Backtest Option Strategies, check historical performance, validate your option trading ideas using options simulator / software / tool as a service

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Call and Put Options Strategies

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Options Screener (Oscreener.com) is a solution for Stock Option Traders who are looking to screen the market for the optimal strategies and backtest ideas before risking any capital.

Oscreener Features:

1. Screener (partly available for free)
Screener allows users to screen through Bull Put Spreads, Long Calls, Covered Calls and other strategies using technical parameters such as moving average, daily/weekly/monthly moves, distance to breakeven, volatility, volume and delta, gamma, theta, and vega of these strategies.
2. Backtester
Back-tester allows users to backtest and optimize options strategies using historical data. Backtester also helps users to analyze options strategy performance and validate trading ideas.
3. Notifier
Notifier automatically screens the entire options market every day and allows users to screen each individual strategy rather than separate strategy legs.
Notifier also allows users to save 'screens' and enable email notifications for consistent trading.

Bull Put Spread can be applied on a monthly basis when a trader is moderately confident of an upcoming rise in the underlying asset and wants some protection and profit, should the underlying asset remains stagnant.

Bear Call Spread can be applied on a monthly basis when a trader is moderately confident of an impending fall in the underlying asset and wants some protection and profit, should the underlying asset remains stagnant.

How to use Oscreener:

Step 1 Identify the market trend and/or the trend for each optional individual equity For example: Bull Put Spread or Bear Call Spread.
Step 2 Select a trading period. For example 25 days. This means you are expected to enter the market 25 days before every options expiration date. Options usually expire on third Saturday of every month. For example: Enter the market 25 days before every options expiration date every month.
Step 3 Allocate a trading capital and pick the number of strategies to trade per each trading period. For example $5000 budget and five strategies with a budget of $1000 per strategy per trading period of 25 days
Step 4 Use Back-Tester to tweak your strategy and pick the strategies with the higher success rate and return. For example: Select the five highest market performers for the previous month and analyze your strategy historical performance. Filter out stocks with higher volatility and increase strategies distance to breakeven etc.
Step 5 Use Trading Notifier to set a notification with the selected trading parameters. This allows users to get an updated list of potential strategies for consistent and continuous trading. The reminders of potential strategies are sent via email in the evening before the day when you are expected to enter the market with options matching your strategy. For example: After tweaking and identifying your strategy, clicking on the “Notifier” tab and selllecting “Add to Notifier” will add the strategy to your Notifier panel and alert you of the next time it finds strategies matching your criteria.
Step 6

Enter the market and monitor your strategy positions, and set alerts within your options trading platform when to exit the strategy.

Note: The Oscreener reminder will only remind you of the found strategies the evening before every trading period you originally selected in theTrading Reminder.

For example: Identify the strategy and enter the market via your broker platform (Options Express, Interactive Brokers etc.) Make sure the price of the legs has not changed slightly before entering the market. Otherwise, recalculate the strategy based on the live data from your broker account and enter the market with the appropriate options legs and profit target.
Step 7 Keep the strategies until expiration or exit the losing strategies earlier using your trading platform alerts. The backtester should help you to analyze when it is better to exit the losing strategies. The most most common exit is when the strategy performance is near or crosses breakeven point.
Step 8 Check your email for new Oscreener strategies and enter the market again with the new strategies. The email notifier should give you an updated list of strategies every trading period. Enter the market with selected equities and target profit. Set an alert when to exit the market for each strategy.
  Repeat Steps 6, 7, 8  

 

Definitions

Screen, Options Sceener An instrument for processing and filtering specified options strategies
All optionable equities All Stocks with options.
Portfolio A group of option strategies held together for trading purposes.
Specify Specify a list of stocks for screening their strategies. For example: GOOG AAPL BIDU
Trend A general direction in which stock price tends to move. The trend can be bullish, bearish or neutral.
Bullish trend A market view that anticipates higher stock prices
Bearish trend A market view that anticipates lower stock prices
Neutral trend A market view that anticipates minimum changes to the stock prices
Bull Put Spread Also known as bullish vertical put credit spread. This strategy involves selling a put with a higher strike and buying a put with a lower strike. The profit is achieved when the stock price remaines at or above the higher strike price until the time the options expire.
Bear Call Spread Also known as bearish vertical call credit spread. This strategy involves selling a call with a lower strike and buying a call with a higher strike. The profit is achieved when the stock price remaines at or below the lower strike price until the time the options expire.
Budget per strategy Allocate budget per options strategy in dollars. This is also considered as "possible loss per each" strategy.
Expiration period This is a period after which the strategy options expire and the strategy profit/loss is assigned to the options owner.(if expired in-the-money)
Front volatility(Imp. Vol-ty) Also known as Implied volatility. The amount of movement expected in the stock given the current price of the options.
Greeks Option Greeks allow option traders to objectively calculate changes in the value of the option contracts in their portfolio with changes in factors that affects the value of stock options. Greeks referr to delta, gamma, vega, theta and rho.
Delta

