Double Diagonal Backtesting and Screening | Driven by Data Ep.73

Описание: Join Matt and Tyler as they dive into double diagonal strategies—how to screen for them, backtest them, and understand their risk profiles using ORATS' advanced tools. This episode breaks down how to set up these multi-leg trades in both the Options Scanner and Legacy Backtester, offering a hands-on walkthrough of strike selection, delta targeting, and yield optimization.

They explore real examples using SPX and IWM, comparing variations on double diagonals with debit vs. credit structures, and explain how to combine backtests for long/short positions. The discussion includes performance metrics like Sharpe and Sortino ratios, as well as how to visualize and rank opportunities using theoretical value and forecast edge.

00:00 Intro & Episode Overview
00:23 Trade Journal & Calendar Trade Review
02:20 Defining the Double Diagonal
04:05 Risk Profiles & Unit Protection
06:00 SPX Example: Trade Setup
08:10 Screening in the ORATS Scanner
10:45 Adjusting Dates, Widths & Deltas
12:15 Using Forecast Edge & Risk Metrics
14:30 Comparing Diagonals & Calendars
18:42 Backtesting in the Legacy Tool
20:30 Leg Setup & Strategy Parameters
22:30 Credit vs. Debit Yield Targeting
26:00 Results: Metrics & Observations
29:00 Combining Long/Short Strategies
33:00 Volatility Surface Visualization
35:00 Final Thoughts & Implementation

#DoubleDiagonal #OptionsBacktesting #RiskManagement #orats #options #optionsscanning #screener #scanner #backtest #stockscan #optionsdata #howtotradeoptions #investing #trading #stockmarket #collar #calendar #optionspread #optionsspreads #interactive #stocktrading #trader #vix #percentile #ivrank #impliedvolatility #skew #automatedtrading #autotrading #rsi #derivatives #daytrading #livetrading #spy #qqq #technicalanalysis #optionstradingstrategies

Disclaimer

The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors.

All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice.

Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein.

Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only.

Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional.

Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein.

Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading.