Condor Options Research Services offers customized market research and back-testing capabilities to private clients. What makes us unique? We back-test options strategies. While there are scores of software packages and service providers that can conduct simple tests of long/short strategies on equities and futures, no other research service tests mechanical and systematic strategies on historical options data.
I want to thank you for developing my overall portfolio hedging strategy! Having this strategy in place gives me some piece of mind about how to protect my assets against the next major market downturn. I liked how you used some of my ideas and then added your own perspectives to conduct detailed analysis. As you know, I tried to do some of this backtesting myself, but I don’t have the tools and resources to do a project this thorough and comprehensive. – Bryan D.
- General strategy back-testing – back-test your strategy over a statistically significant period before putting your capital at risk. We offer expertise in strategy research, whether your project employs equities, options, futures, currencies or commodities. We can apply any combination of fundamental, technical, and quantitative indicators you specify to any asset.
- Strategy optimization – through our back-testing automation capability, we can model and test your strategy over a substantial period of time, determine optimized strategy rules, and then walk those rules forward over an independent data set to confirm their validity.
- Hedge evaluation – Our services can help you determine which hedging strategy has historically delivered the level of protection you require, the smoothest returns, and the minimum portfolio draw-down.
Although each customer’s needs are different, our professional reports typically include:
- Methodology – a description of the testing methodology employed complete with trading rules and any assumptions, limitations or concerns;
- Comprehensive data – including each trade tested during the period, the running value of the test portfolio and relevant market indicators;
- Statistics – each report normally covers: average return per trade, percentage of winning/losing trades, compound annualized growth rate (CAGR), and maximum draw-down.
- Comparison – tested strategies are compared against each other and against an idealized S&P 500 “buy & hold” or other relevant benchmark strategy. Comparison is offered through statistics and through plotted equity curves.
Sample Equity Curve
The following is an example equity curve extracted from a real customer report. In this chart, we show the equity curve of the buy-and-hold benchmark (dark blue) as compared to the benchmark combined with a recommended hedging strategy (medium blue). In addition, we graphically display the drawdown of the benchmark (medium green) and the drawdown of the combined strategy (light green).
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To discuss your proposed research project and receive a free quote, call us at (212) 202-0693 or send us an email.