AlphaGBM BPS Backtest
Backtests the Bull Put Spread (short put + long put at lower strike) as a
mechanical strategy over 2018–present on any ticker, with two passes per call:
- With Signal — only enters when the per-ticker FearScore is ≥ your threshold
- No Signal (Control) — enters unconditionally every Monday
The side-by-side comparison shows whether the signal is doing work, or whether
you're paying 1 credit for noise.
Parameters
All optional except ticker:
| Param |
Default |
Range |
Meaning |
ticker |
required |
US / HK / CN |
Underlying |
dte_target |
14 |
7–45 |
Days to expiry on entry |
short_delta |
0.25 |
0.15–0.35 |
Absolute delta of the short put leg |
spread_width |
5.0 |
2–10 |
Dollar width of the spread |
take_profit_pct |
0.50 |
0.20–0.80 |
Close when realized % of max profit hits this |
fear_threshold |
60 |
40–80 |
FearScore ≥ X is entry signal |
start_date |
2018-01-01 |
YYYY-MM-DD |
Backtest start |
end_date |
2026-04-20 |
YYYY-MM-DD |
Backtest end |
include_control |
true |
bool |
Run no-signal control pass alongside |
What's Returned
Per pass (with_signal and no_signal):
total_trades, win_rate_pct, annual_return_pct, sharpe, max_drawdown_pct,
roc_pct, avg_holding_days, avg_pnl_per_trade, total_pnl, final_capital
exit_reasons — count by take_profit / stop_loss / expiry_otm / expiry_itm / close_early
trades[] — full ledger (entry/exit date, strikes, credit, pnl, reason)
equity_curve[] — per-day cumulative capital
pnl_histogram — bucket counts for the P&L distribution
Plus:
summary — one-paragraph zh/en takeaway comparing signal vs control, with ⚠️ flags
when drawdown or win rate look problematic
Methodology Notes
- IV is proxied by 20-day historical volatility (HV20) for BS pricing.
Historical option-chain IV is unaffordable to source at scale; HV20 is a reasonable
proxy but will under-estimate IV around events. Live results typically outperform
backtest because of this.
- FearScore is reconstructed from the same 6 indicators the live version uses, but
computed from cheap historical price + volume data only.
- Entries filtered by
max_positions (3) and min_entry_spacing_days (3) and
a risk_per_trade cap (0.5% of capital).
How to Use
Example Queries:
backtest BPS on QQQ — Default params, signal vs control comparison
does FearScore work on SPY — Same call, reads the comparison summary
backtest bull put spread IWM DTE 21 delta 0.30 — Custom params
what DTE works best for BPS on QQQ — Run a few with different DTEs, compare
bps fear threshold 70 vs 60 on NVDA — Run two calls with different thresholds
Mock Data
Mock data in mock-data/bps-backtest/ — examples for QQQ with signal ON and OFF.
API Endpoint
POST /api/options/bps-backtest
Content-Type: application/json
Request body:
{
"ticker": "QQQ",
"dte_target": 14,
"short_delta": 0.25,
"spread_width": 5.0,
"take_profit_pct": 0.50,
"fear_threshold": 60,
"start_date": "2018-01-01",
"end_date": "2026-04-20",
"include_control": true
}
Response:
{
"success": true,
"ticker": "QQQ",
"period": {"start": "2018-01-01", "end": "2026-04-20"},
"with_signal": {
"total_trades": 28, "win_rate_pct": 100, "annual_return_pct": 10.8,
"sharpe": 16.3, "max_drawdown_pct": 0.0, "trades": [...], "equity_curve": [...],
"pnl_histogram": {...}, "exit_reasons": {"take_profit": 20, "expiry_otm": 8}
},
"no_signal": {
"total_trades": 185, "win_rate_pct": 82, "annual_return_pct": 3.5,
"sharpe": 2.1, "max_drawdown_pct": -8.2, ...
},
"summary": {
"zh": "QQQ · 2018-2026 · 使用 FearScore ≥ 60 触发 BPS 入场,共交易 28 笔,年化 +10.8%,胜率 100%,最大回撤 0.0%。 同参数无信号对照组年化 +3.5%、胜率 82%;信号版本高出无信号组 7.3 个百分点。",
"en": "QQQ · 2018-2026 · BPS entry on FearScore ≥ 60 over 28 trades: annualized +10.8%, win rate 100%, max drawdown 0.0%. The no-signal control under the same params: annualized +3.5%, win rate 82%. Signal version outperforms by 7.3 pp."
}
}
Pricing: 1 option-analysis credit per call; 30-min cache per parameter hash (cache
hits free). Expect ~5-10s compute for a fresh hash.
Related Skills
Powered by AlphaGBM — Real-data options & research intelligence. 10K+ users.
