Backtesting FAQ

My trade didn’t work…why not? (another version is this: My test worked but it doesn’t have a trade I think it should. Can you explain?)Welcome! Thanks for checking out our frequently asked questions.

Can you give me basics of how you come up with the price? Is it mid?

We get bid/ask from an OPRA data vendor. We use mid price when opening and closing trades, though you can add slippage to modify this value.

We use 1-minute historical data. The exception to the is IMSL (intra-minute stop loss, which is detailed in the next question.

How does IMSL (intra-minute stop) differ from the normal 1-minute data?

IMSL is only available on limited backtests (SPX/SPY 0 day). At every one minute interval, the tester will use the high/low values for each contract to determine whether your stop loss was triggered. High/low values are comprised of both NBBO bid/ask and actual trades within each minute. You can select NBBO by itself, or NBBO + trades (with trades will result in the most stops) for IMSL.

I'm new to Option Omega. What's the best way to get up to speed?

Option Omega has a course on the backtester called Backtesting Bootcamp class on Option Omega Academy. (Note: Academy requires a separate/additional login & PW from the OO backtester). This is the best way to get going on OO. If you have bespoke technical questions, we have backtest support on the Discord channel.

I’m more of a visual learner? Do you have any videos?

Sure do! Check out our growing YouTube Library. Of course, the absolute best way to visually learn OO is to do our FREE Backtesting Bootcamp class on Option Omega Academy. (Note: Academy requires a separate/additional login & PW from the OO backtester).

How does the VIX gap condition work? When are you measuring the close of VIX and the open of VIX?

We use the previous trading day’s closing VIX, and the opening VIX during RTH (regular trading hours). The VIX price at market open doesn’t have a set time; the first print is typically 9:31 or 9:32, but sometimes even later.

In short, look at the previous days VIX RTH close (4:15) and compare to RTH open (first VIX print after 9:30). This video explains the process visually.

What data resolution is used?

OO uses 1-minute data as default for backtesting and automation. There are some exceptions to this (ORB and IMSL have some additional options). Additionally, automation users will want to review the profit target and stop loss settings, as there are many choices beyond a 1-minute check.

What’s the OO Academy?

Option Omega Academy is a platform of free and paid courses that dive into different elements of options, backtesting and trading. You can subscribe to Option Omega backtesting without purchasing any Academy classes, and vice versa. We also offer some free Academy classes.

I have a question about the tester that I can’t find an answer to?

The easiest way is to search this website– but we have a huge library of answered questions on Discord– and the Discord search works pretty well. If you can’t get an answer there quickly– you can post in the “help-questions” channel on the Discord.

I have a trade that looks very different when I test with qty 5 of each contract, rather than a qty 1 of each contract. Why?

The difference is that your slippages, fees, etc. are applied to a single “tranche” of the trade. The second setup (default each qty to 1) is what you want; this is how the software was designed to work. The per-leg quantities are for butterflies, etc., where the leg quantities are uneven (1-2-1, PRIC, CRIC, etc.)

My backtest is producing a weird result. I’m testing a butterfly. Can you help?

Certain types of trades have wild moments of liquidity (illiquidity!) and odd price spikes. This is true of many multi-leg trades, including double calendars, butterflies, etc.

Fortunately, you can verify quickly using the trade replay in the trade log if there was a “spiky” trade.

The trade replay is the three lines at the left part of the trade log for each entry. For example, in this backtest, you can see several different spikes, such as 3/13 at 15:43

Typically, good use of the Punisher will help you dial in the backtest. Typically, “Two Hits at PT” and “Cap Profits”, along with accurate slippage, will help you get the best result.

This video on the Punisher directly addresses this issue.

My trade didn’t work…why not? (another version is this: My test worked but it doesn’t have a trade I think it should. Can you explain?)

The most common reasons tests don’t work are the following:

1. Not enough Margin to support the trade (typical mostly for selling puts & calls).

2. The exact DTE button is selected, and there were not trades that fit that DTE.

3. The trade is still ongoing ("Close Open Trades on Test Completion" will include those trades).

4. Max Open Trades is limiting the number of simultaneous open trades.

5. The padlock next to the strike legs is selected. This is the exact strike offset — it is padlocked by default but you can uncheck it. If it is left on (default), the trade will only execute if there is an option at that strike.

Tip: To check if margin issues are limiting trades set max contracts to 1 with Ignore Margin Requirements checked and remove any limit for Max Open Trades. This will show you the total # of available trades that meet your other entry criteria.

Also, SPX daily expirations started in May 2022. SPY and QQQ daily expirations started in November 2022. Short days and holiday weeks can also impact market and option chain availability.

