Backtest Lab
Fills modelled the way the exchange would have filled them, on real lot sizes and real expiry rules.
Fill realism
- Real lot sizes per underlying, not a notional round number
- Real expiry calendar, including holiday-shifted weeks
- Per-leg entry and exit, so a partial structure is priced as a partial structure
- Daily profit-and-loss attribution across a multi-day hold
Exits under test
- Nine exit mechanisms, each independently testable
- Per-leg stop-loss and target, or combined across the structure
- Stops in percent or points, on the leg or on the index, or in ATR
- Daily maximum loss and maximum profit cut-offs
- Square-off time as a hard backstop
What comes back
- Sharpe, Sortino, profit factor, recovery factor and expectancy
- Win rate, maximum drawdown and the Ulcer index
- Trade-by-trade ledger with entry and exit reasons
- Reports save, compare and export to PDF
Beyond one strategy
- Portfolio Matrix — run several strategies together and read their correlation
- Strategy Chains — arm the second strategy only once the first has closed
- Compare saved runs side by side
A run that finds no trades is reported as a warning, not as a success with an empty table.