💼 Holdings

Allasso's backtesting engine is fully transparent and stores the entire history of holdings and trade activity throughout the backtest period. The Holdings tab allows you to inspect what assets your strategy held on any given day of the backtest.

Accessing Holdings

You can view holdings by:

1. Running a backtest.
2. Navigating to the Holdings tab.
3. Use the horizontal slider on the equity chart to select a date of interest.

Once a date is selected, the Holdings panel will display all positions that were open at that point in time, including:

• Underlying ID
• Trade ID
• Entry Date
• Expiration Date
• Option Type
• Strike
• Quantity
• Entry Price & Current Price
• IV
• Greeks (Delta, Gamma, Vega, Theta)
• Underlying Price
• Contract Size

This snapshot provides a deep understanding of how the structure was built and how it evolved over time.

Risk Management Panel

Below the main holdings table, you’ll find the Risk Management summary. This view aggregates position-level risk metrics like:

• Unrealized P&L (absolute and %)
• Delta Exposure (% and contracts)

This section helps assess risk concentration and exposure of the portfolio at any point.

VaR Tab

Alongside risk metrics, Allasso provides a Value at Risk (VaR) calculator that simulates forward-looking risk using historical P&L:

• Select the number of VaR days (e.g., 500)
• Choose a holding period (e.g., 1 day, 5 days)
• Specify a confidence percentile (e.g., 95%)

You'll see both VaR and Expected Shortfall, along with a distribution chart showing the worst expected losses under typical market conditions.