Feature Requests

Please add Opening Range width/size as a parameter that can be used in strategy conditions and optimizations. For example: * OR width greater than / less than X points * OR width greater than / less than X% * OR width between X and Y The idea is that wide opening ranges may be more prone to mean reversion or staying contained within the range, while narrow opening ranges may be more likely to expand and break out. This would allow users to test things like: * Breakout strategies only when the OR is narrow * Mean-reversion or premium-selling strategies only when the OR is wide It would be especially useful if OR size could also be included as an optimization parameter.

I have an idea I wish to test that requires knowing at a particular entry time whether the VIX High Of The Day had exceeded some level. It is a binary decision. For example, at 3 pm, if VIX High Of The Day > 30, allow the trade to enter. Note in above example, if the VIX level is greater than 30 at 3 pm, it satisfies the condition. If VIX level is less than 30 at 3 pm, but it had exceeded 30 at some point in time before 3 pm, it STILL satisfies this condition. This usually would be used in combination with some other signal, such as underlying percent move from the previous Close, which currently OO backtester does not have either and I have submitted a separate request for it. Of course, for completeness, VIX Low Of The Day can be added as well and the comparison can be either > or < for either High Of The Day or Low Of The Day, but for my idea to test, I only need VIX High Of The Day to be greater than a specified level to test. I've not seen this anywhere else so OO would be a first if implemented. I believe it may add value as a signal... but unknowable until various tests can be done.

FYI, this particular feature is available in a major competitor's platform for both backtest and automation. Although OO has many more features than the competitor, this one is missing. Currently, in OO backtester, under Use Intraday Movement section, there is no way to test an entry condition based on the underlying's real-time movement from the previous Close because Intraday Move is defined with respect to the same day's Open. This excludes some viable and testable strategies where entry is invoked when the underlying daily move from the previous Close exceeds a certain threshold. There is no way to combine Use Gap and Use Intraday Movement filters to exactly replicate the Daily Move From Previous Close criteria. I have some ideas to test which I think may be robust but cannot do so in OO at this time. It would be nice to add it in the same format as the Intraday Movement section either as a separate section named Daily Movement or just with a toggle added under Intraday Movement section to let the user choose between "From Open" and "From Previous Close" to define the reference point for the movement.

It would be great if the portfolio backtest had the option to move strikes if conflicts are found so that the backtest will more closely represent live automation (if you have that feature turned on in your BOTs of course).

Problem For long-duration backtests and persistent live strategies, a fixed values for premium targets, spread premium targets, spread offsets, and entry premium filters can represent materially different trade setup and risks as the value of the underlying changes. Suggested Solution Add percentage-of-underlying options for strike selection and entry premium filters. Premium target based on Percentage of Underlying Price Spread Premium target based on Percentage of Underlying Price Child leg offset based on Percentage of Underlying Price Child leg Premium target based on Percentage of Underlying Price Child leg max offset based on Percentage of Underlying Price Min/max entry premium based on Percentage of Underlying Price

Additional technical indicator for price breaks and volatility moves.

Pretty simple, allow the user to specify the number of points that the breakout must exceed the high or low in order for the trade to be triggered. Example - High of the Day is 100 - You set an "offset" or whatever you might call it, for 5 points, so the entry will not trigger until 105. I've found this increases the success rate as it reduces false breakout.

Having reconstituted some backtests in Excel, it is clear that there are some backtests which have improved performance (similar CAGR, lower DD) if position-sizing is NOT based on 'margin allocation' but on the basis of '1 contract per x$' of capital. e.g.: sell a 50 delta put, with a 25-wide long below if this is entered at 3.30, then perhaps the margin requirement / max. loss is 2,000 if this is entered at 9:35 on a day when VIX is at 50, then perhaps the margin requirement is only 500 - leading to a (disproportionately) high number of contracts being traded but what if we could enter 1 contract per 20k$ of capital? As noted above, this may often smooth the profit curve. There are many other scenarios where this approach would be helpful

Generate a report to compare live vs BT to show variances in P&L and ability to view by strategy - fills, executions errors, conflicted strike issue, etc...

We are looking to add more symbols / tickers to Option Omega for both backtesting and trading. Current symbols under consideration include: META GOOG SPCX (?!) There has also been interest in: AMD NFLX UVXY VXX VIX MSTR VIX USO XLP XLU SLV RUT Please comment below if there are additional symbols / tickers you would like to see. Released for backtesting and automation : MSFT NVDA AMZN GLD TLT IBIT Release for automation : XSP