📈 Options Backtesting Platform

A comprehensive Python-based options backtesting platform that converts TradingView strategy reports into simulated NIFTY options trades using real historical data from Upstox API.

🎯 Features

• ✅ TradingView Integration: Upload and parse TradingView strategy exports
• ✅ Automatic Option Conversion: Long → CALL, Short → PUT
• ✅ Flexible Expiry Logic: Custom expiry weekday and rollover configuration
• ✅ Strike Selection: ATM, ITM1, OTM1 modes
• ✅ Real Data: Fetch historical option prices via Upstox API
• ✅ Comprehensive Reports: Excel exports with multiple analysis sheets
• ✅ Interactive Dashboard: Beautiful Streamlit UI with charts
• ✅ Performance Metrics: Win rate, P&L, drawdown, profit factor

🏗️ Architecture

┌─────────────────────────────────────┐
│ Streamlit Dashboard (Frontend)     │
│ - Upload TradingView Excel         │
│ - Configure parameters             │
│ - Display results & charts         │
└──────────────┬──────────────────────┘
               ▼
┌─────────────────────────────────────┐
│ Data Parser (core/parser.py)       │
│ - Parse Excel structure            │
│ - Pair Entry/Exit rows             │
│ - Validate data                    │
└──────────────┬──────────────────────┘
               ▼
┌─────────────────────────────────────┐
│ Backtest Engine (core/engine.py)   │
│ - Process trades                   │
│ - Calculate expiry & strike        │
│ - Fetch option prices              │
│ - Calculate P&L                    │
└──────────────┬──────────────────────┘
               ▼
┌─────────────────────────────────────┐
│ Report Generator (core/report.py)  │
│ - Create Excel reports             │
│ - Generate visualizations          │
│ - Calculate statistics             │
└─────────────────────────────────────┘

📁 Project Structure

options_backtester/
│
├── app.py                      # Main Streamlit application
├── requirements.txt            # Python dependencies
├── README.md                   # This file
├── SETUP.md                    # Setup instructions
│
├── config/
│   ├── credentials.json        # Upstox API credentials
│   └── __init__.py
│
├── core/
│   ├── __init__.py
│   ├── parser.py              # TradingView data parser
│   ├── engine.py              # Backtesting engine
│   ├── expiry_rules.py        # Expiry calculation logic
│   ├── strike_rules.py        # Strike price calculation
│   ├── upstox_api.py          # Upstox API wrapper
│   └── report.py              # Report generation
│
├── data/
│   ├── tradingview_raw/       # Raw TradingView exports
│   ├── converted_trades/      # Processed trade data
│   └── cached_data/           # Cached API responses
│
└── reports/
    └── output/                # Generated reports

🚀 Quick Start

Prerequisites

• Python 3.11 or higher
• Upstox trading account with API access
• TradingView strategy backtest export

Installation

1. Clone or download this project

cd options_backtester

2. Install dependencies

pip install -r requirements.txt

3. Configure Upstox credentials

Edit config/credentials.json:

{
    ""api_key"": ""YOUR_API_KEY"",
    ""api_secret"": ""YOUR_API_SECRET"",
    ""access_token"": ""YOUR_ACCESS_TOKEN""
}

Note: Get your credentials from Upstox Developer Console

    .\venv\Scripts\Activate.ps1

4. Run the application

streamlit run app.py

The application will open in your browser at http://localhost:8501

📊 Usage

Step 1: Export from TradingView

1. Run your strategy backtest in TradingView
2. Export the results as Excel (.xlsx)
3. Ensure it contains these columns:
   • Trade #
   • Type (Entry/Exit)
   • Signal (Long/Short)
   • Date
   • Time
   • Price

Step 2: Configure Parameters

In the sidebar, set:

• Expiry Weekday: Day when options expire (default: Thursday)
• Rollover Day: Day to roll to next expiry (default: Tuesday)
• Moneyness Mode: ATM/ITM1/OTM1
• Lot Size: NIFTY lot size (default: 75)
• Data Interval: 1minute or 5minute

Step 3: Upload & Process

1. Upload your TradingView Excel file
2. Review the parsed trades
3. Click ""Run Backtest""
4. Wait for processing (uses Upstox API)

Step 4: Analyze Results

• View trade-by-trade results in the Results tab
• Check performance metrics in the Metrics tab
• Download Excel report with comprehensive analysis
• Review equity curve and P&L distribution charts

🔧 Configuration Options

Expiry Logic

The platform calculates expiry dates based on:

• Expiry Weekday: The day of the week when options expire
• Rollover Day: Trades entered on or after this day use next week's expiry

