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0 days
TodayExpiry
0%
-50%+50%
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Scenario Matrix (Spot × DTE)
Uses the legs in your Strategy tab. Strikes scale relative to spot at each entry cycle.
Add legs first, then run backtest.
Entries are rolled monthly (~30 DTE) using the synthetic chain. The backtest engine places one trade per expiry cycle.
Not used for India F&O — IV is derived per symbol (NIFTY ~14%, BANKNIFTY ~18%).
⚠️ Simulated data only.
This backtest uses synthetic Black-Scholes option pricing based on historical spot prices and realized volatility —
not real historical option prices. Results are indicative only and do not account for liquidity, slippage, or funding costs.
Past simulated performance does not guarantee future results.
⚠️ India F&O — Simulated data.
Underlying prices from NSE via yfinance (^NSEI, ^NSEBANK, etc.).
Option pricing uses synthetic Black-Scholes chains calibrated to Indian index IV levels —
not real NSE bhavcopy option prices. Initial capital in ₹.
Results are indicative only. Past simulated performance does not guarantee future results.
Avg MAE
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Avg MFE
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MAE P95
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Payoff Ratio
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Recovery Factor
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Max Consec. Losses
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Monthly Win Rate
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IV Rank Avg Entry
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Theta P&L Total
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Delta P&L Total
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Vega P&L Total
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Walk-Forward Validation ▾
Shuffle 1,000 random paths through historical returns