How I did per minute 0 DTE backtest on Option Omega?
Recently I've been inspired to do more advance backtest on OptionOmega with the advance signal CSV method. Specifically, I've been doing it for 0 DTE credit spread per minute entry. So I'll use that as example for this guide.
First, we run a backtest on OO to churn out a trade log that has every minute entry in it. Let's say we do it for Jan 2023.
Set a standard 0 DTE credit spread:
Set the Profit Target and Stoploss to 1%.
This is the 1st part to make the trade exit every minute.
Set the following Exit Conditions:
- Exit when OTM Short Leg is +/- 200 from underlying
- Exit when underlying price moves +/- 1
This is the 2nd part to make sure the trade exit every minute.
Set the Re-Entry on every condition available and delay re-entry by 0 minutes.
This is to ensure it re-enters every minute.
Run the test, it will show ETA 5 seconds but OO is underestimating this run.
It'll probably take 3-4 minutes, so wait for it.
The result of this run is not important, few things to note here.
1. Quick look at the trade logs shows us every minute entries.
2. There's 7740 trades, which is about entire month every minute entries.
Download the tradelogs for this run (green arrow).
So with this trade logs, we're going to convert it to a signal csv. So I build a python script that does that. Basically converting every single entry in the OO tradelogs into an entry in the signal csv format. Don't worry, you don't need to run the python script. I made the web based version here - https://www.vocsong.com/optionomega-tools/
So now you'll have the signal CSV file to run a custom signal csv backtest.
Now do a proper backtest like you intended, at the end of the backtest setup, enable "Use CSV Custom Signals File"
There's no need to use exit times and strikes because we only want to use the entry time for the signal. Other than entry time, this run will use the rest of the configurations set in the backtest.
If you don't have this CSV File settings, you might need to enable it in your:
Profile > Settings > Preferences > Show Advanced Options
There you go, now you can run per minute 0 DTE backtest on OptionOmega too.
Not only that, with this trade logs to signal csv conversion. You can actually try to run some interesting custom csv way, its up to your creativity now. Do let me know what you can come up with, I'll definitely be interested to explore.
I hope this opens up different ways to run backtests on OptionOmega and inspire more strategies. If you can think of other similar tools that can facilitate different kind of signal csv, please let me know too.