# Backtest Strategies
This section of the documentation covers many of the option strategies that you could backtest. This is not an exhaustive list as you could run many other strategies not covered in this documentation.
We will go through each of the strategies and how the JSON payload would look like to backtest those strategies. Please read our parameters page for more details on each parameter.
# Stock Only
You can backtest the stock by specifying the stockPosition type as stockOnly and ratio of -1 or 1.
# Long Stock
Description: SPY Long Stock.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}],
"stockPosition" : {"type" : "stockOnly", "ratio" : 1}
},
"entry": {
"options": []
}
}
# Short Stock
Description: SPY Short Stock.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}],
"stockPosition" : {"type" : "stockOnly", "ratio" : -1}
},
"entry": {
"options": []
}
}
# Long Call
Description: SPY Long Call with a target of 40 days to expiration (acceptable ranges 30 to 50) and .65 delta (acceptable ranges .55 to .75). The backtest will pick the closest target value for the trade. So it will choose the closest DTE of 40 days and .65 delta.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.65,
"min": 0.55,
"max": 0.75
}
}
}
}]
}
}
# Short Call
Description: SPY Short Call with a target of 40 days to expiration and .35 delta. Notice the ratio is flipped to negative for Shorting the option.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.25,
"max": 0.45
}
}
}
}]
}
}
# Long Put
Description: SPY Long Put with a target of 40 days to expiration and .65 delta. The parameter optionType is set to put to change from call to put.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.65,
"min": 0.55,
"max": 0.75
}
}
}
}]
}
}
# Short Put
Description: SPY Short Put with a target of 40 days to expiration and .35 delta.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.25,
"max": 0.45
}
}
}
}]
}
}
# Covered Call
Description: SPY Covered Call with a target of 40 days to expiration (acceptable ranges 30 to 50) and .35 delta (acceptable ranges .30 to .40). The backtest will pick the closest target value for the trade. StockPosition is set to married with a long stock position.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}],
"stockPosition" : {"type" : "married", "ratio" : 1}
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.30,
"max": 0.40
}
}
}
}]
}
}
# Married Put
Description: SPY Long Put with a target of 40 days to expiration and .25 delta. StockPosition is set to married with a long stock position.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}],
"stockPosition" : {"type" : "married", "ratio" : 1}
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.25,
"min": 0.20,
"max": 0.30
}
}
}
}]
}
}
# Overlay
Description: SPY Overlay Call (buy write) with a target of 40 days to expiration and .30 delta. StockPosition is set to overlay with a long stock position. The stock will be held from startDate to endDate and a call option will be sold after every 40 days.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}],
"stockPosition" : {"type" : "overlay", "ratio" : 1}
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 40,
"min": 30,
"max": 50
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.25,
"max": 0.35
}
}
}
}]
}
}
# Long Call Spread
Description: SPY Long Call Spread with a target of 35 days to expiration, .50 delta for the long leg, and .35 for the short leg. We added another option object inside the options array with a call option, set the leg to 2 and ratio flipped. We also included a parameter called legRelation that lets you control the relationship of each leg with one another. We set dteDiff.leg1Leg2.min = 0 and dteDiff.leg1Leg2.max = 0. This will restrict the days to expiration for each leg to be equal. The equation is Leg1DTE - Leg2DTE = dteDiff.Leg1Leg2. So if we set it to min = 0 and max = 0, we are saying Leg1DTE and Leg2DTE should be the same. In the next example we will introduce strikeWidth.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": -1,
"optionType": "call",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.25,
"max": 0.45
}
}
}
}],
"legRelation": {
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Short Call Spread
Description: SPY Short Call Spread with a target of 35 days to expiration, .20 delta for the long leg, and .40 for the short leg. We also set the legRelation.strikeWidth.leg1Leg2.min = 1 so that Leg1 Strike is at least $1.00 higher than Leg2 Strike. The formula is Leg1Strike - Leg2Strike = strikeWidth.leg1Leg2. This will protect us from entering the trade at the same strike. To avoid negative strikes to set the strike width, we generally want to set Leg1 as the higher strike and Leg2 as the lower strike when using the strikeWidth filter.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.20,
"min": 0.15,
"max": 0.25
}
}
}
},
{
"ratio": -1,
"optionType": "call",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.40,
