🚀 Quick Start Tutorial: Your First Backtest

Welcome to the Allasso Option Backtesting Tool—your engine for testing, refining, and understanding the behavior of options strategies over time. This quick tutorial will walk you through setting up and running your very first backtest in just a few minutes.

You’ll build a simple 2-leg bull put spread on the E-mini S&P 500 index, define basic roll conditions, and learn how to interpret the results. No prior quant experience required—just curiosity and a strategy idea.

By the end of this guide, you’ll know how to:

• Define legs using delta-based strikes
• Configure equity, rolling, and signal parameters
• Run a simulation and evaluate performance metrics

Once you've completed your first run, you can begin experimenting with signals, hedging logic, and more advanced multi-leg strategies. This is just the starting point—what you build next is up to you.

Let’s get started!

You can access the Option Backtesting Tool at https://allasso.app/backtesting/. If you don't have access yet, please contact our sales team at sales@allasso.ch.

Here is the main page of the Backtesting app—this is where you’ll set up and configure your first strategy. From this screen, you can define your option structure, apply signals, set equity and rolling rules, and launch a simulation with just a few clicks.

To set up a basic short put spread, start by selecting two legs in the "Legs" input.

Then configure the legs as follows:

• Leg #1: Short 30-delta put
  • Underlying Id: IND.ES - E-mini S&P 500
  • Weight:  -100 (notional)
  • Min DTE: 3
  • Nearest: 1
  • Strike: 30 (delta)
• Leg #2: Long 10-delta put
  • Underlying Id: IND.ES - E-mini S&P 500
  • Weight: 100 (notional)
  • Min DTE: 3
  • Nearest: 1
  • Strike: 10 (delta)

This creates a 30/10 delta short put spread that rolls each position when it reaches 3 days to expiry. We invest 100% of our equity in terms of notional value in this put spread. 

After configuring your option structure, you can customize key portfolio-level settings to match your strategy assumptions:

• Start Equity (M$): Define your starting capital, such as 10 for $10 million. This determines the notional size of trades.
• Equity Type: Choose between compounding (capital grows with P&L) or static (notional size remains constant over time).
• Hedge Type: Optionally apply a hedging method (e.g., daily/weekly/monthly delta hedge), or leave it no to run the strategy unhedged.

You can also define entry and exit signals to control when trades are opened or closed based on specific conditions. If no signal is selected, the backtester will attempt to maintain the position continuously throughout the entire historical period, rolling based on the DTE rules you set. This is useful for testing baseline, always-on strategies.

Once you click Recalculate, the backtester will generate a complete simulation of your strategy, displaying results across several rich and transparent outputs:

• 📈 Equity Curve: Visualizes cumulative performance over time so you can spot drawdowns, trends, and turning points.
• 📊 Core Metrics: Includes CAGR, Sharpe, Max Drawdown, Profit Factor, and more—giving a quick view of strategy quality.
• 📅 Monthly P&L Table: Displays a year-by-year breakdown of returns, helping identify seasonality or volatility patterns.

Unlike a black-box system, the backtester gives you complete transparency:

• 🧾 Access every individual trade and daily holdings over the entire historical period.
• 📉 Add advanced analytics like:
  • Value-at-Risk (VaR) on holdings
  • Daily or monthly P&L attribution by leg, delta, or time decay
• 📤 Export all results and raw data (trades, holdings, analytics) for external analysis or reporting.

This flexibility enables you to validate your strategy assumptions and refine your approach with confidence.