For Vertical Spreads it is the difference between two deltas of each strategy. Delta is considered the sensitivity to stock price changes. Delta diff is normally positive in a Bull Put Spread and negative in a Bear Call Spread.
For Covered Calls it is a 1 minus standard options delta value.

For Long Calls and Puts is the difference between two deltas of each strategy in a single contract.

Gamma

Gamma refers to the sensitivity of Delta towards stock price changes.
For Vertical Spreads it is a difference between two gammas of each strategy.   Gamma is negative when the position is profitable and positive when the position is unprofitable in both Bull Put Spread and Bear Call Spread strategies.

For Covered Calls, Long Calls, Long Puts gamma value - is the sensitivity of Delta towards stock price changes of a single contract.
Theta

Theta refers to the sensitivity to time decay.
For Vertical Spreads it is the difference between two thetas of each strategy. Theta is considered to be sensitive to time decay. Theta is positive when the position is profitable and negative when the position is unprofitable in both Bull Put Spread and Bear Call Spread strategies.

For Covered Calls, Long Calls, Long Puts theta value is a sensitivity parameter to time decay in a single contract.
Vega

Vega is a sensitivity paramerer of changes in stock price volatility.
For Vertical Spreads it is the difference between two vegas of each strategy. Vega is negative when the position is profitable and positive when the position is unprofitable in both Bull Put Spread and Bear Call Spread strategies.

For Covered Calls, Long Calls, Long Puts vega is a stock price volatility of a single contract.
Minimum Volume The minimum number of contracts traded on a single leg of a selected strategy.
Distance to breakeven (dist. to breakeven) Measured in %. For vertical spread strategies, it is the distance to the point at which your profit from one leg of the strategy just covers your loss of the other leg of your strategy. For Long Call and Put option strategies, distance to breakeven is a measure to identify how much the price should rise or fall (in%) before reaching breakeven. 
Technical Performance Stock price performance in specific time frames. For Example: Daily, Monthly.
Daily % Rate of return for a stock for a daily time frame.
Weekly % Rate of return for a stock for the last 5 trading days.
Monthly % Rate of return for a stock for the last 21 trading days.
Quarterly % Rate of return for a stock for the last 84 trading days.
Technical Moving Average Method of smoothing out data on price charts so that trends are easier to spot. This forecasting method calculates the average stock price over a fixed number of time periods relative to the date the forecast is generated.
5 Day MA Stocks trading above an average of five daily settlement prices are displayed as "Above" and stocks trading below an average of five daily settlement prices are displayed as "Below".
20 Day MA Stocks trading above an average of 20 daily settlement prices are displayed as "Above" and stocks trading below an average of 20 daily settlement prices are displayed as "Below".
50 Day MA Stocks trading above an average of 50 daily settlement prices are displayed as "Above" and stocks trading below an average of 50 daily settlement prices are displayed as "Below".
100 Day MA Stocks trading above an average of 100 daily settlement prices are displayed as "Above" and stocks trading below an average of 100 daily settlement prices are displayed as "Below".
Leg Number of contracts bought and sold per each strategy leg. Bull Put Spread or Bear Call Spread strategy is achieved by placing two separate orders (legs). For example buying lower strike put options(leg1) and selling higher strike put options(leg2).
Ticker The ticker is the stock exchange symbol that company is listed under on the stock exchange.
Stock Price Stock Price is the price of a single share of a company's stock on the Stock Exchange
Profit % ROR(Return on Risk) A percentage of potential net credit(premium) to receive when stock price reaches anticipated level
MaxProfit In Credit Spreads the maximum potential profit (premium) is in dollars to receive when both legs of the credit spread expire worthless and the stock price remained above the strike of the short leg at the expiration.
MaxLoss In Credit Spreads the maximum potential loss is in dollars to receive when both legs of the credit spread expire worthless and the stock price remained below the strike of the long leg at the expiration.
Leg1 and Leg2 Number of Option contracts to order at leg 1 and leg 2 of the strategy. This allows to set a profit target and potential loss. Ordering one option for each leg of the strategy may bring $X profit or $Y loss. Ordering 5 options for each leg of the strategy may bring 5*$X profit or 5*$Y loss.
Leg1 Leg1 can be a first part of Bull Put Spread or Bear Call Spread strategy and it consists of Put or Call, Strike price and Expiration date.
Leg1 Price Price of the first options leg(Option premium)
Leg2 Leg 2 can be a second part of the strategy Bull Put Spread or Bear Call Spread and it consists of Put or Call, Strike price and Expiration date.
Leg2 Price Price of the second options leg(Option premium).
Breakeven Breakeven in vertical spreads is the point at which your profit from one leg of the strategy covers your loss of the other leg of your strategy. For a call option strategy, breakeven is the strike price plus the premium paid. For a put option strategy, it is the strike price minus the premium paid.

