This is a simple backtester for options trading strategies. I originally designed it for crypto options, but it can also be used for other types of options.
It takes in a series of day-by-day positions on various products (both options and underlying), producing a PnL graph and Sharpe ratio. Options auto-exercise at expiry if appropriate.
Example output for constant +1 position of BTC-USD (underlying):
Sharpe ratio: 8.7188
Example output for constant +1 position of BTC-USD June 2025 call option with 100k strike:
Sharpe ratio: 6.4083
Input CSV format:
| Column name | Required? | Data type / format | Example value | Meaning & rules |
|---|---|---|---|---|
date |
Yes | YYYY-MM-DD (ISO 8601) |
2025-05-05 |
Trading-day close to which the mark & position apply. One row per instrument per calendar day. |
instrument_id |
Yes | string | BTC-27JUN25-100000-C |
Unique symbol for the row itself (spot or option). For options: <UL>-<DDMMMYY>-<STRIKE>-<C∕P>. |
type |
Yes | S ∕ C ∕ P |
C |
Instrument class: Spot, Call, Put. |
underlying |
Required for C/P | string | BTC-USD |
Spot instrument_id on which the option settles. Can be blank for spot rows. |
strike |
Required for C/P | float | 100000 |
Strike price of the option. Leave blank (or NaN) for spot rows. |
expiry |
Required for C/P | YYYY-MM-DD |
2025-06-27 |
Option expiry date. Blank / NaT for spot rows. |
price_bid |
Yes | float | 21500.25 |
Best bid at the daily close for this instrument. |
price_ask |
Yes | float | 21560.75 |
Best ask at the daily close for this instrument. |
position |
Yes | float (signed) | -2 |
End-of-day holding after all trades have settled. • Positive = long • Negative = short Units: contracts for options, units of coin for spot. |
Note that, for all options at a given date, there must be corresponding row(s) for the underlying asset(s) at that date.