I have a diagonal (or calendar) with different dates. What happens when the earlier date is reached?

When one leg closes on this type of test (or any other test), the other legs will close as well.

I have a stop loss (and/or profit target) on for $300… but it’s not hitting?

You probably want $3.00, not $300.

Do you have extended hours?

No, we use market RTH (regular trading hours)– 9:30-4:00 market time. The first options datapoint we use is 9:32 (the previous two minutes are too noisy for high confidence).

Do you have morning expiries, like on SPX?

No, we are using the standard End of Day (EoD) contracts on SPX only– no morning expiries.

My test is constantly blowing by the stop-loss (or profit-target). Why is this?

The backtester uses 1 minute data. At the interval in which data is measured, often the SL/PT will be “past” the exit value.

If you prefer to have it stop on these values exactly, just select these choices under misc:

These choices do exactly what they say– cap non opening (i.e. intraday) losses or profits at the the value specified.

For example, if the price is 9.99 and your PT (or SL) is 10, the exit will not trigger. If the market moves and the price is 10.25, the PT (or SL) will trigger. If you have the profit (or loss) uncapped (default), it will show 10.25. If you have profits/losses capped (optionally, like above), the backtest will close at 10.

I use a big, popular broker that people commonly abbreviate with 4 letters. I’ve noticed that my deltas are slightly different that OO? What is causing this?

We get our deltas from a data vendor, and find them to be consistent with other brokers and tools. If you poke around the internet, we’ve been told you will find a lot of discussion per your particular question due to one certain broker’s display of deltas.

I’m confused about trailing stops. Can you explain how they work?

If you have a non-trailing stop of 100%, and a credit spread with initial credit of $2, then the stop would be $4 db.

If the stop is then trailed at $1 profit target, and the current value if your trade is $1 (thus triggering the trailing stop condition), then the trailing stop will initially $2 db and then will continue to adjust as your trade increases in profit.

A trailing stop will “follow” the price only upon profitable movement in trade’s price.

Also, the trailing stops (and profit actions) use the current premium value to calculate the SL

I want to find a 2 legged spread that’s about $2.50. How do I do this?

The most common method to achieve this is a long and short leg, and use fixed premium for both. You can do this by manually adding un-linked legs. In this example we asked for a $3.50 short and $1, long and got this result on a 0 DTE SPX short spread.

Additionally, you can use the min/max filter to get even more specific.

There is a feature that people are talking about, but it’s not working in my app?? What is going on?

We update the app frequently. A best practice for the app is to do a refresh of your browser whenever new features are added. Reminder, the best place to get updates is our Discord server. They are posted under #releases.

How do I know when new features are added?

We post them in the releases channel on the Discord. If you're not on the Discord, you should join!

I’ve got a two leg trade. How do I close just one side and let the other one run?

By default, When any leg is closed in OO, the whole trade closes.

Some users use portfolio and break down trades into component pieces. Keep in mind that margin will work differently in this setup, but breaking a 4 legged trade down into a portfolio of 2- 2 legged trades (or any similar ratios), does allow a more granular level of control.

You can also use “Leg Groups” (a.k.a. Single Entry Multi Exit), which allows you to enter a trade at one time, then sub-group legs and exit those legs as a component part. Here’s a video on SEME (leg groups).

When does the backtest data update?

The backtest data is updated overnight after the previous day, often between 3-5 a.m. Eastern time. It is available before market open. Most times, it will be updated before 6 a.m.

Note: Data updates occur gradually, not all at once. During backtests—especially in the early morning hours (relative to market time)—you may encounter partially updated data. If a backtest runs while updates are in progress, be aware of this behavior.

I have a feature suggestion. Where does it go?

Great! We’d love to hear it. You can post on Canny, and the suggestion will be reviewed by the OO team.

I’m noticing some unique or odd behavior in a lot of my tests around specific dates. What’s going on?

In periods of extreme volatility, rapid price movement, and market instability, backtest results can be skewed by outlier market events. These events can cause extremely wide bid-ask spreads, uncertain execution, and price movements that are not representative of typical market conditions.

Some notable examples include:

• February 5, 2018 — “Volmageddon” — Unexpected VIX spike and volatility ETN collapse.

• February–March 2020 — COVID market sell-off — Pandemic fears drove massive sell-off with several circuit breakers (temporary trading halts) triggered during this period.

• August 5, 2024 — Yen carry trade unwind — Rapid FX-driven deleveraging across global markets causing VIX spike.

• April 2025 — Tariff announcements — Policy-driven sell-off and corresponding VIX spikes.

• October 14, 2025 — “Stoppageddon” — Extreme intraday price swings, driven in part by heavy 0DTE options flows, resulting in widespread stop-loss triggers and abnormal execution behavior.

