Changelog
Follow up on the latest improvements and updates.
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new
improved
DTE Optimization and Spread Premium Modeling
DTE Optimization
You can now sweep over expirations (DTE) in the Optimizer. Explore longer term trade setups or fine tune calendar trades by testing different expiries.
Modeling – Spread Premium
The modeling tool now supports spread premium targets, as available with Backtesting and Automation. Define your spread width and spread premium target, and OO will select the closest strike that meets your premium target for the entire spread.
TradeStation broker support
TradeStation is now a supported broker for automated trading, alongside Tradier, TastyTrade, and ThinkOrSwim. To connect your TradeStation account, go to Settings > Trading > Connect to Tradier.
Performance by S/L Entry Ratio Regime
The backtest Analyze tab has a new table that shows trade results bucketed by the short/long premium ratio at entry (short premium ÷ long premium), showing any dependency of the strategy's edge on that IV term structure regimes. A higher ratio means richer front-month premium relative to the back month.
new
Automation
Webhooks and more!
- Webhooks are now available for OO Premium users to allow for external entry and exit signals on automated trades. Trigger custom entries with 3rd party services such as TradingView, or roll your own. Please see the documentation for more info: https://docs.optionomega.com/automation/webhooks
- Manual trade opening/closing now uses real-time / on-demand market data when executing trades, rather than the price at the top of minute.
- CSV backtesting exit times are now additive to other exit conditions, so you can specify early exits, stops, etc., while still using CSV exit time triggers.
improved
Backtesting
Optimizer Improvements
We've released a number of minor improvements to the Optimizer!
- The Optimizerstep direction is now automatic. If a dimension's end value is below its start, the step flips to count down for you — and flips back if you move the endpoints the other way.
- The Profit TargetandStop Lossnow only appear as optimizable parameters when the exit condition on the backtest actually has one set. This ensures that any additional Profit Target and Stop Loss options are respected (such as capping profits/losses or requiring consecutive hits).
- When an optimization is stopped for exceeding its compute budget, it now tells you how far it got before timing out to help you adjust for a successful run.
- The compute time estimator has also been updated for better accuracy forecasting when optimizations are likely to timeout.
new
Backtesting
Backtest and Portfolio Analytics
We've added a powerful new suite of analytics tools for both single strategy and portfolio backtesting. They can be found under the Analytics tab for the strategy or portfolio.
In addition to more performance and volatility metrics, you can now drill down into performance across different volatility regimes, analyze MFE/MAE, examine reasons for trade close, analyze correlation between strategies, and experiment with allocation and risk scenarios using the interactive position sizing and Monte Carlo risk simulations.
new
Backtesting
Optimizer + Spread Premium Targets
The Optimizer
You can now optimize backtests using parameter sweeps!
Choose up to 5 parameters at a time, customize the range and step size for each parameter, and iterate on up to 500 tests per optimization run. Quickly identify the parameter values that produce the best results, and easily update the original backtest.
Use the robustness score to avoid curve-fitting and gain confidence in your strategies.
Note: the number of tests per optimization and optimizations per day is determined by your subscription level.
For more information: https://docs.optionomega.com/backtesting/optimizer
Spread Premium Targets
You can now target a specific premium with fixed-width spreads. For example, you can now have OO choose a 50-wide credit spread that collects $3 in total premium. The spread premium target feature can be used for credit or debit spreads, and can even be applied to both put and call side verticals to create an iron condor or reverse iron condor.
For more information: https://docs.optionomega.com/backtesting/backtest-setup#spread-premium-target
improved
new
fixed
Backtesting
June updates
New
- IBIT is now available in Backtesting and Automation. Traders interested in Bitcoin exposure can now run Backtests (back to Nov 2024) of IBIT options strategies and bring them to life in Automation.
Improvements
- "Cap Non-Opening Losses at Stop Loss" has been renamed to "Cap Non-Opening Stop Outs at User-Defined Stop Amount" to clarify the loss is the user-defined value. We've added a warning to use this setting with caution as it is no-longer recommended for use with the new one-second intra-minute stop losses.
- "Require Two Hits at Stop Loss" has been renamed to "Ignore Single Bar Stop Loss Breach" to reduce confusion with the "Minimum Consecutive Hits" option in Automation. We've added a warning to use this setting with caution.
- "Days in trade" is available in both backtesting and automated trade logs.
- You can now clear out a backtest to start from a blank slate by clicking the "Reset" button on the bottom left of the strategy setup drawer.
- "Strategy name" is available as a column for backtests, including in the CSV exports. This will enable easier aggregation of strategies when analyzing on a spreadsheet.
Backtesting Performance Improvements
Backtesting for individual strategies and portfolios has been re-architected for major performance improvements. On average, we are seeing a 10x speed increase, though this can depend on the nature and complexity of the strategies tested.
One second Intra-minute Stop Losses in backtesting
We have improved the Intra-minute Stop Loss feature (available for 0DTE tests) to use 1 second data, replacing the old method of using 1 minute OHLC data. This should result in higher accuracy of stop loss simulation during large moves.
Notes
- The toggle of "NBBO-only" versus "NBBO + Trades" is gone, as we now simply use 1 second quotes to determine intra-minute stops.
- Due to the increased data resolution, it is highly recommended not to use "Cap Losses" for IMSL.
XSP has been released for Automation. You can now trade the S&P 500 at 1//10th the size of SPX, while benefitting from Section 1256 tax treatment and no assignment risk.
Be aware that XSP can have significantly lower liquidity than SPX and SPY, particularly in volatile conditions. For more information:
Automation support has been added for:
- MSFT
- NVDA
- AMZN
- GLD
- TLT
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