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MesoSim Documentation

website·Indexed 32 days ago

https://docs.mesosim.io

An options strategy backtesting platform from Deltaray. MesoSim provides tools for strategy definition, backtesting, portfolio analysis, and delta hedging. It includes an AI Job Editor for strategy development, a strategy definition schema reference, and MesoMetrics for quantitative performance analysis including CAGR, Sharpe, and Sortino ratios.

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What's inside MesoSim

  1. Inspect and manage portfolio revisions

    The Revision selector on the Overview page allows users to view previous saved results.

    • Read-Only Access: Historical revisions are read-only and display the specific configuration used to generate that result.
    • Returning to Current Work: Use the Return to latest result action to exit a historical revision and resume work on the current portfolio. This prevents confusion between historical experiments and temporary previews.

  2. Share a saved portfolio for others to inspect

    To share a saved portfolio, navigate to Portfolios → Simulations and select the desired portfolio. Once a successful analysis has been saved, enable the Sharing toggle on the Overview page. Sharing the portfolio URL allows viewers to see the saved successful result; they will not see temporary previews or unsaved edits. Note that sharing a portfolio does not automatically share its component backtests; those must be shared separately via the source runs using the 'Sharing Results' settings.

  3. MesoSim Strategy Definition Overview

    The MesoSim strategy definition is a JSON schema used to describe trading structures, control entry/adjustment/exit behavior, and configure simulator settings. When schedules for different operations coincide at the same simulation timestamp, MesoSim processes them in the following order: exits → adjustments → entries.

  4. Analyze backtest performance via Result Tabs

    The following tabs are available for analyzing a backtest run:

    • Overview: Check execution status, NAV and Greeks charts, trade PnL, and summary statistics. Failed runs display the reason for failure here.
    • AI Assistant: Discuss the backtest results with the integrated AI assistant.
    • Position Monitor: Inspect positions, timestamps, PnL, Greeks, and risk graphs (requires recorded traces).
    • Tearsheet: View an on-demand performance report generated from run metrics.
    • Analytics: Use DataVoyager to chart events and recorded variables to find relationships between entry conditions and outcomes.
    • StatSim: Resample the Strategy NAV of a successfully finished run.
    • Margin Report: Inspect recorded margins (requires margin configuration during the run).
    • Events: Read execution messages and expand recorded variables.
    • Strategy Definition: Review the specific definition used for the run.

  5. Stop sharing a backtest run

    To revoke access to a shared backtest, navigate to the run's Overview tab and turn off the Sharing switch. Once disabled, the URL will no longer work for other users, though the run remains accessible to the owner.

  6. Review and analyze hedge performance

    After running the analysis, you can evaluate the impact of the hedge using these tools:

    1. Overview: Compare the 'Portfolio (delta hedged)' and 'Portfolio (unhedged)' curves.
    2. Portfolio Greeks by Symbol → Delta: Compare exposures (summarized daily).
    3. Events → Delta hedging activity: Inspect specific intraday actions, including triggers, targets, units traded, execution prices, and hedge PnL.
    4. Tearsheet and StatSim: Use the 'Hedged / Unhedged' selector to compare performance series.

  7. Select the appropriate MesoSim AI workflow

    MesoSim provides four levels of AI assistance depending on the user's plan and desired integration level:

    1. ChatGPT-hosted AI Assistant: A free external tool (no MesoSim plan required) for general help with strategy ideas, Strategy Definitions, and platform guidance.
    2. AI Assistant: Built-in tool available from the Standard plan. Used within the Job Editor to draft/edit strategies and analyze backtests using Portal context.
    3. AI Agents: Available for Advanced and FundPro plans. A connected agent in the desktop app that can develop strategies, submit/monitor backtests, and investigate results in a single conversation.
    4. AI Researcher: Exclusive to FundPro plans for professional options research.

  8. Analyze combined strategy performance with MesoSim Portfolios

    MesoSim Portfolios allow you to bring one or more completed backtests together to study their combined performance. Key capabilities include:

    • Strategy Combination: Compare a portfolio against its individual components and a benchmark to analyze return correlations.
    • Capital Allocation: Set fixed weights or calculate inverse-volatility weights, including custom rebalancing schedules.
    • Delta Hedging Simulation: Configure triggers, targets, trading costs, and schedules for each underlying asset, including intraday checks.
    • Outcome Comparison: Compare hedged vs. unhedged performance, explore resampled paths via StatSim, and trace allocation/hedge changes in the Events log.
    • Research Maintenance: Rerun component strategies over new dates, maintain result revisions, and share portfolios.

  9. Analyze and save portfolio results

    After configuration, follow these steps to finalize the portfolio:

    1. Select Analyze and review to generate a temporary preview.
    2. Inspect the results using the Overview, Correlation matrix, Tearsheet, StatSim, and Events views.
    3. If adjustments are needed, return to Configuration, update settings, and re-analyze.
    4. Select Save portfolio to persist the result.

    Important: Analysis results are temporary previews and are not stored in Portfolios → Simulations until the Save portfolio action is completed.

  10. Understand viewer permissions for shared backtests

    The level of access for a person with a shared backtest URL depends on the portal type and authentication status:

    • Retail Portal (Unsigned-in): Can view the Overview tab only.
    • Retail Portal (Signed-in): Can view the Overview, inspect detailed results (including Events and Strategy Definition), and use the Clone feature to start a new run from the shared strategy.
    • Institutional Portals: Require sign-in to open any shared run.

    Note: Enabling sharing makes the strategy definition public to those with the link.

  11. Interpret Overview charts for backtests

    The Overview tab provides high-level visual analysis of the strategy:

    • NAV Chart & Summary Statistics: The primary starting point for evaluating performance.
    • Account Greeks: Displays how the strategy's exposure changes throughout the duration of the backtest.
    • Trade PnL: Allows comparison of individual trade outcomes against Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE).

  12. Interpret the 3D Volatility Surface chart

    The 3D surface provides a broad overview of volatility. The dimensions are defined as follows:

    • X-Axis (Strike): The option strike price.
    • Y-Axis (DTE): Days to expiration.
    • Z-Axis (Implied Volatility): The height of the surface represents the IV.
    • Color: Represents the metric selected in the Color by setting.

    Users can hover over the surface to inspect specific strike, DTE, IV, and color metric values. Comparing strikes helps analyze the volatility smile or skew, while comparing maturities reveals the term structure.