17 posts tagged with "Releases"

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. 

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. 

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.

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:

• Short Put
• Strangle
• Straddle
• Calendar
• Iron Condor

While filters are listed under their respective sections:

• Enter-DownDay
• Enter-EMACross
• Enter-HighIV
• Enter-Campaign
• Enter-RootSelector
• Exit-ThetaDecay

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

• Boxcar-NG
• 0DTE-IC
• NetZero
• Theta Engine
• Weekend Effect

We hope you enjoy this new release!

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.

We are excited to introduce our new, simplified Graphical User Interface to help our more cautious users get their feet wet.

The Simple Run page utilizes a few key parameters and allows users to start backtesting simpler strategies. 

While a GUI like this is an implementation that feels more familiar to most people, it will always require huge compromises in terms of functionalities and flexibility due to its nature. For this reason, we developed the Simple Run with the features we believe provide the most user benefits:

• Leg selection by DTE and Delta 
• Delta hedging by a simple click

The full feature-set of the Simulator remains available via the Job Editor; its custom-made, simplified Domain Specific Language is how the complete set of functionalities is made available. This includes functions that are not possible or difficult to display on a graphical interface, so you don’t have to settle for less complex strategies.

We encourage you to start playing with the Simple Run. If you made it this far in this article, you have the necessary attention span to start experimenting with advanced features. 

The documentation of this new feature will be published soon; however, we were so excited about this new development we decided to release it immediately.

We are excited to see our users start playing with this shiny new toy, so we reset and increased the number of available runs for our users with free accounts.

Head to the Portal and try it out!  

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!