Options Data Backtester

Backtests Nifty options strategies on local JSON data and shows results in a Flask dashboard. There are four runners: intraday, positional, EOD next-day exit, and EOD hold-to-expiry.

Download the market data first with icici-options-data-downloader (spot, options, and Dhan intraday). That project writes JSON under its own data/ folder. Copy those files into this repo as shown below. Market data is not in git. Never commit backtest_results.json or *.db.

options-data-backtester/
├── LICENSE
├── README.md
├── app.py                         # Dashboard on http://localhost:3003
├── config.json                    # Parameters for the runners
├── config_optimization.json       # Base config for Optuna
├── optimization_params.example.json
├── optimize_hyperparameters.py
├── run_intraday_backtest.py       # One entry and exit per day
├── run_positional_backtest.py     # Multi-day, SL/TP, optional EMA and re-entry
├── run_eod_backtest.py            # Enter near close, exit next day
├── run_eod_backtest_expiry.py     # Enter near close, hold until SL, target, or expiry
├── start_server.sh
├── requirements.txt
├── templates/index.html
└── utils/
    ├── cal_ema_nifty_data.py
    ├── cal_ema_vix_data.py
    ├── convert_to_excel.py
    └── db_utils.py

Setup

git clone https://github.com/KushalAzza/options-data-backtester.git
cd options-data-backtester
python3 -m venv venv
source venv/bin/activate
pip install -r requirements.txt

Place data here (gitignored). After running icici-options-data-downloader:

• Copy nifty_intraday_price.json to data/nifty_intraday_price.json
• Copy each data/options/nifty_options_YYYY-MM-DD.json (and *_next_expiry.json) into data/YYYY/
• For the VIX filter, run the Dhan intraday script there with USE_SECURITY_ID=21 and copy the file to data/india_vix_intraday_price.json

data/
├── nifty_intraday_price.json
├── india_vix_intraday_price.json    # needed if you use the VIX filter
└── YYYY/
    ├── nifty_options_YYYY-MM-DD.json
    └── nifty_options_YYYY-MM-DD_next_expiry.json

Edit config.json for dates, times, strikes, lot size, stop-loss, target, VIX, EMA, and re-entry. Strike offsets live under basic_settings (ce_strike_offset, pe_strike_offset, strike_rounding).

How to run

Pick one backtest script after the data is in place. EMA helpers are only needed if ema_signals.enabled is true. The dashboard and Excel export read backtest_results.json.

flowchart TD
    downloader["Download data with icici-options-data-downloader"] --> copy["Copy JSON into data/YYYY/ and data/nifty_intraday_price.json"]
    copy --> cfg["Edit config.json"]
    cfg --> ema{"Using EMA signals?"}
    ema -->|Yes| niftyEma["python3 utils/cal_ema_nifty_data.py"]
    ema -->|Yes| vixEma["python3 utils/cal_ema_vix_data.py"]
    ema -->|No| pick
    niftyEma --> pick
    vixEma --> pick
    pick{"Which strategy?"}
    pick -->|Same-day entry/exit| intra["python3 run_intraday_backtest.py"]
    pick -->|Hold across days| pos["python3 run_positional_backtest.py"]
    pick -->|Enter close, exit next day| eod["python3 run_eod_backtest.py"]
    pick -->|Enter close, hold to SL/target/expiry| eodExp["python3 run_eod_backtest_expiry.py"]
    intra --> results["Writes backtest_results.json"]
    pos --> results
    eod --> results
    eodExp --> results
    results --> dash["python3 app.py or ./start_server.sh"]
    results --> xlsx["Optional: python3 utils/convert_to_excel.py"]
    cfg --> optuna["Optional: python3 optimize_hyperparameters.py"]
    optuna --> best["Writes config_best_optimized.json"]

Loading

python3 run_intraday_backtest.py
# or python3 run_positional_backtest.py
# or python3 run_eod_backtest.py
# or python3 run_eod_backtest_expiry.py

./start_server.sh
# open http://localhost:3003

python3 utils/convert_to_excel.py

Copy optimization_params.example.json to optimization_params.json if you want to change Optuna ranges. Default is 200 trials. The study file nifty_options_optimization.db is gitignored. Copy config_best_optimized.json over config.json only if you want to use those parameters.

The dashboard can start intraday or positional from the UI (backtest_period.use_positional). EOD scripts are CLI-only.

License

MIT. See LICENSE.