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Backtest Multiple Symbols At Once

Posted by ORATS Team on 8/11/18 7:42 PM

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Backtesting can be on one symbol in the basic subscription or up to 10 symbols in the professional subscription.

There are three ways to submit multiple symbols to the backtester:

  1. Type multiple symbols into the Symbols input box.
  2. Paste in a single column list of Symbols from Excel.
  3. Paste in a two column list of Symbols,Weights from Excel.

This is useful to investors because you can input a current portfolio weighting and see how an options strategy would have performed. For example, let's say an investor had 25% of assets invested in SPY, 25% in MSFT, 45% in INTC and 5% in AAPL, you could run a long call strategy and see how the backtest performed.

If symbol weightings are not included, symbols are equally weighted.

Each trade for each symbol produces a daily percentage return based on the notional or stock price at the time of the opening of the options trade. This allows stocks of different prices to be weighted more equally.

The daily returns are multiplied by the weightings and added together to produce the backtest statistics.

Try this today at wheel.orats.com

ORATS Team

Written by ORATS Team

ORATS is a premier options analytics vendor committed to uncovering untapped alpha-generating solutions. ORATS utilizes an advanced, proprietary volatility analysis to produce implied, forecast, and historical volatilities that have been proven to be more accurate market summarizations than those obtained from most commonly available sources.

Topics: Markets

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