"min": 0.25,
"max": 0.55
}
}
}
}],
"legRelation": {
"strikeWidth": {
"leg1Leg2": {
"min": 1,
"max": null
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Long Put Spread
Description: SPY Long Put Spread with a target of 35 days to expiration, .50 delta for the long leg, and .35 for the short leg.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.25,
"max": 0.45
}
}
}
}],
"legRelation": {
"strikeWidth": {
"leg1Leg2": {
"min": 1,
"max": null
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Short Put Spread
Description: SPY Short Put Spread with a target of 35 days to expiration, .20 delta for the long leg, and .40 for the short leg.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [
{
"ratio": 1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.40,
"min": 0.25,
"max": 0.55
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.20,
"min": 0.15,
"max": 0.25
}
}
}
}],
"legRelation": {
"strikeWidth": {
"leg1Leg2": {
"min": 1,
"max": null
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Long Straddle
Description: SPY Long Straddle with a target of 35 days to expiration and .50 delta. We also set the legRelation.deltaTotal.leg1Leg2.min = -0.02 and legRelation.deltaTotal.leg1Leg2.max = 0.02 so that we can enter the Long Straddle at or near delta neutral. The formula is Leg1Ratio * Leg1Delta + Leg2Ratio * Leg2Delta = legRelation.deltaTotal.leg1Leg2.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": 1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
}],
"legRelation": {
"deltaTotal": {
"leg1Leg2": {
"min": -0.02,
"max": 0.02
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Short Straddle
Description: SPY Short Straddle with a target of 35 days to expiration and .50 delta. To convert the Long Straddle to Short straddle, just flip the ratio to negative for both legs.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
}],
"legRelation": {
"deltaTotal": {
"leg1Leg2": {
"min": -0.02,
"max": 0.02
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Long Strangle
Description: SPY Long Strangle with a target of 35 days to expiration and .30 delta on both sides.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
}
},
{
"ratio": 1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
}
}],
"legRelation": {
"deltaTotal": {
"leg1Leg2": {
"min":null,
"max": null
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Short Strangle
Description: SPY Short Strangle with a target of 35 days to expiration and .30 delta. To convert the Long Strangle to Short Strangle, just flip the ratio to negative for both legs.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
}
}],
"legRelation": {
"deltaTotal": {
"leg1Leg2": {
"min":null,
"max": null
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}
# Long Call Calendar
Description: SPY Long Call Calendar with a target of 30 days to expiration for the short option, 65 days for the long option, and .50 delta for both legs. We also set the legRelation.dteDiff.leg1Leg2.min = 1 so it protect us from entering both legs at the same expiration.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 65,
"min": 45,
"max": 85
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": -1,
"optionType": "call",
"leg": 2,
"opening": {
"dte": {
"target": 30,
"min": 15,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
}],
"legRelation": {
"dteDiff": {
"leg1Leg2": {
"min": 1,
"max": null
}
}
}
}
}
# Long Put Calendar
Description: SPY Long Put Calendar with a target of 30 days to expiration for the short option, 65 days for the long option, and .50 delta for both legs. We also set the legRelation.dteDiff.leg1Leg2.min = 1 so it protect us from entering both legs at the same expiration.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 65,
"min": 45,
"max": 85
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 30,
"min": 15,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
}],
"legRelation": {
"dteDiff": {
"leg1Leg2": {
"min": 1,
"max": null
}
}
}
}
}
# Short Call Calendar
Description: SPY Short Call Calendar with a target of 30 days to expiration for the long option, 65 days for the short option, and .50 delta for both legs. We also set the legRelation.dteDiff.leg1Leg2.min = 1 so it protect us from entering both legs at the same expiration.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 65,
"min": 45,
"max": 85
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": 1,
"optionType": "call",
"leg": 2,
"opening": {
"dte": {
"target": 30,
"min": 15,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
}],
"legRelation": {
"dteDiff": {
"leg1Leg2": {
"min": 1,
"max": null
}
}
}
}
}
# Short Put Calendar
Description: SPY Short Put Calendar with a target of 30 days to expiration for the long option, 65 days for the short option, and .50 delta for both legs. We also set the legRelation.dteDiff.leg1Leg2.min = 1 so it protect us from entering both legs at the same expiration.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 65,
