Option Omega
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Automation (179)
Backtesting (162)
Automation & Backtesting (136)
Modeling (8)
Add % Offset to the Parent Order Strike
Add the option to offset the parent order by %. For example if the 25 delta lands at 6500 for a call and I want the link/child to be 1% of the underlying away the BT will select 6565 as the strike for the linked order.
2
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Backtesting
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maybe? someday?
5
From the 'Test' dropdown we currently have two options. Please can we have a third ... 'New Backtest'
This would avoid having to unnecessarily load the full set of backtests when all you want to do is run a new backtest. So it'd be a shortcut
2
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Backtesting
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maybe? someday?
2
Profit target on entire trade when using leg groups
Enable a PT on the combined profit of all legs when using leg groups prior to any exits.
4
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Backtesting
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maybe? someday?
5
Dynamic VIX Allocation
Could we get a strategy/portfolio allocation based on VIX Range Example: 0-15 Range / 25% Maximum Portfolio Allocation 15-20 Range / 30% Maximum Portfolio Allocation 20-30 Range / 35% Maximum Portfolio Allocation 30-40 Range / 40% Maximum Portfolio Allocation 40+ Range / 50% Maximum Portfolio Allocation
1
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Backtesting
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maybe? someday?
2
VIX previous day's open VS VIX today's open
Manual testing shows there could be an edge in such a filter as VIX previous day's open VS VIX today's open
1
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Backtesting
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maybe? someday?
2
Add VVIX filter
1
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Backtesting
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maybe? someday?
2
Add a new "Use Min/Max Entry Premium as a % of Underlying" filter
The current filter uses absolute values, but that's problematic when backtesting across many years, as the underlying can change much. This is similar to using points vs delta, to choose strikes. The UI could simply have a dropdown where you can choose $ or % (similar to other UI elements)
1
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Backtesting
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maybe? someday?
5
Previous day move filter
Min, max move up and down filters for the previous day.
1
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Backtesting
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maybe? someday?
11
Plot VIX on the Daily NetLiq summary chart
As most people use VIX as regime filter and more or less trading VEGA somehow (e.g. DC, short strangle, MEIC). I'll be beneficial to see how a backtest/porfolio perform over different periods of time. (This's more like a zoom out version of the VIX in the "Trade Replay)
1
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Backtesting
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maybe? someday?
2
1 min RSI
Please add 1 min RSI to technical indicators, with customizable period(length) 5, 10, 15, 20, 25, 30 and min max inputs. This would be a nice compliment to EMAs and allow for mean reversion signals.
4
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Backtesting
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maybe? someday?
4
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