1---2name: alphagbm-bps-backtest3description: Full walk-forward Bull Put Spread backtest over ~8 years of daily history. Runs both the signal (FearScore ≥ 60 entry) version AND a no-signal control in the same request, so you can quantify whether the fear-entry rule actually delivers alpha for this ticker under your parameters. Returns equity curve, 4 KPIs (annualized return / win rate / max drawdown / Sharpe), trade ledger, and a plain-language takeaway. Triggers: "backtest BPS on QQQ", "bull put spread backtest", "does FearScore work on SPY", "what DTE for BPS", "optimal bull put spread delta", "BPS strategy backtest", "credit spread backtest", "backtest short put spread"4---56# AlphaGBM BPS Backtest78Backtests the Bull Put Spread (short put + long put at lower strike) as a9mechanical strategy over 2018–present on any ticker, with two passes per call:10111. **With Signal** — only enters when the per-ticker FearScore is ≥ your threshold122. **No Signal (Control)** — enters unconditionally every Monday1314The side-by-side comparison shows whether the signal is doing work, or whether15you're paying 1 credit for noise.1617## Parameters1819All optional except `ticker`:2021| Param | Default | Range | Meaning |22|-------|---------|-------|---------|23| `ticker` | required | US / HK / CN | Underlying |24| `dte_target` | 14 | 7–45 | Days to expiry on entry |25| `short_delta` | 0.25 | 0.15–0.35 | Absolute delta of the short put leg |26| `spread_width` | 5.0 | 2–10 | Dollar width of the spread |27| `take_profit_pct` | 0.50 | 0.20–0.80 | Close when realized % of max profit hits this |28| `fear_threshold` | 60 | 40–80 | FearScore ≥ X is entry signal |29| `start_date` | 2018-01-01 | YYYY-MM-DD | Backtest start |30| `end_date` | 2026-04-20 | YYYY-MM-DD | Backtest end |31| `include_control` | true | bool | Run no-signal control pass alongside |3233## What's Returned3435Per pass (`with_signal` and `no_signal`):36- `total_trades`, `win_rate_pct`, `annual_return_pct`, `sharpe`, `max_drawdown_pct`,37 `roc_pct`, `avg_holding_days`, `avg_pnl_per_trade`, `total_pnl`, `final_capital`38- `exit_reasons` — count by `take_profit / stop_loss / expiry_otm / expiry_itm / close_early`39- `trades[]` — full ledger (entry/exit date, strikes, credit, pnl, reason)40- `equity_curve[]` — per-day cumulative capital41- `pnl_histogram` — bucket counts for the P&L distribution4243Plus:44- `summary` — one-paragraph zh/en takeaway comparing signal vs control, with ⚠️ flags45 when drawdown or win rate look problematic4647## Methodology Notes4849- IV is proxied by 20-day historical volatility (HV20) for BS pricing.50 Historical option-chain IV is unaffordable to source at scale; HV20 is a reasonable51 proxy but will under-estimate IV around events. Live results typically outperform52 backtest because of this.53- FearScore is reconstructed from the same 6 indicators the live version uses, but54 computed from cheap historical price + volume data only.55- Entries filtered by `max_positions` (3) and `min_entry_spacing_days` (3) and56 a `risk_per_trade` cap (0.5% of capital).5758## How to Use5960**Example Queries:**61- `backtest BPS on QQQ` — Default params, signal vs control comparison62- `does FearScore work on SPY` — Same call, reads the comparison summary63- `backtest bull put spread IWM DTE 21 delta 0.30` — Custom params64- `what DTE works best for BPS on QQQ` — Run a few with different DTEs, compare65- `bps fear threshold 70 vs 60 on NVDA` — Run two calls with different thresholds6667## Mock Data6869Mock data in `mock-data/bps-backtest/` — examples for QQQ with signal ON and OFF.7071## API Endpoint7273```74POST /api/options/bps-backtest75Content-Type: application/json76```7778Request body:7980```json81{82 "ticker": "QQQ",83 "dte_target": 14,84 "short_delta": 0.25,85 "spread_width": 5.0,86 "take_profit_pct": 0.50,87 "fear_threshold": 60,88 "start_date": "2018-01-01",89 "end_date": "2026-04-20",90 "include_control": true91}92```9394Response:9596```json97{98 "success": true,99 "ticker": "QQQ",100 "period": {"start": "2018-01-01", "end": "2026-04-20"},101 "with_signal": {102 "total_trades": 28, "win_rate_pct": 100, "annual_return_pct": 10.8,103 "sharpe": 16.3, "max_drawdown_pct": 0.0, "trades": [...], "equity_curve": [...],104 "pnl_histogram": {...}, "exit_reasons": {"take_profit": 20, "expiry_otm": 8}105 },106 "no_signal": {107 "total_trades": 185, "win_rate_pct": 82, "annual_return_pct": 3.5,108 "sharpe": 2.1, "max_drawdown_pct": -8.2, ...109 },110 "summary": {111 "zh": "QQQ · 2018-2026 · 使用 FearScore ≥ 60 触发 BPS 入场,共交易 28 笔,年化 +10.8%,胜率 100%,最大回撤 0.0%。 同参数无信号对照组年化 +3.5%、胜率 82%;信号版本高出无信号组 7.3 个百分点。",112 "en": "QQQ · 2018-2026 · BPS entry on FearScore ≥ 60 over 28 trades: annualized +10.8%, win rate 100%, max drawdown 0.0%. The no-signal control under the same params: annualized +3.5%, win rate 82%. Signal version outperforms by 7.3 pp."113 }114}115```116117Pricing: 1 option-analysis credit per call; 30-min cache per parameter hash (cache118hits free). Expect ~5-10s compute for a fresh hash.119120## Related Skills121122| Skill | Relevance |123|-------|-----------|124| [alphagbm-fear-score](../alphagbm-fear-score/) | The live version of the entry signal being backtested |125| [alphagbm-options-strategy](../alphagbm-options-strategy/) | Build a custom BPS after deciding params |126| [alphagbm-pnl-simulator](../alphagbm-pnl-simulator/) | Forward-simulate a specific BPS at various future prices |127128---129130*Powered by [AlphaGBM](https://alphagbm.com) — Real-data options & research intelligence. 10K+ users.*