Strategy Library
This page lists the built‑in strategies and learning templates you can run in the portal. Each entry includes a short description, a link to the public blog post (when available), and tags that hint at the key structure and features involved.
Public Strategies
Replicated public strategies and research writeups with ready‑to‑run templates.
| Name | Type | Blog | Description | Tags |
|---|---|---|---|---|
| [Boxcar-NG] | Public Strategy | https://blog.deltaray.io/boxcar-ng-an-optimized-boxcar | Optimized Boxcar: 8‑DTE credit + debit put structure with IV gating and regime filters. | Put Credit Spread, Put Debit Spread, 8DTE, IVGating, ExitConditions, Timing |
| [NetZero] | Public Strategy | https://blog.deltaray.io/netzero-trade | 60‑40‑20 Broken Wing Butterfly with leg‑delta‑based exit rules; supports delta‑neutral initiation and consistent DIT. | Broken Wing Butterfly, DeltaSelector, ExitConditions, Concurrency |
| [WeekendEffect] | Public Strategy | https://blog.deltaray.io/the-weekend-effect | Fri→Mon premium capture on SPX weeklies; short strangle baseline. | Short Strangle, 3–4DTE, Timing(Fri→Mon), DeltaSelector |
| [ThetaEngine] | Public Strategy | https://blog.deltaray.io/thetaengine | Credit‑targeted dynamic sizing short put with multi‑day campaign entries. | Short Put, QtyMultiplier, ExitTargets, Concurrency, 90DTE |
| [ThetaEngine-VolatilityHedged] | Public Strategy | https://blog.deltaray.io/volatility-hedged-theta-engine | ThetaEngine with reactive long‑put hedge when IVRank > 50. | Short Put, IVGating, Adjustments(AddLegs), Hedging, Concurrency |
| [SuperBull-Relaxed] | Public Strategy | https://blog.deltaray.io/superbull-and-relaxed-variant | 65‑DTE bullish call vertical with reward/risk filter and staged exits. | Call Debit Spread, DeltaSelector, ExitConditions, Concurrency |
| [GLD-Short-Put] | Public Strategy | https://blog.deltaray.io/gold-putwrite-strategy | 30‑DTE ~25‑delta GLD short put; daily entries with campaign sizing. | Short Put, 30DTE, DeltaSelector, Concurrency, Timing |
Notes:
- NetZero skew analysis: https://blog.deltaray.io/netzero-skew-this (additional study and 2023–2024 sensitivity).
- Portfolio research comparing multiple strategies: https://blog.deltaray.io/portfolio-construction-methods
- Out‑of‑sample stress test across 2024 (VolZilla): https://blog.deltaray.io/strategies-that-survived-volzilla
Common Structures
Reusable templates showcasing common option structures and patterns.
| Name | Type | Blog | Description | Tags |
|---|---|---|---|---|
| [SPX-Short-Put] | Common Structure | – | 45‑DTE short put baseline for SPX. | Short Put, 45DTE, DeltaSelector |
| [SPX-CallDebitSpread] | Common Structure | – | 30‑DTE bullish call debit spread. | Call Debit Spread, 30DTE, DeltaSelector |
| [SPX-CallCreditSpread] | Common Structure | – | 60‑DTE call credit spread using price‑based selectors. | Call Credit Spread, 60DTE, MidPriceSelector |
| [SPX-PutCreditSpread] | Common Structure | – | ~90‑DTE put credit spread with fixed distance strikes. | Put Credit Spread, 90DTE, StrikePriceSelector |
| [SPX-PutDebitSpread] | Common Structure | – | 30‑DTE put debit spread using Complex strike selector. | Put Debit Spread, 30DTE, ComplexSelector |
| [SPX-Straddle] | Common Structure | – | ~160‑DTE short straddle with theta/greeks guard on exit. | Short Straddle, 160DTE, DeltaSelector, ExitConditions |
| [SPX-Strangle-Adjusting] | Common Structure | – | ~160‑DTE short strangle with delta‑balancing leg moves. | Short Strangle, 160DTE, Adjustments(MoveLeg), DeltaSelector |
| [SPX-Strangle-Compounding] | Common Structure | – | Short strangle with size compounding via qty multiplier. | Short Strangle, Compounding, QtyMultiplier, Adjustments(MoveLeg) |
| [SPX-Calendar] | Common Structure | – | Calendar: short front, long back month; theta‑decay exit guard. | Calendar, DeltaSelector, ExitConditions |
| [SPX-0DTE-IronCondor] | Common Structure | – | Intraday 0‑DTE iron condor scaffold. | Iron Condor, Timing(Intraday), DeltaSelector |
| [SPX-120DTE-IronCondor] | Common Structure | – | Long‑dated iron condor with simple exits. | Iron Condor, 120DTE, DeltaSelector, ExitTargets |
| [BTCUSD-Short-Put] | Common Structure | – | BTC short put baseline using Deribit data. | Short Put, Crypto, DeltaSelector |
| [BTCUSD-Straddle] | Common Structure | – | BTC short straddle baseline. | Short Straddle, Crypto, DeltaSelector |
| [BTCUSD-Butterfly] | Common Structure | – | BTC broken‑wing butterfly baseline. | Broken Wing Butterfly, Crypto, DeltaSelector |
| [ETHUSD-Short-Put] | Common Structure | – | ETH short put baseline using Deribit data. | Short Put, Crypto, DeltaSelector |
Feature Demonstrations
Templates that showcase specific capabilities in the Strategy DSL and Script Engine.
