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19 posts tagged with "Releases"

MesoSim and MesoLive Releases

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MesoSim v2.7: Russell-2000, Adjustment Improvements

· 3 min read
MesoSim 2.7 Russell Index or Terrier Banner

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.

MesoSim v2.6: External CSV Data and Stepping on Strikes

· One min read

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

MesoSim v2.5: Full Crypto Support, Improved adjustments, Historical Volatility

· 2 min read
mesosim-v2.5-banner-pic

We are pleased to announce version 2.5 of MesoSim which includes the following improvements:

  • Crypto graduates to Stable:
    Simulation of Crypto Options (BTCUSD and ETHUSD) traded in Deribit is now fully supported. The documentation has full coverage of Crypto extensions.
    See the BTCUSD-Straddle-2022 featured run to get started, or browse our strategy library for other ideas.

  • Remove Leg Adjustment:
    It is now possible to conditionally remove a leg and adjust the structure afterward. Please check out the docs and the built-in template [SPX-RemoveLegAdjustment] for reference.

  • Multiple Adjustments:
    You can do multiple adjustments in one simulation cycle, allowing moving complete structures leg-by-leg. For reference, see the [SPX-MultiLegAdjustment] template.

  • Historical volatility for the underlying:
    underlying_hv variable is now available, representing the 30-day historical (or realized) volatility.

  • Education material:
    We also started to put together training material to get you started easier.
    You can find the Work in Progress version of the presentation here.

Data Survey result

Thanks to everyone filling out our Data Survey.Based on your responses, we will add Russel-2000 (RUT) Index Options shortly, and later in the year, we'll add VIX as well.

Next work items

In the next cycle, we'll further improve our flexibility related to Adjustments, External Data (CSV) and will keep addressing the rough edges reported by our users. 

MesoSim v2.4: Relative Expiry, Risk Graph and new templates

· 2 min read
MesoSim 2.4 Logo

We are happy to report that a new release of MesoSim is landed, which extends the functionality of Expirations, pre- and post-trade Analysis with Risk Graphs and Full TearSheet and provides a handful of new Templates to get you started more quickly. 

Expirations:

We incorporated your feedback and implemented Root / OCC Symbol Selector and Relative Expirations. In practice, you can now filter (for example) for Weekly SPX Options and elegantly define calendar spreads by specifying the second expiration based on the expiration chosen for the first. 

Please see the Structure section of the Documentation for further details.

As a sample, we created the Enter-RootSelector and Calendar templates, which are available in the portal.

Risk Graph in JobEditor

We added the initial version of Risk Graph to JobEditor, so you can now see what you are building (without importing it to ONE). The Risk Graph is calculated and shown based on the first entry your backtest would make. 

Risk Graph in JobEditor

Please note that this isn't the final version, additional features, such as T+x lines and greeks are coming shortly!

Full TearSheet

We have extended analytic capabilities by including Ran Aroussi's excellent QuantStats package. You can access it by clicking the 'Full Tearsheet' tab on the backtest details page.

Full Tearsheet View

New Templates

We did a bit of housekeeping in the existing templates and categorized them better based on their functionality.

Examples of basic Options structures are included:

While filters are listed under their respective sections:

Finally, we added a set of ready-to use strategies:

Spoiler alert

the old-school NetZero trade did pretty good in 2022.

We hope you enjoy this new release!

MesoSim v2.3: Crypto Options (BTCUSD, ETHUSD) Beta

· One min read
deribit-headline

We are releasing today the next version of our option backtesting service which adds beta support for Crypto Options traded in Deribit

The new instruments can be accessed via the BTCUSD, ETHUSD and SOLUSD symbols. Our historical goes back until 2019. 06. 01. for BTC and ETH, while Solana is available between 2022. 05. 09. - 2022. 12. 31. 

Please note that the offering isn't complete, we are still working on the following open items:

  • Commission to support Deribit's scheme
  • Data validation
  • UI and Template improvements

For further details, actual status of the project please reach out to the #crypto-options channel in our Slack.