Strategy Backtesting & Validation
Our options arbitrage strategies undergo rigorous backtesting using historical market data to validate performance assumptions and risk parameters before live deployment.
Backtesting Methodology
Historical Data Coverage: Multi-year datasets spanning various market conditions including bull markets, bear markets, and high volatility periods
Transaction Cost Inclusion: All backtests incorporate realistic trading costs, slippage, and execution delays
Risk-Adjusted Analysis: Performance metrics include Sharpe ratios, Sortino ratios, maximum drawdown, and volatility measurements
Stress Testing: Models tested against extreme market scenarios and black swan events
Latest Performance Metrics (May 2024 - May 2025)
Our most recent backtesting demonstrates:
Sharpe Ratio: 2.96 - indicating strong risk-adjusted returns
Sortino Ratio: 3.73 - demonstrating excellent downside risk management
Maximum Drawdown: -3.25% - well within conservative risk parameters
Consistent Monthly Performance: Positive returns in all 13 months tested
Monthly Returns Breakdown
May 2024
4.7%
Jun 2024
3.5%
Jul 2024
1.3%
Aug 2024
0.4%
Sep 2024
0.8%
Oct 2024
1.8%
Nov 2024
2.7%
Dec 2024
0.2%
Jan 2025
1.4%
Feb 2025
3.2%
Mar 2025
3.1%
Apr 2025
1.1%
May 2025
0.9%
Key Validation Results
Consistency: 13 consecutive months of positive returns
Risk Management: Maximum drawdown never exceeded 4%
Strategy Robustness: Strong performance across varying market conditions
Scalability: Results remain consistent as strategy capacity increases
Continuous Model Refinement
Machine learning models are continuously updated and backtested against new data to ensure:
Adaptation to evolving market conditions
Maintenance of predictive accuracy
Risk parameter optimization
Strategy capacity assessment as we scale
All backtesting results and methodologies are subject to regular review and validation by our quantitative research team.
Last updated