Strategy Library
This page lists the built‑in strategies and learning templates you can run in MesoSim, the options backtesting platform from Deltaray. 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 | Read article | 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 | Read article | 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 | Read article | Fri→Mon premium capture on SPX weeklies; short strangle baseline. | Short Strangle, 3–4DTE, Timing(Fri→Mon), DeltaSelector |
| ThetaEngine | Public Strategy | Read article | Credit‑targeted dynamic sizing short put with multi‑day campaign entries. | Short Put, QtyMultiplier, ExitTargets, Concurrency, 90DTE |
| ThetaEngine-VolatilityHedged | Public Strategy | Read article | ThetaEngine with reactive long‑put hedge when IVRank > 50. | Short Put, IVGating, Adjustments(AddLegs), Hedging, Concurrency |
| SuperBull-Relaxed | Public Strategy | Read article | 65‑DTE bullish call vertical with reward/risk filter and staged exits. | Call Debit Spread, DeltaSelector, ExitConditions, Concurrency |
| GLD-Short-Put | Public Strategy | Read article | 30‑DTE ~25‑delta GLD short put; daily entries with campaign sizing. | Short Put, 30DTE, DeltaSelector, Concurrency, Timing |
| Rhino-SPX | Public Strategy | Read article | SPX Rhino combining an out-of-the-money broken-wing butterfly with calendars. | Broken Wing Butterfly, Calendar, Adjustments, ExternalData |
| GeneticRhino-SPX-25Q4 | Public Strategy | Read article | Rhino-like SPX variant with put and call legs across two expirations. | Broken Wing Butterfly, Calendar, MultiExpiration |
Notes:
- NetZero skew analysis: additional study and 2023–2024 sensitivity.
- Portfolio research comparing multiple strategies.
- Out-of-sample stress test across 2024 (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 | Read article | 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 MesoSim, select Strategies → New Run → AI Editor, or open the AI Editor directly, choose a template by name, select Validate, then Run job. Adjust Backtest.Cash and Settings (FillModel, Commission, Slippage) to match your broker preferences (see Preferences).
See Create and run a backtest for the full workflow, then iterate with Clone and compare Backtest Results.
Manage your templates
Open Strategies → Templates to select and inspect a template. Your own templates can be renamed, edited, validated, and saved. Use New to create a named template, then review its definition before saving.