Strategy specification

A request body has three required fields, start, end and structure, and five optional sections with sensible defaults.

{
  "name": "My strategy",
  "asset": "DER.BTC_USD",
  "start": "2026-05-01",
  "end": "2026-10-31",
  "structure": { "legs": [ ... ], "expiry": { ... }, "hedge": { ... }, "shared_strike": "..." },
  "lifecycle": { "rules": [ ... ], "entry_weekdays": [ ... ], "exit_weekdays": [ ... ] },
  "capital":   { "initial_equity": 100, "sizing": { ... } },
  "costs":     { "fill": "mark", ... },
  "clock":     { "decision_hour_utc": 8, ... }
}

Top level

date

required

First day, YYYY-MM-DD. Must fall inside your backtest lookback.

date

required

Last day, inclusive.

string

default:"DER.BTC_USD"

DER.BTC_USD or DER.ETH_USD (inverse, history from September 2021), DER.SOL_USDC (from February 2024) or DER.XRP_USDC (from March 2024).

string

default:"backtest"

A label for the run. It names the files of the csv and xlsx formats.

Structure

What to trade. Each position the strategy opens is one instance of this structure.

Leg[]

required

One to eight legs.

Show Leg fields

string

required

Your name for the leg, such as call or short_put. Rules refer to it as leg:<id>.

string

required

call, put or future.

string

required

long or short.

object

How the strike is chosen. Omit on a future leg.

{"by": "delta", "value": 0.25}: the strike nearest 25 delta (absolute value, for calls and puts alike)
{"by": "moneyness", "value": 1.03}: the strike nearest 103% of the forward
{"by": "absolute", "value": 120000}: a fixed strike price

number

default:"1.0"

Relative size. 2 with a 1 on another leg builds a ratio spread. The sign lives in direction.

object

Overrides structure.expiry for this leg, which is how calendars and diagonals are built. Same fields as below.

object

Which expiry the legs trade.

Show Expiry fields

string

default:"monthly"

monthly (last Friday of the month), third_friday, or listed (every listed expiry, including weeklies and dailies).

integer

default:"1"

Take the nth qualifying expiry. 2 is the second monthly, for a back leg.

number

default:"0"

Skip expiries closer than this many days.

number

Aim for a tenor instead: the listed expiry nearest this many days (above min_dte). Better than a floor where the expiry ladder has gaps.

string[]

Only expiries settling on these days, such as ["friday"]. Applied before nth, min_dte and target_dte.

string

The id of a leg whose strike every other option leg adopts. Two legs both asking for 50 delta land on different strikes; anchoring them makes a true straddle. Use it for calendars too.

object

Optional hedge, off by default.

Show Hedge fields

boolean

default:"false"

Turn the hedge on.

string

default:"delta"

delta is hedged with dated futures. vega and gamma are hedged with a listed option (a future has neither), and that option’s delta is then hedged in futures.

number

default:"0.05"

Net delta tolerated before rebalancing, absolute.

string

default:"coin"

Hedge in coin or usd terms. With usd, holding_hedge_ratio can also hedge part of the coin balance.

boolean

default:"true"

Hedge with the future of the same expiry as the options.

number

default:"1"

Roll the hedge future before this many days to expiry.

boolean

default:"false"

Allow the perpetual as a hedge. Off by default because funding is not modelled.

number

default:"0.5"

For vega or gamma hedges: delta of the hedge option.

number

default:"30"

For vega or gamma hedges: minimum tenor of the hedge option, and when it is rolled.

number

default:"0.1"

For vega or gamma hedges: residual tolerated, as a fraction of the book’s own greek.

Lifecycle

When positions open and close. With no rules and no weekdays, a position opens whenever the strategy is flat and is held to expiry.

Rule[]

Up to 16 exit rules, checked in order at every decision time. The first rule that fires closes the position, and its name is recorded as the trade’s reason.

{
  "name": "take_profit_50",
  "when": { "predicate": { "subject": "structure", "metric": "premium", "op": "below",
                           "value": -0.5, "unit": "percent", "reference": "entry" } },
  "do": { "action": "close_all" }
}

Show Predicate fields

string

default:"structure"

What is measured: structure, leg:<id>, underlying or portfolio.

string

required

premium, pnl, pnl_pct, delta, contract_delta, gamma, vega, theta, iv, dte, days_held, underlying_price or equity.

string

default:"above"

above and below test the level at every decision time. crosses_above and crosses_below fire only at the moment it is crossed.

number

required

The threshold.

string

default:"absolute"

How value is read. absolute is the metric itself. percent is a fractional change from reference: -0.75 is a 75% fall, 1.0 a doubling. coin, ticks, days and vol_points are changes in those units.

string

default:"absolute"

What a change is measured from: entry, prev_bar, high_water or low_water (best or worst since entry). Use absolute for a plain level.

Combine predicates with any or all, which can nest:

"when": { "any": [
  { "predicate": { "metric": "premium", "op": "above", "value": 0.5, "unit": "percent", "reference": "entry" } },
  { "predicate": { "metric": "dte", "op": "below", "value": 7 } }
] }

do.action is close_all (the whole structure) or close (only do.target, such as leg:short_call).

string[]

Open new positions only on these days, such as ["friday"].

string[]

Close whatever is open on these days, at the decision hour. Together with entry_weekdays this builds weekend and weekly strategies.

Capital and sizing

number

default:"100"

Starting equity in coin.

object

How big each new position is.

Show Sizing fields

string

default:"percent_of_equity"

contracts: a fixed number of contracts
coin_notional: a fixed notional in coin
percent_of_equity: a fraction of current equity, so size compounds
percent_of_initial_equity: a fraction of starting equity, so size stays flat
premium_budget: spend a fraction of equity on premium, for long-premium strategies

number

default:"0.5"

The amount for mode: 0.2 is 20% for the percentage modes.

number

default:"0.1"

Round sizes to this contract increment.

number

default:"0.1"

Smallest position size, in contracts.

Costs

string

default:"mark"

mark fills at the mark price. bid_ask crosses the spread: buys at the ask and sells at the bid, falling back to fallback_spread_pct around the mark when no quote exists.

number

default:"0"

Extra slippage on every fill, in basis points.

number

default:"0.0003"

Taker fee rate applied to every fill.

number

default:"0.125"

Fees are capped at this fraction of the option’s premium, as on the exchange.

number

default:"0.05"

Assumed spread when fill is bid_ask and no quote is available.

Clock

integer | null

default:"8"

The hour, UTC, at which the strategy looks at the market once a day. 08:00 is the expiry time. Set null to look every hour: much finer, but about 24 times more data, so keep hourly runs to short windows.

number

default:"400"

Ignore contracts further out than this.

boolean

default:"true"

Start the reported equity curve at the first trade, so a slow start doesn’t dilute the statistics.

Backtesting

Reference

Top level

Structure

Lifecycle

Capital and sizing

Costs

Clock

​Top level

​Structure

​Lifecycle

​Capital and sizing

​Costs

​Clock

Top level

Structure

Lifecycle

Capital and sizing

Costs

Clock