1. I am looking to backtest my strategy where I would like to buy GOOG AtTheMoney Call options 25days before expiration every month. Is it possible to see a historical performance of this strategy with oscreener?

Yes, by doing the following:

-From the home page, click “Screener”

       

- Select ticker : (GOOG)

- Select strategy type: Long Call

- Specify a budget per strategy (For example: $10000)

   

- Set expiration date (+/-25 days before expiration)

               

- Switch from “Basic Filter” to “Advanced” screener under Strategy counter.

               

- Under Greeks section > specify Delta: 0.4 to 0.6 to see At-The-Money Call Options

         

- Hit Backtester at the top menu and wait. (It takes some time to process historical data.)

- at backtester parameters select the maximum number of strategies per trading period as 1

               

- scroll down and review strategy performance and tweak screener and backtester parameters to optimise performance and analyze results.

2. I would like to backtest specific optionable equity or portfolio or entire market. Is it possible with oscreener?

Yes, from the home page, click “Screener”

- Switch from “Basic Filter” to “Advanced” screener under Strategy counter.

- Select “Screen Option strategies” and specify “All optionable equities” or “specify tickers”

- You can also create a portfolio: Main page > “My account” (at the top right corner)

                                 

- Click on portfolio > Add a record > type name and tickers with spaces and save.

     >  >  >

- Now go back to Screener > ”Advanced” > “Screen option strategies section” > select your portfolio:

3. I would like to save my strategy screens and stay notified via email when matching strategies are available on the market. Is this possible?

Yes, you can save your ‘screens’ using the Notifier and enabling email notification. This feature is currently available for Premium Subscribers.

4. I would like to backtest my strategy where I enter the market periodically every 29 days before monthly expiration date. Is this possible?

Yes, you can backtest option strategies with up to 90 days before expiration.

5. How do I screen the strategies by In-The-Money (ITM) or Out-The-Money (OTM) or At-The-Money (ATM) ?

Use greeks to filter strategies by ITM,ATM or OTM.

- Open the Options screener: http://www.oscreener.com/options_screener

- Select Advanced screener

                                               

- Select “Greeks” view  and filter strategy by delta

                                         

 

For example:

+/- ATM Bull Put Spread can be found by sorting results by the highest delta.

+/- ATM Long Put can be screened by specifying Delta from -0.6 to -0.4

+/- ATM Long Call can be screened by specifying Delta from 0.4 to 0.6

+/- ATM Short Put can be screened by specifying Delta from 0.4 to 0.6

6. What type of data is used by Oscreener?

End-of-day options data. Oscreener was developed for Option Traders who are looking to screen and backtest 1-12 week long option strategies. 1-12 week long strategies are usually the most liquid. (and the most popular).

7. I would like to backtest the Iron Condor options strategy. Is it possible with Oscreener?

At the moment, backtesting Iron   Condor  as a single strategy is not possible. However, you can backtest each leg (For example: Bull Put Spread and Bear Call Spread) and combine results. This should give you more flexibility with tweaking each leg of Iron   Condor  and comparing results.

8. I don't have enough understanding about options. Is there a demonstration video where I can see how  the backtester can be used?

Yes, sure. Here  is a quick demonstration on how backtester can be used to review strategy performance and optimize your options trading: http://www.youtube.com/watch?v=ENG8eV6lsIs&hd=1