Example:

• Expiry = Thursday, Rollover = Tuesday
• Monday trade → Current week Thursday expiry
• Tuesday+ trade → Next week Thursday expiry

Strike Selection

Three moneyness modes:

Mode	CALL Strike	PUT Strike
ATM	Ceiling(NIFTY/50) × 50	Floor(NIFTY/50) × 50
ITM1	ATM + 100	ATM - 100
OTM1	ATM - 50	ATM + 50

Example (NIFTY = 25,574):

• CALL ATM = 25,600
• PUT ATM = 25,550
• CALL ITM1 = 25,700

📈 Output Format

Trade Results

Each row contains:

• Trade number and dates
• Entry/Exit times
• Expiry date
• Option type (CALL/PUT)
• Strike price
• NIFTY entry/exit prices
• Option entry/exit prices
• P&L for both NIFTY and Options

Excel Report Sheets

1. Trades: All trades with full details
2. Summary: Key statistics and metrics
3. Monthly: Month-by-month breakdown
4. Win-Loss: Detailed win/loss analysis

🔌 Upstox API Integration

The platform uses Upstox API v2 for:

1. Instrument Discovery: Finding option contracts
2. Historical Data: Fetching option prices
3. Data Formats: 1-minute and 5-minute candles

API Rate Limits

• Includes automatic rate limiting (0.1s delay between calls)
• Caches instrument data to reduce API calls
• Falls back to mock data if API fails (for testing)

🎨 Dashboard Features

Interactive Components

• File Uploader: Drag-and-drop TradingView exports
• Parameter Controls: Sidebar configuration
• Live Progress: Real-time backtest progress
• Interactive Charts: Plotly-based visualizations
• Data Tables: Sortable, filterable results
• Download Buttons: Export to CSV and Excel

Visualizations

1. Equity Curve: Cumulative P&L over time
2. P&L Distribution: Histogram of trade results
3. Trade Bars: Individual trade performance
4. Metrics Cards: Key statistics at a glance

🛠️ Development

Adding New Features

1. Custom Strike Logic: Modify core/strike_rules.py
2. New Expiry Rules: Update core/expiry_rules.py
3. Additional Metrics: Extend core/report.py
4. UI Enhancements: Edit app.py

Testing

The platform includes fallback mock data for testing without API access:

# In core/engine.py
def mock_option_price(self, timestamp, expiry_date, strike_price, option_type):
    # Generates synthetic option prices for testing
    ...

📝 Requirements

System Requirements

• OS: Windows 10/11 (64-bit), macOS, or Linux
• RAM: 8 GB minimum
• Python: 3.11+
• Internet: Required for Upstox API

Python Packages

See requirements.txt:

• streamlit 1.32.0
• pandas 2.1.4
• openpyxl 3.1.2
• requests 2.31.0
• plotly 5.18.0
• numpy 1.26.3
• pytz 2023.3

🚨 Troubleshooting

Common Issues

1. ""Module not found"" error

   • Solution: Run pip install -r requirements.txt

2. ""Invalid API credentials""

   • Solution: Check your credentials in sidebar/config file
   • Ensure access token is not expired

3. ""No instrument found""

   • Solution: Check if the expiry date has active options
   • Verify strike price is valid for that expiry

4. Slow performance

   • Solution: Use 5-minute interval instead of 1-minute
   • Reduce number of trades in input file
   • Check internet connection

Getting Help

• Check SETUP.md for detailed setup instructions
• Review code comments in core/ modules
• Test with sample data first

🔮 Future Enhancements

Phase 2 features (planned):

• BankNIFTY and FINNIFTY support
• Multiple strike testing
• Transaction cost simulation
• Slippage modeling
• Real-time validation via websocket
• AI-based trade filtering
• Strategy optimizer
• Portfolio backtesting
• Database storage (SQLite)
• Scheduled backtests

📄 License

This project is provided as-is for educational and research purposes.

⚠️ Disclaimer

This software is for educational and backtesting purposes only.

• Past performance does not guarantee future results
• Options trading involves substantial risk
• Always do your own research before trading
• The developers are not responsible for any financial losses
• Use at your own risk

🙏 Acknowledgments

• TradingView: Strategy backtesting platform
• Upstox: Options data API
• Streamlit: Dashboard framework
• Plotly: Visualization library

📧 Support

For issues or questions:

1. Review documentation carefully
2. Check troubleshooting section
3. Test with sample data
4. Verify API credentials

---

Built with ❤️ for options traders

Version 1.0 | November 2025