Options Selection in TradeMachine®

TradeMachine® chooses the available options that are closest to the settings used in your backtest. If the exact Days to Expiration or Delta are not available, it chooses the next closest from the available options. That selection is prioritized in the following order:

1. Distance from expiration
2. Distance from desired delta
3. If both are equal distance (which would almost never happen) TradeMachine® will select the earlier expiration.

Multi-leg Strategies

When trading multi leg strategies, additional logic is in place in the backtester to make sure that the strikes have an intuitive connection to delta.

As an example, if using the same delta across different expirations, the backtester will attempt to find matching strikes, even if one of the deltas is no longer the closest to the user's requested delta for that specific expiration.

The same is true if trading 2 calls from different expirations with different deltas. The backtester will try to ensure that the lower delta call has a higher strike than the higher delta call, and vice versa for puts.