulation of how options traders take their strategies live, we implemented a way to keep Multiple Positions in Flight (also known as Campaign Mode).

Some users use indicators and/or IV Rank and Percentile to fine-tune their entries and exits. 

To provide means to do post-simulation analysis, we created the Equity CSV Export feature, which allows users to download the simulation equity over time as a CSV file for a given simulation run. 

As the new features drastically increased the number of data points processed during a run, we took additional steps to increase our unparalleled execution speed further.

With aggressive and speculative caching, we managed to achieve super-linear speedup:

In campaign mode, the execution time for every position in flight is reduced by 20%!

Our advanced option strategy backtesting simulator is now available to register and subscribe to.

Some shared strategies inside the Trading Dominion community achieved Sharpe ratio above 3!

We are excited to help more fellow option traders do research and iterate through simulations as fast as never before!

We have two types of accounts:

• Free: read-only one (which allows you to look at shared results)
• Standard Plan: $75/month or $600/year incl. a 3-days-trial

For more information on our features, look at our documentation or the Strategy Test Run Sample shared in our User Guide.

Subscribe here

To celebrate this special occasion, here is a 40%-off coupon, valid until 9 July, for your first annual subscription:

$360/year (with a 3-days trial).

Coupon code: July4

We’d love to see you joining our Slack community or get an email from you; please get in touch with your questions or feedback.

We are looking forward to hearing from you!

Your Deltaray Team