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

Example URI

https://api.livevol.com/v1/backtester/strategies/covered-calls/AAPL/details?delta=0.2&rollover_days=60

Request Information

URI Parameters

Name Description Type Additional 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

Name Description Type Additional information SIP Provider
symbol

Stock symbol.

string

None

None

strategy_type

Type of strategy.

string

None

None

strategy_description

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

string

None

None

strategy_delta

Delta used for strategy.

decimal number

None

None

strategy_roll_interval

Interval the strategy rolls to the next expiry in days.

integer

None

None

strategy_return

Percent return of strategy over backtest interval.

decimal number

None

None

strategy_annualized_return

Annualized percent return of strategy over backtest interval.

decimal number

None

None

strategy_drawdown

Max percent drawdown of strategy over backtest interval.

decimal number

None

None

stock_return

Percent return of stock over backtest interval.

decimal number

None

None

stock_annualized_return

Annualized percent return of stock over backtest interval.

decimal number

None

None

stock_drawdown

Max percent drawdown of stock over backtest interval.

decimal number

None

None

is_best_strategy

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

boolean

None

None

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

Collection of DailyData

None

None

DailyData

Name Description Type Additional information SIP Provider
date

Date of data.

date

None

None

stock_close

Stock close on given date.

decimal number

None

None

stock_return

Percent return of the stock on given date.

decimal number

None

None

strategy_return

Percent return of the strategy on given date.

decimal number

None

None

List of the option trades executed by the strategy.

Collection of OptionTrade

None

None

OptionTrade

Name Description Type Additional information SIP Provider
entry_time

Trade entry time (Eastern Standard Time)

date

None

None

entry_price

Trade entry price.

decimal number

None

None

exit_time

Trade exit time (Eastern Standard Time).

date

None

None

exit_price

Trade exit price.

decimal number

None

None

profit_or_loss

Trade profit or loss.

decimal number

None

None

commission

Trade commission.

decimal number

None

None

direction

Trade direction (Long [1] or Short [-1]).

integer

None

None

amount

Trade size.

integer

None

None

option_description

Option description string.

string

None

None

strike

Option strike.

decimal number

None

None

expiry

Option expiration.

date

None

None

type

Option type (Call or Put).

string

None

None

symbol

Underlying Symbol

string

None

None

multiplier

Option multiplier.

integer

None

None

entry_delta

Option entry delta.

decimal number

None

None

exit_delta

Option exit delta.

decimal number

None

None

finished_itm

Did the option finish in the money (Y/N).

string

None

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>