| Name | Type | Blog | Description | Tags |
|---|---|---|---|---|
| [FEAT-TimingModule] | Feature Demonstration | – | Timing module usage: month‑end entry, OPEX‑based exit, capture timing variables. | Timing, VarDefines, ExitConditions |
| [FEAT-OptionValuation] | Feature Demonstration | – | Options valuation model solver with dynamic breakeven and PnL contours. | Valuation, ModelSolver, VarDefines |
| [FEAT-Entry-DownDays] | Feature Demonstration | – | Entry on down‑days with delta‑balanced short strangle and adaptive leg moves. | Conditions, Short Strangle, Adjustments(MoveLeg) |
| [FEAT-Entry-HighIV] | Feature Demonstration | – | Entry filter based on high IV; shows gating conditions. | Conditions, IVGating |
| [FEAT-Entry-Campaign-Adjusting] | Feature Demonstration | – | Multiple concurrent positions with staggered entries; adjusting short strangle. | Concurrency, Timing, Adjustments(MoveLeg) |
| [FEAT-Entry-RootSelector] | Feature Demonstration | – | Use RootSelector to target specific option roots (e.g., SPXW). | RootSelector, Entry |
| [FEAT-Exit-ThetaDecay-Adjusting] | Feature Demonstration | – | Exit guard based on theta decay; includes delta‑balancing adjustments. | ExitConditions, Theta, Adjustments(MoveLeg) |
| [FEAT-AddLegAdjustment] | Feature Demonstration | – | Dynamically add legs with abort conditions; mirrors entry semantics. | Adjustments(AddLegs), AbortConditions, Expirations |
| [FEAT-AddPDSAdjustment] | Feature Demonstration | – | Add a Put Debit Spread during lifecycle as hedge/repair. | Put Debit Spread, Adjustments(AddLegs) |
| [FEAT-RemoveLegsAdjustment] | Feature Demonstration | – | Remove legs conditionally during lifecycle. | Adjustments(RemoveLegs) |
| [FEAT-MoveLegOutAdjustment] | Feature Demonstration | – | Move an existing leg to a new strike under constraints. | Adjustments(MoveLeg) |
| [FEAT-MultiLegAdjustment] | Feature Demonstration | – | Sequenced multi‑leg conditional adjustments; shows evaluation order. | Adjustments(MoveLeg), ConditionalAdjustments |
| [FEAT-ExternalData-Csv] | Feature Demonstration | – | Use CSV external variables for gating and metrics. | ExternalData, Conditions, VarDefines |
| [FEAT-TrailingStop] | Feature Demonstration | https://blog.deltaray.io/improving-vrp-with-trailing-stop | Implement trailing stop via variable updates and exit rule. | TrailingStop, ExitConditions, VarDefines |
| [FEAT-ComplexStrikeSelector-DeltaToTheta] | Feature Demonstration | – | Complex strike selection targeting delta/theta ratio (RUT example). | ComplexSelector, MoveLeg, Constraints |
How to Run
In the portal, select New Backtest → Templates, pick a template by name, click Validate, then Run. Adjust Backtest.Cash and Settings (FillModel, Commission, Slippage) to match your broker preferences (see Preferences). When using timing or IV‑gating, expect differences near “now” vs historical data.