Discover your edge with private, custom backtests.
Professional, confidential research to help validate your ideas and benchmark strategy performance.
Professional, Custom Backtests
Publicly-scrutinized and accepted backtesting methodology.
1,000+ Public Backtests
Over a thousand backtests have been published, publicly reviewed, challenged and successfully defended against independent critique.
10,000,000+ Occurrences
Over ten million trade occurrences have been scanned from option chains, analyzed and reported in a neutral assessment of strategy performance.
Double Validation
Backtest calculations and portfolio modeling are performed in parallel, independent platforms to ensure data accuracy and validity of results.
Confidential Results
All communications, ideas and outcomes are kept confidential and will not be published.
Comprehensive Portfolio Modeling
Define and observe your portfolio’s characteristics.
Strategy
Configuration
A birds-eye view of the backtest configuration including position entry and exit mechanics, strategy start and end dates, and more.
Starting Capital
and Leverage
Define a maximum leverage target and see how much starting capital would have been needed to execute a strategy, or specify a fixed amount of starting capital and see whether a strategy would have generated a margin call.
Win Rate
Statistics
Observe the count of trades, how many were held till expiration vs managed, the count of losers and winners, the average loss and win, and the overall win rate.
Margin and
Commissions
Decide whether margin collateral should be held in 3-month US treasuries earning the risk-free rate or something more exotic.
Define the commission rate to use throughout the backtest.
Discern how collateral allocation and trade fees influence the bottom line.
Performance
Statistics
Using the portfolio’s start and end values and the backtest start and end dates, the annualized geometric return (CAGR), annualized volatility and risk-adjusted return (sharpe ratio) are calculated.
Risk Management
and Drawdowns
Identify the portfolio’s most extreme activities such as max drawdown, max drawdown duration, max drawdown date, best and worst trades and best and worst monthly return.
Transparent Research
Receive granular reports, trade logs and any additional resources used.
Summary
Spreadsheet
Review high-level equity curve charts and tabular, side-by-side performance characteristics for all backtests in the commissioned research.
Review a simulated 10-backtest summary spreadsheet on fictitious underlying “XYZ.”
Calculation
Spreadsheet
Dive deep into strategy characteristics like accumulated trade commissions, running margin utilization, interest earned on portfolio cash, portfolio drawdowns and more, each calendar day in the backtest.
Review a simulated 10-delta calculation spreadsheet on fictitious underlying “XYZ.”
Trade Logs and Supplemental Data
Receive a copy of the raw trade logs along with any custom filters or tools built to model the portfolio, strategy, or proprietary signal in accordance with the strategy methodology and requirements.
Pricing and Examples
All prices are in USD.
What people are saying…
Prospective clients may not obtain the same or similar results.