Backtesting
Saturday, May 4th 2019
Backtest: Downloading Return Results to Excel
Backtest and download the trades, all returns and statistics for an options strategy.
Summary
After running a backtest and clicking the report link, a download button appears in the top right of the page. When clicked, a zip file containing the trades, all returns, and statistics is downloaded. The StrategyReturns.csv file shows the stock trade and the return for a specific date. The StrategyStats.csv file contains monthly and annual stats, while the StrategyTrades.csv file contains all trades. The backtester also allows for running a strategy without the stock component.
After a backtest is run and you have clicked on the link to view the report, a download button appears in the top right of the page. When you click that, a zip file containing the trades, all returns and statistics is downloaded.
Here's what the Zip looks like:
Here's the StrategyReturns.csv. Notice the $33.19 in cell G3 is the stock trade where the price went up from 1765.21 to 1798.4 and that difference divided by the opening stock price is 0.019 Return for 1/4/2007.
If you wanted to isolate the options returns you could open the folder StockOutputs and open the StockReturns.csv and net the daily returns. You could also run a strategy without the stock component. For example, here is the file of NDX stock only returns.
The StrategyStats.csv contains the monthly and annual stats.
The StrategyTrades.csv contains all the trades. Even though the trades file shows a quantity of 1 the returns and the backtest report present results based on a notional denominator being constantly funded by $10,000.
Disclaimer:
The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors.
All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice.
Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein.
Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only.
Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional.
Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein.
Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading.
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