< API Reference
GET
/backtester/strategies/cash-secured-puts/{symbol}/details?delta={delta}&rollover_days={rollover_days}
OPTIONS
Detailed level results of a pre-calculated cash secured puts backtest over the last two years on the given symbol for a specific strategy variation.

Example URI

https://api.livevol.com/v1/backtester/strategies/cash-secured-puts/AAPL/details?delta=-0.2&rollover_days=30

Request Information

URI Parameters

NameDescriptionTypeAdditional information
delta

Delta used.

decimal number

Required

Allowed values are [ -0.2, -0.35, -0.5 ]

rollover_days

Interval to roll option.

integer

Required

Allowed values are [ 30, 60, 180 ]

symbol

Symbol of the company

string

Required

Response Information

Resource Description

Results

NameDescriptionTypeAdditional information
symbol

Stock symbol.

string

None.

strategy_type

Type of strategy.

string

None.

strategy_description

Strategy description. Format [symbol]:[strategy type code]@[x-Day],[xDelta]

string

None.

strategy_delta

Delta used for strategy.

decimal number

None.

strategy_roll_interval

Interval the strategy rolls to the next expiry in days.

integer

None.

strategy_return

Percent return of strategy over backtest interval.

decimal number

None.

strategy_annualized_return

Annualized percent return of strategy over backtest interval.

decimal number

None.

strategy_drawdown

Max percent drawdown of strategy over backtest interval.

decimal number

None.

stock_return

Percent return of stock over backtest interval.

decimal number

None.

stock_annualized_return

Annualized percent return of stock over backtest interval.

decimal number

None.

stock_drawdown

Max percent drawdown of stock over backtest interval.

decimal number

None.

is_best_strategy

Indicates if it is the best of all 9 strategy variations for the specific symbol and strategy type.

boolean

None.

daily_data

List of the daily data points including stock close, stock return, and strategy return.

Collection of DailyData

None.

option_trades

List of the option trades executed by the strategy.

Collection of OptionTrade

None.

Response Formats

application/json, text/json

Sample:
{
  "symbol": "YHOO",
  "strategy_type": "CashSecuredPut",
  "strategy_description": "YHOO-CSP-Delta:-0.5-30-Days",
  "strategy_delta": -0.5,
  "strategy_roll_interval": 30,
  "strategy_return": 0.198831033514191,
  "strategy_annualized_return": 0.0995518892080655,
  "strategy_drawdown": -0.283920676205658,
  "stock_return": 0.0613445378151259,
  "stock_annualized_return": 0.0995518892080655,
  "stock_drawdown": -0.489020431544778,
  "is_best_strategy": true,
  "daily_data": [
    {
      "date": "2014-07-14T00:00:00",
      "stock_close": 35.7,
      "stock_return": 0.0,
      "strategy_return": 0.0
    },
    {
      "date": "2014-07-15T00:00:00",
      "stock_close": 35.61,
      "stock_return": -0.0025210084033614718,
      "strategy_return": 0.00027832572311958792
    }
  ],
  "option_trades": [
    {
      "entry_time": "2014-07-14T00:00:00",
      "entry_price": 2.05,
      "exit_time": "2014-08-15T00:00:00",
      "exit_price": 0.0,
      "profit_or_loss": 196.3,
      "commission": 8.7,
      "direction": -1,
      "amount": 1,
      "option_description": "Underlying: YHOO, Root: YHOO, Expiry: 8/16/2014, Strike: 36, Type: Put",
      "strike": 36.0,
      "expiry": "2014-08-16T00:00:00",
      "type": "Put",
      "symbol": "YHOO",
      "multiplier": 100,
      "entry_delta": -0.5081,
      "exit_delta": -0.037,
      "finished_itm": "N"
    },
    {
      "entry_time": "2014-07-15T00:00:00",
      "entry_price": 2.13,
      "exit_time": "2014-09-19T00:00:00",
      "exit_price": 0.0,
      "profit_or_loss": 204.3,
      "commission": 8.7,
      "direction": -1,
      "amount": 1,
      "option_description": "Underlying: YHOO, Root: YHOO, Expiry: 9/20/2014, Strike: 37, Type: Put",
      "strike": 37.0,
      "expiry": "2014-09-20T00:00:00",
      "type": "Put",
      "symbol": "YHOO",
      "multiplier": 100,
      "entry_delta": -0.5327,
      "exit_delta": -0.0073,
      "finished_itm": "N"
    }
  ]
}

application/xml, text/xml

Sample:
<results xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <daily_data>
    <daily_data>
      <date>2014-07-14T00:00:00</date>
      <stock_close>35.7</stock_close>
      <stock_return>0</stock_return>
      <strategy_return>0</strategy_return>
    </daily_data>
    <daily_data>
      <date>2014-07-15T00:00:00</date>
      <stock_close>35.61</stock_close>
      <stock_return>-0.0025210084033614718</stock_return>
      <strategy_return>0.00027832572311958792</strategy_return>
    </daily_data>
  </daily_data>
  <is_best_strategy>true</is_best_strategy>
  <option_trades>
    <option_trade>
      <amount>1</amount>
      <commission>8.7</commission>
      <direction>-1</direction>
      <entry_delta>-0.5081</entry_delta>
      <entry_price>2.05</entry_price>
      <entry_time>2014-07-14T00:00:00</entry_time>
      <exit_delta>-0.037</exit_delta>
      <exit_price>0</exit_price>
      <exit_time>2014-08-15T00:00:00</exit_time>
      <expiry>2014-08-16T00:00:00</expiry>
      <finished_itm>N</finished_itm>
      <multiplier>100</multiplier>
      <option_description>Underlying: YHOO, Root: YHOO, Expiry: 8/16/2014, Strike: 36, Type: Put</option_description>
      <profit_or_loss>196.3</profit_or_loss>
      <strike>36</strike>
      <symbol>YHOO</symbol>
      <type>Put</type>
    </option_trade>
    <option_trade>
      <amount>1</amount>
      <commission>8.7</commission>
      <direction>-1</direction>
      <entry_delta>-0.5327</entry_delta>
      <entry_price>2.13</entry_price>
      <entry_time>2014-07-15T00:00:00</entry_time>
      <exit_delta>-0.0073</exit_delta>
      <exit_price>0</exit_price>
      <exit_time>2014-09-19T00:00:00</exit_time>
      <expiry>2014-09-20T00:00:00</expiry>
      <finished_itm>N</finished_itm>
      <multiplier>100</multiplier>
      <option_description>Underlying: YHOO, Root: YHOO, Expiry: 9/20/2014, Strike: 37, Type: Put</option_description>
      <profit_or_loss>204.3</profit_or_loss>
      <strike>37</strike>
      <symbol>YHOO</symbol>
      <type>Put</type>
    </option_trade>
  </option_trades>
  <stock_annualized_return>0.0995518892080655</stock_annualized_return>
  <stock_drawdown>-0.489020431544778</stock_drawdown>
  <stock_return>0.0613445378151259</stock_return>
  <strategy_annualized_return>0.0995518892080655</strategy_annualized_return>
  <strategy_delta>-0.5</strategy_delta>
  <strategy_description>YHOO-CSP-Delta:-0.5-30-Days</strategy_description>
  <strategy_drawdown>-0.283920676205658</strategy_drawdown>
  <strategy_return>0.198831033514191</strategy_return>
  <strategy_roll_interval>30</strategy_roll_interval>
  <strategy_type>CashSecuredPut</strategy_type>
  <symbol>YHOO</symbol>
</results>