Backtesting is the best way to see how a strategy performed historically. The ORATS API in Excel helps you start backtesting your strategy. Here we backtest a four leg strategy in the SPY.
- Sign up and request your user key here: Sign Up Free.
- Open the Excel sheet you downloaded here: Download ORATS Excel.
- In the dropdown menu in cell B1 choose Iron Condor.
- Press the SCAN button and enter your key that was emailed to you.
- See live delayed results to your strategy.
- Press the BACKTEST button to see the backtest of this strategy (takes a few minutes).
- Adjust the strategy. Let’s test selling a two week Iron Condor and use percent instead of deltas. Days to expiration (dte) new min,max around 14 days become 8,20. Turn the delta (absdelta) ‘off’. We’ll choose 2% and 4% OTM for the call and put spreads. That will equate to 1.02 and 1.04 for call legs and .98 and .96 for put legs. We use a min,max so leg1 is 1.03,1.05 to have a range around 1.04.
- Adjust leg relationships and spread total parameters. We will set the difference in the call and put spread strikes to a minimum of $1 and maximum of $10. The days to expiration are min,max 0,0 meaning they will be the same i.e. leg1 dte – leg2 dte = 0.
- Set the backtest parameters. The backtest will go back 3 years and have no early exit.
- Press BACKTEST and see equity line, monthly returns and assess stats.
We hope you enjoy using the Scanner and Backtester. If you have any questions please check out our videos and our documentation or email us at firstname.lastname@example.org.