⚙️ Configure an Option Structure

Defining an option structure is the first and most important step when setting up a backtest in Allasso. The Structure section allows you to build strategies ranging from simple single-leg trades to complex multi-leg spreads using customizable logic for strike selection, expiry handling, and sizing.

This article guides you through configuring your option legs in the backtester interface.

Selecting Number of Legs

Use the "Legs" dropdown to choose how many legs your strategy will have. Each leg represents a single option position (e.g., a long put, short call, or future).

📌 Example: A 2-leg put spread might include a short 25-delta put and a long 5-delta put.

Configure Each Leg

📸 Example Configuration

The example above shows a short 25-delta put and a long 5-delta put, both rolled with 30 days to expiry. This is a classic bull put spread, expressed in notional terms.

For each leg, you’ll need to define the following parameters:

• Id - Unique identifier for tracking a specific leg in results or analytics.
• Underlying Id - ID of the underlying instrument for the option (e.g., IND.ES).
• Instrument Type - Call, Put, Future, or Stock.
• Weight Type – Sizing Method: Notional, Lots, etc.
• Weight – Value used for sizing the leg based on the weight type. 🔍 Details on weights
• Min DTE – Minimum days to expiry; triggers roll when breached (if enabled).
• Nearest – Which contract to trade (1st, 2nd, 3rd in the chain) 🔍 Details on contract selection
• Strike Type - Method for selecting strikes: delta, %OTM, or absolute
• Strike - The value used with your selected strike type (e.g., delta = 25 ) 🔍 Details on strike selection
• Period - Contract cycle selection, such as Month or Quarter
• Period Contract - Optional filter to target specific months (e.g., March) 🔍 Details on Period selection 

💡 You can mix and match strike logic and expiry rules across legs for full control of structure behavior.

🛠 Tips for Structuring Strategies

• Use negative weights for short legs and positive weights for long legs.
• Match DTE and period settings across legs for cleaner rolls.