17 posts tagged with "Releases"

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. 

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]

We released MesoSim v2.9 today, which further extends the simulator's flexibility with a new strike selector. Additionally, we are expanding our built-in strategy library to showcase the new feature.

List of improvements​

Complex StrikeSelector​

To enhance the simulation capabilities we have added the Complex StrikeSelector. This feature allows users to find a leg based on complex criteria, such as the delta-to-theta ratio. The Complex StrikeSelect is particularly useful for building spreads and optimizing multi-legged structures. Similar to other Strike Selectors, it can be used during Entry, MoveLeg and AddLeg Adjustments.Please check out the documentation or take a look at the two built-in templates that utilize this feature:

• RUT-ComplexStrikeSelector-DeltaToTheta

• SuperBull

"Complex": {
    "Statement": "pos_delta / pos_theta",
    "Target": "0.5",
    "Constraints": [
         "leg_long_strike < leg_short_strike"
    ]
}

Official Settlement prices​

Initially, we used closing and opening prices to account for settlements (PM and AM, respectively). While this approach provides a close approximation for PM settlements, AM-settled options may exhibit larger differences (more details here). 

As part of the VIX stabilization effort, we have begun utilizing the official settlement prices for all the instruments we support.

Reg-T margin calculation​

We have addressed a remaining bug and included the missing structures in the Reg-T margin calculation. This makes Reg-T complete and fully supported under the Advanced plan.

New variables​

To better support intraday strategies we are adding two variables for tracking the time of the day: minutes_before_open and minutes_after_close These variables be used in intraday entry, exit or adjustment conditions.

VIX progress update​

To ensure an accurate simulation of VIX Options' Settlement we have switched to using the official settlement prices. This is crucial because all VIX options are AM settled and approximation using open didn't was not sufficiently accurate.

We are currently awaiting the resolution of the data issues we reported to CBOE. Once that is resolved we will promote VIX to Stable. Please stay tuned for further updates. 

New ThetaEngine Variant​

Claudio Valerio graciously shared his work on ThetaEngine with us.His variant, the Volatility Hedged Theta Engine is featured in this blog-post.

Upcoming sale​

We're planning a sale starting on the 4th of July.

We are pleased to announce that MesoSim-2.8 has been released on May 27, 2023, effectively expanding our offerings to include new Market Data and Reg-T Margin Calculation capabilities.

List of improvements​

VIX Options​

In response to your feedback received through the Data Survey, we are expanding our offering to include VIX Options. This new data set allows us to cover better the broad-based indices utilized by both retail and institutional traders.

Please note that VIX is currently in the beta phase, as certain tasks such as Settlement to VIX Futures and IV calculation are yet to be finalized. For the latest information, please visit our Service Status page.

If you are interested in VIX trading strategies, we recommend exploring Russell Rhoads' presentations and books as valuable resources.

Reg-T Margin Calculation​

In response to a common user request, we have incorporated Reg-T Margin calculation into the simulator, based on the CBOE's Margin Manual. 

Calculating Reg-T margin is a complex task that requires the system to effectively analyze and deconstruct a set of contracts into known structures to accurately determine the associated margin. Although the calculation rules are clearly defined, the combinations of structures can vary significantly. Furthermore, brokers have the discretion to include additional margin requirements based on their own house margin rules, which are frequently implemented.

While Options Backtesting Software, such as OptionNet Explorer, perform its own Reg-T Margin calculations, we have observed occasional deviations from the standard. In order to ensure accuracy, we have validated our implementation with all the tests described in the margin manual. Moreover, validations were also conducted with real brokerages, such as TD Ameritrade and TastyTrade.

Overall, we have added over 3500 lines of new code to our code base, making it the most extensive change implemented for the service thus far.

You can find a Margin Enabled run in this link.

MesoSim meets Academia​

In order to support Options Education, we are initiating a program that offers complimentary access to MesoSim for classes focusing on Derivatives and Options at Universities.

If you are a lecturer interested in incorporating our service into your curriculum, please contact us at [email protected]

Roadmap​

Once we address the remaining tasks related to VIX and Reg-T, we will proceed with implementing measures to support Forward Testing. Certain features, such as enhanced visualization, will first be provided via the backtesting offering.

The complete list of work items is collected here.

Upcoming Pro plan​

As previously indicated, we are planning to introduce a Pro plan for MesoSim. The Basic Plan will allow users to backtest SPX and Crypto Options, while the Pro Plan will include additional features such as RUT & VIX Data Sets and Reg-T Margin Calculation. The Pro Plan will be available as soon as we transition VIX and Reg-T from beta to stable (sometime in the summer of 2023).

Customers with an ongoing subscription will enjoy all the benefits offered by the Pro plan at their original subscription price.

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:

• NetZero-SPX-2021 vs NetZero-RUT-2021
• NetZero-SPX-2022 vs NetZero-RUT-2022
• Boxcar-NG-SPX-2021 vs Boxcar-NG-RUT-2021
• Boxcar-NG-SPX-2022 vs Boxcar-NG-RUT-2022

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:

• SPX-AddLegAdjustment
• SPX-AddPDSAdjustment

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.

We are happy to share that two of our most requested features were added to MesoSim:

External Data from CSV:

Users can now bring their own indicators / signals / pricing data via the External Data interface. Just upload the data to Github Gist or Google Sheets and specify the URL in your backtest run. From that point, all your variables can be used in all Lua Statements as variables. 

Stepping on booked Strikes:

Prior to MesoSim 2.6, the options contracts usable for new entries and adjustments were excluding contracts that were taken by any leg in any position. This behaviour was a useful simplification in our SimBroker and also represented how we personally trade options strategies. Some of our users, however, don't mind re-using options contracts. To support their use-case we implemented a mode of operation which enables sharing contracts across positions. 

Please head to our official documentation to read more about the mechanics of this two new features.

Upcoming features:

• We are actively working on adding Russell-2000 (RUT) and VIX data
• Add Leg Adjustments are the next key feature we are delivering soon