Hermēs DocumentationGEX Signal Backtest
The GEX Signal Backtest lets you test structural signals on historical data — such as "long above zero gamma" or "short below the put wall" — and gives win rate, average P/L, max drawdown and an equity curve, replacing gut feel with data. Requires Ultra.
The GEX Signal Backtest lets you test structural signals on historical data — for instance whether "long above zero gamma" or "short below the put wall" actually makes money. It gives win rate, average P/L, max drawdown and an equity curve, turning "I think this works" into "the data shows this signal wins X%, drawdown Y%". Requires Ultra.
Open it in the Options Desk via ＋ New Window → Data & Analytics → GEX Signal Backtest.
Who it is for
Futures / index GEX traders. Before writing a structural signal into your intraday Playbook, use the backtest to confirm it holds up in this ticker and this stretch of market — avoiding mistaking coincidence for a rule.
Panel walkthrough
Parameter builder
Set the ticker (ES_SPX, NQ_NDX, SPX, SPY, QQQ, VIX, IWM, GLD, etc.), the signal rule (above zero gamma / above call wall / below put wall / between-walls range), the direction (long / short), the holding period (bars) and the backtest window, then hit ▶ Run Backtest.
Summary stats
Gives number of trades, win rate, average P/L, total P/L, max drawdown — read the win-rate/drawdown combination first, then total P/L.
Equity curve + trade log
The equity curve shows the equity path; the trade table below lists each trade's entry time, entry price, exit price, P/L, making it easy to locate which stretch made or lost money.
How to read it
High win rate + small drawdown + smooth equity curve → robust signal, worth adding to the Playbook. High total P/L but huge drawdown / jagged curve → driven by a few extreme trades, hard to replicate live. A signal that works on ES but fails on another ticker → it has ticker dependence, don't apply it blindly.
Limitations: the backtest is based on ~15-minute GEX snapshots and excludes slippage and commissions. It is for comparing relative signal quality and validating direction, not a proxy for live returns. Live trading must add execution costs and risk discipline.
Typical workflow
- Observe a seemingly effective structural phenomenon from the main chart or GEX Data Center.
- Write it as a rule in the backtest (e.g. "above zero gamma + long + hold N bars").
- Run it across multiple tickers and windows to see whether win rate/drawdown stays stable.
- Add robust signals to the Futures Playbook, paired with stops and invalidation conditions.
Next steps
Frequently asked questions
What signal rules does the GEX Signal Backtest support?
Built-in structural signals are above zero gamma, above the call wall, below the put wall and between-walls range; direction can be long or short, with a configurable holding period and backtest window.
What metrics does the backtest report?
Number of trades, win rate, average P/L, total P/L, max drawdown, plus an equity curve and a trade-by-trade table (entry time, entry price, exit price, P/L).
What are the backtest's limits?
The backtest is based on ~15-minute GEX snapshots and excludes slippage and commissions; results are for comparing relative signal quality and validating direction, not equivalent to live returns.
Cross-asset Correlation
Cross-asset Correlation uses a Pearson correlation heatmap to measure how strongly the zero-gamma levels of indices/ETFs move together, helping macro and multi-asset traders decide whether to diversify or concentrate on one direction today. Requires Ultra.
GEX Heatmap
Free view of gamma-exposure (GEX) by strike, call/put walls, and the zero-gamma flip for major tickers.