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Assignment - Quant

The document outlines a Python script that processes NIFTY options data to analyze straddle strategies. It calculates a synthetic ATM, selects relevant straddles, simulates trade entries and exits based on specified conditions, and computes profit and loss. The results are saved to CSV files and visualized using Matplotlib.

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mdnadeem5013
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6 views4 pages

Assignment - Quant

The document outlines a Python script that processes NIFTY options data to analyze straddle strategies. It calculates a synthetic ATM, selects relevant straddles, simulates trade entries and exits based on specified conditions, and computes profit and loss. The results are saved to CSV files and visualized using Matplotlib.

Uploaded by

mdnadeem5013
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Code

import pandas as pd
import matplotlib.pyplot as plt
Import os

file_path = '/Users/mdnadeem/Documents/Python/nifty_data/Test data/NIFTY_2023-08-10.csv'


#filepath of local csv file which needs to analyse
processed_data_path = '/Users/mdnadeem/Documents/Python/nifty_data/Test
data/processed_straddle_data.csv' #Output file 1: saved in local storage
trade_results_path = '/Users/mdnadeem/Documents/Python/nifty_data/Test
data/trade_results.csv' #Output file 2: saved in local storage
backtesting_results_path = '/Users/mdnadeem/Documents/Python/nifty_data/Test
data/backtesting_results.csv' #Output file 3: saved in local storage

data = pd.read_csv(file_path)
data['timestamp'] = pd.to_datetime(data['timestamp'])
data.set_index('timestamp', inplace=True)

# Step 1: Calculate Synthetic ATM


def calculate_synthetic_atm(data):
opening_data = data.between_time('09:15', '09:15')
if opening_data.empty:
print("No opening data found for '09:15'.")
return None
atm = opening_data['strike_price'].median()
print(f"Synthetic ATM: {atm}")
return round(atm, -2)

synthetic_atm = calculate_synthetic_atm(data)
if synthetic_atm is None:
print("Failed to calculate synthetic ATM.")
exit()

# Step 2: Select Straddles

def select_straddles(data, atm):


strikes = [atm - 200, atm - 100, atm, atm + 100, atm + 200]
filtered_data = data[data['strike_price'].isin(strikes)]
return filtered_data

selected_straddles = select_straddles(data, synthetic_atm)


# Step 3: Simulate Entry and Exit with Conditions

def simulate_entry_exit(data, indicator_threshold, stop_loss_points=30, trailing_sl=True):


trades = []
is_in_trade = False
entry_price = 0
tsl = 0 # Trailing Stop Loss

for timestamp, row in data.iterrows():


if not is_in_trade and row['close'] < indicator_threshold: # Entry Condition
trades.append((timestamp, row['strike_price'], row['close'], "ENTRY"))
is_in_trade = True
entry_price = row['close']
tsl = entry_price - stop_loss_points if trailing_sl else None
elif is_in_trade:
if row['close'] > entry_price + stop_loss_points: # Stop Loss Exit
trades.append((timestamp, row['strike_price'], row['close'], "EXIT"))
is_in_trade = False
elif trailing_sl and row['close'] < tsl: # Trailing SL Exit
trades.append((timestamp, row['strike_price'], row['close'], "EXIT"))
is_in_trade = False
else: # Update TSL
tsl = max(tsl, row['close'] - stop_loss_points)
return trades

indicator_threshold = selected_straddles['close'].mean() # Dynamic threshold


trades = simulate_entry_exit(selected_straddles, indicator_threshold)

# Step 4: Create Trades DataFrame


trades_df = pd.DataFrame(trades, columns=['Timestamp', 'Strike Price', 'Price', 'Action'])

# Step 5: Calculate PnL


trades_df['PnL'] = 0
for i in range(1, len(trades_df)):
if trades_df.iloc[i]['Action'] == 'EXIT' and trades_df.iloc[i - 1]['Action'] == 'ENTRY':
trades_df.loc[i, 'PnL'] = trades_df.iloc[i - 1]['Price'] - trades_df.iloc[i]['Price']

trades_df['CumulativePnL'] = trades_df['PnL'].cumsum()

# Step 6: Save Results


data.to_csv(processed_data_path)
trades_df.to_csv(trade_results_path)

# Step 7: Plot Results


plt.figure(figsize=(12, 6))
for strike in selected_straddles['strike_price'].unique():
strike_data = selected_straddles[selected_straddles['strike_price'] == strike]
plt.plot(strike_data.index, strike_data['close'], label=f"Strike {strike}")

entry_trades = trades_df[trades_df['Action'] == 'ENTRY']


exit_trades = trades_df[trades_df['Action'] == 'EXIT']

plt.scatter(entry_trades['Timestamp'], entry_trades['Price'], color='green', label='Entry Trades',


marker='^')
plt.scatter(exit_trades['Timestamp'], exit_trades['Price'], color='red', label='Exit Trades',
marker='v')

plt.title("Straddle Prices with Entry and Exit Points")


plt.xlabel("Time")
plt.ylabel("Price")
plt.legend()
plt.grid()
plt.show()

# Step 8: Display Backtesting Results


print("Backtesting Results:")
print(trades_df[['Timestamp', 'Strike Price', 'Price', 'Action', 'PnL', 'CumulativePnL']])

trades_df[['Timestamp', 'Strike Price', 'Price', 'Action', 'PnL',


'CumulativePnL']].to_csv(backtesting_results_path, index=False)
print(f"Backtesting results saved to {backtesting_results_path}")
Output (Data used:
https://drive.google.com/file/d/1kBESJUpcWVVl4bP5qBNj3G
xSPBRa9GqP/view?usp=drive_link)

1. Straddle Plot

2. Processed straddle data csv file:


https://drive.google.com/file/d/1k1zAAhYYXZVJVmjtXUa
5zaOIuGKiUc3v/view?usp=drive_link
3. Trade Result csv:
https://drive.google.com/file/d/1GXSnFQleJNS5DXMFnC
NxKumqalrlfxrU/view?usp=drive_link
4. Backtesting Result csv:
https://drive.google.com/file/d/1IXsx4gmGXAgMQUqUK
7XCLHTgZycVzskW/view?usp=sharing

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