"min": 45,
"max": 85
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": 1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 30,
"min": 15,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
}],
"legRelation": {
"dteDiff": {
"leg1Leg2": {
"min": 1,
"max": null
}
}
}
}
}
# Long Call Butterfly
Description: SPY Long Call Butterfly with a target of 35 days to expiration, .25 delta on the 1st leg, .50 delta on the middle strike, and .75 on the 3rd leg. We set strikeWidth.leg1Leg2 to 5 and strikeWidth.leg2Leg3 to 5 in order to have our butterfly trade to be $5.00 wide on each wing.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.25,
"min": 0.15,
"max": 0.35
}
}
}
},
{
"ratio": -2,
"optionType": "call",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": 1,
"optionType": "call",
"leg": 3,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.75,
"min": 0.65,
"max": 0.85
}
}
}
}],
"legRelation": {
"strikeWidth": {
"leg1Leg2": {
"min": 5,
"max": 5
},
"leg2Leg3": {
"min": 5,
"max": 5
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
},
"leg2Leg3": {
"min": 0,
"max": 0
}
}
}
}
}
# Long Put Butterfly
Description: SPY Long Put Butterfly with a target of 35 days to expiration, .75 delta on the 1st leg, .50 delta on the middle strike, and .25 on the 3rd leg. We set strikeWidth.leg1Leg2 to 5 and strikeWidth.leg2Leg3 to 5 in order to have our butterfly trade to be $5.00 wide on each wing.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": 1,
"optionType": "put",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.75,
"min": 0.65,
"max": 0.85
}
}
}
},
{
"ratio": -2,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.50,
"min": 0.45,
"max": 0.55
}
}
}
},
{
"ratio": 1,
"optionType": "put",
"leg": 3,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.25,
"min": 0.15,
"max": 0.35
}
}
}
}],
"legRelation": {
"strikeWidth": {
"leg1Leg2": {
"min": 5,
"max": 5
},
"leg2Leg3": {
"min": 5,
"max": 5
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
},
"leg2Leg3": {
"min": 0,
"max": 0
}
}
}
}
}
# Iron Condor
Description: SPY Iron Condor with a target of 45 days to expiration, .35 call delta on the short 1st leg, .15 call delta on the long 2nd leg, .35 put delta on the 3rd short leg, and .15 put delta on the 4th long leg. Don't forget to set dteDiff for all the leg relations to enter into the same expiration date.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}]
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 45,
"min": 35,
"max": 65
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.30,
"max": 0.45
}
}
}
},
{
"ratio": 1,
"optionType": "call",
"leg": 2,
"opening": {
"dte": {
"target": 45,
"min": 35,
"max": 65
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.15,
"min": 0.10,
"max": 0.20
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 3,
"opening": {
"dte": {
"target": 45,
"min": 35,
"max": 65
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.35,
"min": 0.30,
"max": 0.45
}
}
}
},
{
"ratio": 1,
"optionType": "put",
"leg": 4,
"opening": {
"dte": {
"target": 45,
"min": 35,
"max": 65
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.15,
"min": 0.10,
"max": 0.20
}
}
}
}],
"legRelation": {
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
},
"leg2Leg3": {
"min": 0,
"max": 0
},
"leg3Leg4": {
"min": 0,
"max": 0
}
}
}
}
}
# Short Strangle with Adjustment
Description: SPY Short Strangle with a target of 35 days to expiration and .30 delta. Our adjustment strategy will be to adjust the challenged side of the option when the challenged option leg rises above .75 delta. We will only adjust the legs at most 2 times and adjust the leg if the option has 20 dte or less left. We will adjust the legs at the same dte and strike selection as the opening trade.
{
"general": {
"startDate": "2007-01-03",
"endDate": "2019-04-16",
"symbols": [{
"symbol": "SPY",
"weight": null,
"signals": null
}],
"adjustmentMaxCount" : 2
},
"entry": {
"options": [{
"ratio": -1,
"optionType": "call",
"leg": 1,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
},
"adjustment":
{
"daysForAdjusting": {
"min": null,
"max": 20
},
"trigger": {
"type": "absDelta",
"value" : {
"min": null,
"max": 0.75
},
"tiedTo": {
"leg": null,
"min": null,
"max": null
},
"adjustLegs" : [1]
},
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
}
},
{
"ratio": -1,
"optionType": "put",
"leg": 2,
"opening": {
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
},
"adjustment":
{
"daysForAdjusting": {
"min": null,
"max": 20
},
"trigger": {
"type": "absDelta",
"value" : {
"min": null,
"max": 0.75
},
"tiedTo": {
"leg": null,
"min": null,
"max": null
},
"adjustLegs" : [2]
},
"dte": {
"target": 35,
"min": 25,
"max": 45
},
"strikeSelection": {
"type": "absDelta",
"value": {
"target": 0.30,
"min": 0.20,
"max": 0.40
}
}
}
}],
"legRelation": {
"deltaTotal": {
"leg1Leg2": {
"min":null,
"max": null
}
},
"dteDiff": {
"leg1Leg2": {
"min": 0,
"max": 0
}
}
}
}
}