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Strategy Backtest

Institutional volatility data. Industry-proven. Natural language in, backtests out.

Momentum Reversal

94 trades
SHARPE RATIO|DRAWDOWN
-0.42|-12.1%-3.8%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Short Vol Carry

67 trades
SHARPE RATIO|DRAWDOWN
-0.91|-18.4%-7.2%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Failed Mean Reversion

43 trades
SHARPE RATIO|DRAWDOWN
-0.58|-14.2%-5.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Delta-Hedged Calendar Spread

203 trades
SHARPE RATIO|DRAWDOWN
2.13|-3.2%+24.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Breakout Straddle

84 trades
SHARPE RATIO|DRAWDOWN
1.21|-7.3%+9.7%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Momentum Reversal

94 trades
SHARPE RATIO|DRAWDOWN
-0.42|-12.1%-3.8%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Short Vol Carry

67 trades
SHARPE RATIO|DRAWDOWN
-0.91|-18.4%-7.2%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Failed Mean Reversion

43 trades
SHARPE RATIO|DRAWDOWN
-0.58|-14.2%-5.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Delta-Hedged Calendar Spread

203 trades
SHARPE RATIO|DRAWDOWN
2.13|-3.2%+24.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Breakout Straddle

84 trades
SHARPE RATIO|DRAWDOWN
1.21|-7.3%+9.7%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Momentum Reversal

94 trades
SHARPE RATIO|DRAWDOWN
-0.42|-12.1%-3.8%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Short Vol Carry

67 trades
SHARPE RATIO|DRAWDOWN
-0.91|-18.4%-7.2%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Failed Mean Reversion

43 trades
SHARPE RATIO|DRAWDOWN
-0.58|-14.2%-5.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Delta-Hedged Calendar Spread

203 trades
SHARPE RATIO|DRAWDOWN
2.13|-3.2%+24.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Breakout Straddle

84 trades
SHARPE RATIO|DRAWDOWN
1.21|-7.3%+9.7%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Momentum Reversal

94 trades
SHARPE RATIO|DRAWDOWN
-0.42|-12.1%-3.8%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Short Vol Carry

67 trades
SHARPE RATIO|DRAWDOWN
-0.91|-18.4%-7.2%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Failed Mean Reversion

43 trades
SHARPE RATIO|DRAWDOWN
-0.58|-14.2%-5.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Delta-Hedged Calendar Spread

203 trades
SHARPE RATIO|DRAWDOWN
2.13|-3.2%+24.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Breakout Straddle

84 trades
SHARPE RATIO|DRAWDOWN
1.21|-7.3%+9.7%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Skew Flip

58 trades
SHARPE RATIO|DRAWDOWN
-0.51|-9.8%-4.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Overleveraged Basis

31 trades
SHARPE RATIO|DRAWDOWN
-1.02|-21.3%-8.9%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Gamma Scalping

412 trades
SHARPE RATIO|DRAWDOWN
1.56|-5.4%+12.3%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Vol Surface Arbitrage

316 trades
SHARPE RATIO|DRAWDOWN
2.47|-5.6%+31.5%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Basis Trade

38 trades
SHARPE RATIO|DRAWDOWN
0.87|-1.9%+4.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Skew Flip

58 trades
SHARPE RATIO|DRAWDOWN
-0.51|-9.8%-4.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Overleveraged Basis

31 trades
SHARPE RATIO|DRAWDOWN
-1.02|-21.3%-8.9%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Gamma Scalping

412 trades
SHARPE RATIO|DRAWDOWN
1.56|-5.4%+12.3%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Vol Surface Arbitrage

316 trades
SHARPE RATIO|DRAWDOWN
2.47|-5.6%+31.5%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Basis Trade

38 trades
SHARPE RATIO|DRAWDOWN
0.87|-1.9%+4.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Skew Flip

58 trades
SHARPE RATIO|DRAWDOWN
-0.51|-9.8%-4.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Overleveraged Basis

31 trades
SHARPE RATIO|DRAWDOWN
-1.02|-21.3%-8.9%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Gamma Scalping

412 trades
SHARPE RATIO|DRAWDOWN
1.56|-5.4%+12.3%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Vol Surface Arbitrage

