Building complex trading strategies is possible with the ORATS Backtester using the Combine feature and the Symbol Entry Exit Dates method.

The first step is to run a backtest and download the results. 

Here I want to add a long call to a put butterfly that has an exit strategy. I want to make sure the call exits when the put fly exits.

null

 

In the zip, select StrategyOutputs folder and open the StrategyTrades.csv. Open the trades file and off to the side make three columns with Symbol, Entry Date, Exit Date. Copy those into the Symbol box and construct your second backtest that will enter and exit based on the dates you pasted.

null

 

Make a formula that collects the entry and exit dates.

null

 

Select the Symbol,Entry,Exit and copy.

null

 

Paste into the Symbols box in the Create New Backtest section.

null

 

Run the backtest. Click on the box next to the test along with the original backtest. Click 'Combine' and the new test will have the combined results of the two tests.

null

 

Here I chose to under-weight the long call vs the put fly.

null

 

Trial the backtester for yourself.

 

related posts

Long Puts Backtest Using The Optimizer
Nov
23
Backtesting, puts, hedging

Long Puts Backtest Using The Optimizer

Read Post
Which Diagonal Put Spread Strategy Is Right For You?
Nov
21
Backtesting, put spread, diagonal spread

Which Diagonal Put Spread Strategy Is Right For You?

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT