Backtest
Run backtest for various products (long/short): call/put, risk reversal, straddle/strangle, spreads
Currencies: Select cryptocurrency.
Texp: Select time to expiration (in days).
Moneyness (% change): Change in strike price relative to spot/ATM strike, positive for a call and negative for a put. Relevant to define the strikes of calls and puts for the various strategies.
Moneyness Cap (% change): Relevant for call and put spreads to determine the upper strike price (for a call spread) or lower strike price (for a put spread) as a % change in strike (negative for the put and positive for the call) relative to spot/ATM strike.
Direction: Select the direction (long/buy or short/sell) of the position in the selected product(s).
PnL Indicator: Select PnL indicator:
PnL$ shows the daily PnL associated with buying 1 position every day.
Cumul. PnL shows the cumulative PnL associated with buying 1 position every day.
Sharpe ratio shows the Sharpe ratio during rolling window
Pct. Pos. shows the percentage of positive returns during rolling window
Payoff shows the payoff diagram
Show products:
Call: The right, but not the obligation, to buy the underlier at a given price (strike) at expiration.
Put: The right, but not the obligation, to sell the underlier at a given price (strike) at expiration.
Risk Reversal: Buy a call and sell a put (for a long/buy position). Strike of call and strike of put determined by the Moneyness (% change).
Straddle / Strangle: Buy a call and a put (for a long/buy position). Strikes of call and put determined by the Moneyness (% change) – if 0, a straddle, otherwise a strangle.
Call spread: For a long position, buy a call (strike is determined by the Moneyness (% change) and sell a call at a higher strike price (strike is determined by the Moneyness Cap (% change)).
Put spread: For a long position, buy a put (strike is determined by the Moneyness (% change)) and sell a put at a lower strike price (strike is determined by the Moneyness Cap (% change)).
Straddle / Strangle capped: But a call and a put (strikes of call and put determined by the Moneyness (% change)). Sell a call and a put (strikes of call and put determined by the
Moneyness Cap (% change)).
Future: Buy the underlier (at expiration) at the current spot price.
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