• November 28, 2025— OPRA data outage— OPRA had a data outage in the morning connected to a failure at the CME overnight data processing.

Some users may prefer to exclude or smooth the impact of these extreme periods when evaluating strategy performance. The following settings are sometimes used to help reduce the noise:

• Use Blackout Days - this will allow you to exclude specific dates

• Ignore Wide Bid-Ask Spreads - this will exclude trades where bid-ask spread widens over 100%

Remember to exercise caution when adjusting backtests. While removing outlier events can improve statistical stability and reduce data artifacts, these events are real market conditions that can materially impact live trading performance. Excluding them may overstate historical performance and underestimate tail risk.

What’s your favorite trade?

We’re a backtester– not a trade service— that being said, we have plenty of folks exchanging ideas freely on the Discord.

Can I tranche out of tests?

Yup. You can do this with profit actions. Here’s a great video on it.

If you want to get even wilder, you can use portfolio to put on MULTIPLE trades that have multiple exits!

Can I upgrade my subscription from monthly to annual?

Yes, you can do this yourself in the app. Profile=>settings=>billing will get you to subscription management.

I am backtesting using delta to find the strike– how does OO select the delta when the one I want isn’t available?

The tester will find the closest delta, using decimal points if there is a “tie”.

I have unchecked exact DTE. How does OO find the date I want? I’m trading really far out options.

Exact DTE uses only the exact expiration; if that expiration isn’t found, the trade isn’t executed.

If Exact DTE is toggled off, then the next available expiration further out in time is used; there is no limit to how far it will look

I’m confused by the drawdowns stat and what it measures. Can you shed some more light?

Sure– the max drawdown is per test, and thus, multi-trade. If a trade is open, then the EOD value is used for MDD calculations. If the trade closes, then the loss is used for MDD calculations. The max drawdown stat is EOD.

Drawdown is based upon current net liquidity, which means that if those trades had already lost most of their value in the preceding days, then the backtest completing won’t necessarily have much affect on drawdown– it’s the same calculation for drawdown in both tests and portfolios

In the trade log, it’s the maximum loss during the entire life of the trade as per our data resolution (1-min).

The max loss column on the trade log is intraday.

I trade iron condors. I want to only exit on side of the trade (put spread or call spread). How do I this?

There are two easy ways to do this:

You can set up a leg-group (single entry multi exit), which allows you to enter a PCS and CCS at the same time, and exit them separately. Here’s a video on SEME leg groups that may be helpful.

You can alternately do this in portfolio. Just setup a put spread and a call spread and run them! You can get even more granular this way, and using a variety of the single leg choices that prompt closing a trade (i.e. you could use an option to close the spread once the short leg is exceeded by “x” points, etc. etc.)

Here’s a 90 second video on how to test a PCS and CCS as a condor using portfolio.

Like the question above, I also trade iron condors. I do 0DTE. I’ve got a stop loss of 300% on this trade, and my losses blow by the stop. I realize that’s due to the gamma movement, but is there a way to NOT blow by the stops in the test?

Sure, select “Cap Non-Opening Losses at Stop Loss” under misc features.

I’m having issues with my 1DTE trades on Friday’s. Why is it working differently?

1DTE trades don’t exist on Friday. OO uses calendar dates for days to expiry (DTE). What most folks do if they have a 1DTE trade that they want to behave a certain way (or a trade that behaves a certain way on 1DTE, such as an early exit)— it is do two separate backtests: one for Fridays and one for other days.

Why didn’t a trade trigger in my Trade Log even though my SPX chart shows it should have?

OptionOmega calculates all SPX-based filters using the official CBOE SPX index data. To mirror our signals, particularly in TradingView, chart CBOE:SPX specifically - not SPX/US500 variants, SPY, or ES futures. Using a different symbol or data source can show price prints we don’t use, so a trade may appear to trigger on your chart but not in OptionOmega. We apply official CBOE SPX data to these filters: Technical Indicators, Gaps, Intraday Movement, and ORB.

Quick checks:

• In TradingView, switch the symbol to CBOE:SPX

• Make sure your chart’s session and timezone match your strategy settings (RTH vs. extended).,

• Avoid comparing against SPY/ES or TVC/SP:SPX tickers - they will differ from CBOE SPX.

On the Discord there are a bunch of abbreviations I don’t understand… can you help me?

Here is a glossary of common terms, abbreviations, and accronyms used by the OO community.

Wow, what a great list of questions. Thanks!

You’re welcome. If you have something you thing other people would like to see here, drop us a message on Discord (in feedback-suggestions) and we’ll get it added. We update the FAQ regularly!