Strategy specification

Every field of a backtest request, and how the engine reads it.

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

start · date · required

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

end · date · required

Last day, inclusive.

asset · 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).

name · 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.

structure.legs · Leg[] · required

One to eight legs.

Show Leg fields

id · string · required

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

type · string · required

call, put or future.

direction · string · required

long or short.

strike · 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

ratio · number · default: "1.0"

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

expiry · object

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

structure.expiry · object

Which expiry the legs trade.

Show Expiry fields

by · string · default: "monthly"

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

nth · integer · default: "1"

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

min_dte · number · default: "0"

Skip expiries closer than this many days.

target_dte · 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.

weekdays · string[]

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

structure.shared_strike · 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.

structure.hedge · object

Optional hedge, off by default.

Show Hedge fields

enabled · boolean · default: "false"

Turn the hedge on.

greek · 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.

band · number · default: "0.05"

Net delta tolerated before rebalancing, absolute.

numeraire · string · default: "coin"

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

match_expiry · boolean · default: "true"

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

min_dte · number · default: "1"

Roll the hedge future before this many days to expiry.

allow_perpetual · boolean · default: "false"

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

option_delta · number · default: "0.5"

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

option_min_dte · number · default: "30"

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

option_band · 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.

lifecycle.rules · 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

subject · string · default: "structure"

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

metric · string · required

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

op · 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.

value · number · required

The threshold.

unit · 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.

reference · 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).

lifecycle.entry_weekdays · string[]

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

lifecycle.exit_weekdays · 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

capital.initial_equity · number · default: "100"

Starting equity in coin.

capital.sizing · object

How big each new position is.

Show Sizing fields

mode · 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

value · number · default: "0.5"

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

lot_step · number · default: "0.1"

Round sizes to this contract increment.

min_contracts · number · default: "0.1"

Smallest position size, in contracts.

​

Costs

costs.fill · 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.

costs.slippage_bps · number · default: "0"

Extra slippage on every fill, in basis points.

costs.taker_fee_rate · number · default: "0.0003"

Taker fee rate applied to every fill.

costs.fee_premium_cap · number · default: "0.125"

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

costs.fallback_spread_pct · number · default: "0.05"

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

​

Clock

clock.decision_hour_utc · 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.

clock.max_dte · number · default: "400"

Ignore contracts further out than this.

clock.trim_to_first_trade · boolean · default: "true"

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