Backtesting quickstart

Backtesting is an add-on with its own API key, separate from your volatility data key. Both go in the X-API-Key header.

Describe the strategy

Sell a 20-delta BTC call on the front monthly expiry, at least 20 days out. Take profit when 75% of the premium has decayed, stop out if the call’s delta reaches 0.45, and roll two days before expiry. Save the following as covered-call.json:

covered-call.json

{
  "name": "BTC 20-delta covered call",
  "asset": "DER.BTC_USD",
  "start": "2026-05-01",
  "end": "2026-10-31",
  "capital": { "initial_equity": 1, "sizing": { "mode": "contracts", "value": 1 } },
  "structure": {
    "expiry": { "by": "monthly", "min_dte": 20 },
    "legs": [
      { "id": "call", "type": "call", "direction": "short", "strike": { "by": "delta", "value": 0.20 } }
    ]
  },
  "lifecycle": {
    "rules": [
      { "name": "take_profit_75",
        "when": { "predicate": { "subject": "structure", "metric": "premium", "op": "below",
                                 "value": -0.75, "unit": "percent", "reference": "entry" } },
        "do": { "action": "close_all" } },
      { "name": "delta_stop",
        "when": { "predicate": { "subject": "leg:call", "metric": "contract_delta", "op": "above", "value": 0.45 } },
        "do": { "action": "close_all" } },
      { "name": "roll_before_expiry",
        "when": { "predicate": { "subject": "structure", "metric": "dte", "op": "below", "value": 2 } },
        "do": { "action": "close_all" } }
    ]
  }
}

initial_equity: 1 with one contract models one BTC held against the short call.

Run it

curl -X POST https://api.sandmark.com/backtesting/v1/backtest \
  -H "X-API-Key: $SANDMARK_BACKTEST_KEY" \
  -H "Content-Type: application/json" \
  --data @covered-call.json

import json
import os

import requests

BASE_URL = "https://api.sandmark.com/backtesting"

with open("covered-call.json") as f:
    spec = json.load(f)

response = requests.post(
    f"{BASE_URL}/v1/backtest",
    headers={"X-API-Key": os.environ["SANDMARK_BACKTEST_KEY"]},
    json=spec,
    timeout=180,
)
response.raise_for_status()
result = response.json()

stats = result["stats"]
print(result["strategy"]["headline"])
print(f"Return {stats['total_return']:+.1%}  Sharpe {stats['sharpe']:.2f}  "
      f"Max drawdown {stats['drawdown']['max_drawdown']:.1%}  Trades {stats['trades']['count']}")
for warning in result["warnings"]:
    print("warning:", warning)

A six-month run takes a few seconds:

Short call
Return -0.1%  Sharpe 0.02  Max drawdown -8.8%  Trades 14
warning: only 14 positions: ratio estimates are dominated by noise below ~30

Eleven of the 14 trades hit the take-profit, but two delta stops, in August and September, gave the gains back. The positions array shows each trade’s reason, so you can see which rule closed it. The warning is the engine telling you six months is too short to judge a monthly strategy; widen the window if your lookback allows.

Get the report

Add format=html for a self-contained report with the equity curve, drawdowns and trade table, ready to open or share:

curl -X POST "https://api.sandmark.com/backtesting/v1/backtest?format=html&theme=dark" \
  -H "X-API-Key: $SANDMARK_BACKTEST_KEY" \
  -H "Content-Type: application/json" \
  --data @covered-call.json \
  -o covered-call.html

format=xlsx gives an Excel workbook and format=csv a zip of trades, positions and equity.

Backtesting

Reference

Next steps

Reading the result

Strategy specification

​Next steps

Reading the result

Strategy specification

Next steps