Advanced Configuration

Advanced Configuration

You can access the advanced configuration by clicking the gear icon on the strategy builder.
The gear icon will change to red once you change any of the default values.

Select The Advanced Configuration Panel
Advanced Configuration Options

Commissions & Price Strategy

You can adjust the commissions used in the backtest. Visit the commission and price strategy guide for more details.

Initial Balance

The initial balance of a fictional portfolio used in the simulations. This amount is used, in particular, to calculate the "Maximum Drawdown" (MDD) of a strategy. The default value is $100,000.

Allowed DTE Range

This configuration allows you to set-up an explicit range for DTE.

For example, if your DTE is 30 days, and you set up the tolerance to +- 6 days a contract chain at 38 days will not be considered as a candidate. If the system does not find any suitable contract chain, no trade will be placed that day. The algorithm will move to the next trading day.
One use for this feature is if you want to trade 1DTE strategy and enter the trade only 1 day before expiration.

The default value is "Unrestricted", meaning that the algorithm will always try to find the closest expiration to the requested DTE, even if the DTE available is far away. We recommend you leave the default value, as it is suitable for most studies.

Delta Match Tolerance

Wide - Narrow: Slider: This configuration allows you to set-up a relative range for DELTA.

For example, if you select the NARROW range for a 50 Delta Option, the algorithm will consider a 48 Delta as an acceptable match but a 42 Delta will not be considered.

On the contrary, if your choice is WIDE the system will consider a 42 Delta as an acceptable contract if there is no closest one available. The default value is "WIDE", meaning that the algorithm will in most cases find a match even if the DELTA available is far away. We recommend you leave the default value, as it is suitable for most studies.

Backtest EXIT

We build every back-test as a series of trades. The algorithm opens a new trade contingent on your strategy setup. Then, it will close the trades based on either one of these two conditions happening:

- The position reaches an early exit condition (for example 50% of max profit), or
- The Options Contract expires.

But on the last trading day of the "Date Testing Range," a peculiar situation will occur. Namely, a certain number of positions will still be open. You can tell the algorithm how you would like to handle these open trades at the end of the study.

Close all open positions (cash out)

The algorithm will forcibly close all existing positions on the last trading day of the Date Range, at market price. It will ignore the regular closing conditions. We call this strategy “Cash-out,” as it is the equivalent of you calling your broker and ask him to close all positions irrespective of the impact on your balance.

Leave Positions Open, report end value.

This option will not forcibly close any of the open positions. It will merely report their value as an “Ending Position Value.” To compute all the performance metrics ((P/L, Days, STD, etc.) the algorithm will only take into account the closed trades with their respective realized values. "Leave Open" is the default and the recommended way of handling the end of study trades. Of course, you may override it with the cash-out option.