David Sun's ThetaEngine (TE)

We have been working closely with David Sun, the Host of the famous The Trade Busters Podcast (and notably a TastyTrade RisingStar), to bring his trade to MesoSim. 

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.

NOTE: The target was increased for illustrative purposes only, and it might be unrealistic to expect all years to reach that level of return. Unless you understand the risk, we recommend you go with David’s suggested 10% (or lower) target.

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.