316 trades
SHARPE RATIO|DRAWDOWN
2.47|-5.6%+31.5%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Basis Trade

38 trades
SHARPE RATIO|DRAWDOWN
0.87|-1.9%+4.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Skew Flip

58 trades
SHARPE RATIO|DRAWDOWN
-0.51|-9.8%-4.6%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Overleveraged Basis

31 trades
SHARPE RATIO|DRAWDOWN
-1.02|-21.3%-8.9%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Gamma Scalping

412 trades
SHARPE RATIO|DRAWDOWN
1.56|-5.4%+12.3%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Vol Surface Arbitrage

316 trades
SHARPE RATIO|DRAWDOWN
2.47|-5.6%+31.5%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Basis Trade

38 trades
SHARPE RATIO|DRAWDOWN
0.87|-1.9%+4.1%
EntryExitInstrument01/0203/02BTC-28MAR04/0206/02ETH-28MAR07/0209/02SOL-27JUN

Workflow

From Codebase to Conversation

Traditional backtesting requires custom infrastructure, data stitching, surface construction and validation. Our Strategy Backtesting tool compresses that into a conversational interface.

Pricing

Strategy Backtest

14-day free trial

Flat subscription. Full MCP access. No usage caps.

Institutional Volatility Infrastructure

The same model-calibrated volatility surfaces that power our Strategy Backtest are delivered to Bloomberg Terminal.

Our composite vol surface to Bloomberg. Reflects crypto derivatives across multiple venues.

Bloomberg
Live Pipeline

Conversational Strategy Backtesting

Natural language in. Institutional-grade backtests out.

  • Processing strategy prompt0.0s
  • Gathering Block Scholes composite surface & Deribit options data
  • Validating signal logic
  • Running historical backtest
  • Calculating trade-by-trade PnL & hedge impact
Deterministic backtest responses. Powered byBlock ScholesBlock Scholes
Capabilities

Built for Institutional Strategy Research

Access spot, perpetual, futures and options datasets
Backtest signals using composite volatility surfaces
Trade-by-trade PnL with hedge attribution
Funding rates incorporated directly into PnL
Select model-derived surfaces or market-implied prices
Data sources
DeribitOKXBybit
Integration

MCP-Native

Drop into MCP-enabled agents. No SDK. No wrapper. Connect directly to institutional derivatives data through the Model Context Protocol.

ClaudeCursor

See Strategy Backtest in action

Each artifact below was generated from a single prompt. Copy it into your AI client to reproduce or adapt.

Short 25Δ OTM Call Strategy

Open artifact

Easily access Exchange relevant volatility surfaces and backtest against real market data.

Prompt
Using the Block Scholes listed volatility surface for Deribit, backtest a weekly systematic short 25-delta OTM BTC call option strategy over the past 12 weeks. Each trade enters at 08:00 UTC on the roll date, sells 1x 7-day tenor call at the 25Δ strike, and holds to expiry. Pricing mode: listed. Then construct a detailed interactive artifact showing: (1) portfolio summary metrics, (2) underlying spot + IV time series charts, (3) cumulative and per-trade P&L visualisation, (4) full trade log with strike/IV detail, and (5) strategy parameter definition.
https://claude.site/public/artifacts/4df73c9c-d9ca-4bd0-89f2-b97ce5bb3ceb

Delta-Hedged Calendar Spread

Open artifact

Easily access Block Scholes composite volatility surfaces and backtest endless signals using natural language.

Prompt
Using the Block Scholes composite volatility surface, backtest a delta-hedged BTC calendar spread on Deribit — long the 30-day ATM call, short the 7-day ATM call — rolled weekly over the past 8 weeks. Delta-hedge the net position daily at 08:00 UTC using the underlying perpetual. Pricing mode: composite. Build an interactive artifact with: (1) P&L attribution (theta vs gamma vs vega vs hedge), (2) Greeks evolution over each holding period, (3) term structure snapshots at entry/exit, (4) cumulative P&L chart, and (5) full trade log.
https://claude.site/public/artifacts/9e40bc5b-02ea-46fd-b5b9-ef1fa19fd28c
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