Am I not allowed to backtest more than a month when selling options?

Streak - backtesting
1

I am trying to implement a Strangle strategy on equity options. Short selling two OTM (±10% from ATM) instruments but I am facing two major issues

1 - Unable to set more than ±4 Offset, where I want it to set in % or at least I should be able to set ±8 offset

2 - I am unable to backtest more than a month.

Please help

2

Hi @Dibyajyoti_Panda

  1. The DYC for equity options only supports up to ±4 Offset. If you want to add the strikes above these offsets you can add them manually by searching for the specific contract name and adding that to strategy.

Refer the below link for nomenclature:

  1. If your base timeframe is 1 minute, you will only be able to backtest for 1 month not more than that because the look-back period for 1 min is only 1 month.
    You can learn more about the lookback period in backtest parameters. Refer to the link below:
    Backtest - Streak Help

Hope this helps.

3

Yes Streak special feature, which you wont find in many other places :grinning:

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4

If I had to add a strike manually, then how can you call streak as a algo trading platform or back testing platform. Each parameter should be variable in nature. At Least I should be be able to set the strike price in % away from the ATM.

And my biggest doubt is why you have limited it to only 4 OFFSET. What is the magic with this number?

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5

wow. did not know. A back tester is hardly useful without data.

6

@Dibyajyoti_Panda We have noted your query as feedback and forwarded it to the concerned team for further consideration.

1 Like