Algo Trading Labs - Backtest Your Options Strategies

Backtest Configuration

Start Date

End Date

Strategy Type

Strategy Configuration

Advanced options allow you to fine-tune your backtest parameters for more sophisticated analysis.

Start Date

End Date

Initial Capital

Commission per Trade

Slippage (%)

Advanced Strategy Configuration

Backtest Parameters

Configure your strategy using the following parameters:

Parameter	Description
INDEX	NIFTY, BANKNIFTY, FINNIFTY, SENSEX, MIDCPNIFTY
MONEYNESS	Distance from ATM (0 for ATM, 1 for ITM/OTM)
STOPLOSS	Stop loss percentage (e.g., 30%)
DAYS_TO_EXPIRY	Number of days to expiry (0, 1, 2, etc.)
START_TIME	Entry time(s) for the trade
QUANTITY	Number of contracts to trade
MAX_LOSS	Maximum loss allowed before exiting

Example Strategy

NIFTY AND MONEYNESS 0 AND STOPLOSS 40% AND DAYS_TO_EXPIRY 1 AND START_TIME 12:30 AND QUANTITY 1000 and MAX_LOSS 40000

This defines a Nifty ATM straddle entry at 12:30, with a 40% stop loss, using options with 1 day to expiry, 1000 quantity, and a max loss limit of ₹40,000.

Options Trading Tips

Time Decay - Options lose value as they approach expiration. Consider this when trading short-term options.
IV Impact - High implied volatility inflates option premiums. Selling options during high IV can be advantageous.
Strike Selection - ATM options have the highest gamma, making them more responsive to small price movements.
Expiry Dynamics - Weekly options behave differently than monthly expirations due to accelerated time decay.