We are releasing today the next version of our option backtesting service which adds beta support for Crypto Options traded inDeribit.
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.
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!
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).
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%!
