Short Strangle — Gap-Fill Backtesting Engine
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📊 Analyser
Universe & Dates
Symbol
NIFTY
SENSEX
From Date
To Date
Expiry
DTE Filter (trading days to expiry)
0
1
2
3
4
5
None checked = trade every day (no DTE filtering). 0 = expiry day itself.
Position Sizing
Lots
Lot Size
Strike Interval
Entry / Exit Timing
Entry Time
Exit Time
Entry Mode
Mode
premium
moneyness
pct_otm
CE Premium
PE Premium
Premium Condition
near
CE Moneyness
PE Moneyness
e.g. ATM, OTM1, OTM2, ITM1
CE % OTM
PE % OTM
Gap Adjustment
Gap Threshold (%)
Trigger
tick
1min_close
Mode
one_step
step_out
match_premium
Risk Mode
ON
OFF
Max Adjustments
Auto Risk-Off
Enable auto risk-off at ATM
ATM Buffer (strikes)
Risk Limits
Max Loss (per lot)
Max Profit (per lot)
Per-lot rupee thresholds - multiplied by Lots internally, so the stop stays proportionally meaningful as you size the position up or down.
Execution
Slippage (%)
Applied to every real fill: selling (entry/adjustment-entry) fills this % below quote, buying (exit/adjustment-exit) fills this % above quote. 0 = exact quoted price.
Fill entries on next candle's open (execution lag)
When on: a signal entry/exit, an adjustment's new leg, and a hedge roll's new leg fill at the
next
1-minute candle's open price instead of this candle's close (falls back to this candle's close if there's no next candle or no open data). Exits from an adjustment, a hedge roll, or the day-terminal exit always stay on this candle's close. Off by default.
Hedge (optional)
Buy a protective hedge on each sold leg
Hedge Distance (strikes further OTM)
On Adjustment
Re-strike hedge on every adjustment
Keep original hedge strike
Hedge is bought hedge_distance strikes further OTM than each sold leg (both CE and PE), capping tail risk. "Re-strike" keeps the hedge exactly that far from wherever the short leg currently sits; "Keep original" leaves the hedge where it was first struck.
Entry/Exit Signal (optional)
Gate entries/exits by uploaded signal CSV
Signal File (date, time, Entry/Exit)
No file uploaded yet.
Entry is held until the signal reads "Entry"; a flip to "Exit" force-closes the open position and the engine waits for the next "Entry" to re-enter - possibly several times in a day. PnL accumulates across cycles for max_profit/max_loss checks.
Run Backtest
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Configure parameters and click "Run Backtest" to begin. Results, charts and the trade log will appear here.