Banknifty ITM1 Multi-time frame Expiry Day Strategy
Entry Time: 0925 AM, 1130 AM and 1330 PM
Instrument: Sell ATM - 100 CE and ATM + 100 PE based on bank nifty Spot e.g. if Bank Nifty spot is at 15820, nearest 100 is 15800 so Spot is 15800. In this case 15700 CE and 15900 PE needs to be sold. This is also known as ITM1 inverted strangle
Stop-Loss: 75% . In case stop loss is hit for one leg, stop loss for other leg to be adjusted to cost. Entries taken for a particular time frame can be squared off (both legs) once any leg's premium goes below 5 point during the day.
Exit: 1520 PM
Capital Needed: 185 k per CE + PE lot. As there are 3 entries taken at 0925, 1130 and 1330 so overall capital needed is 5.55 Lakhs
Slippage: 0.5%
Note (25-Feb-23): I have stopped trading 1130 and 1330 time entry after 2-Feb-23. Still trading 0925 time frame
Note (9-Apr-23): Stopped trading 0925 entry also from 29-Mar-23
Note (29-Apr-23): Stopped trading this strategy from 13-Apr-23
You tube video on how to code this strategy in Tradetron -->
Back testing Details
(Updated as on 09 Jun 2023)
Actual Profit/Loss
(Stopped trading from 13-Apr-23)
Week wise Trade details for Mar 2023
(BT - Back testing, Act - Actuals)
Reasons for difference in back testing and actual results:
Stopped trading 1130 and 1330 entry from 9-Feb-23 onwards
Historical Trades
Feb 2023
Reasons for difference in back testing and actual results:
Stopped trading 1130 and 1330 entry from 9-Feb-23 onwards
Jan 2023
Dec 2022
Reasons for difference in back testing and actual results:
Didn't trade 1330 entry
Nov 2022
Reasons for difference in back testing and actual results:
10-Nov-22: For 1130 entry the strikes were different in back testing and real trade. In back testing PE leg hit the SL whereas in actual trade it didn't hit the SL and hence ended in profit.
Oct 2022
Reasons for difference in back testing and actual results:
06-Oct-22: In back testing 0925 one had loss but in actual trade it was flat. This is because there was a spike in Bank Nifty around 12:50 which caused the SL to trigger for CE leg but by the time TT squared off the leg, the CE leg's premium had come down.
Also in actual trade 1130 trade had both legs exiting at same time because of logical issue in setup. This caused actual loss to be less than back testing loss.
Sep 2022
Reasons for difference:
01-Sep-22: In back testing 0925 one had a heavy loss but in actual trade the loss was less as the exit for a leg was taken based on super trend reversal once the other leg's SL was hit
15-Sep-22: In back testing 0925 had good profit but in actual trade it had less profit as early exit was taken based on super trend reversal. Also in real trade, 0130 one didn't execute because of logical issue which had profit in back testing
22-Sep-22: In back testing 1130 one had loss but in actual trade it ended in profit because of error in logical setup. Also 1330 one had loss in back testing but in actual trade it didn't trade because of a logical issue related to Tradetron setup.
Note: Till 4th Aug 22, I was taking stop loss based on 1 minute candle close to avoid SL getting hit because of spikes and it caused more loss on 4th Aug as market was trending in one direction. After that SL was changed on the basis LTP only but once a leg's SL was hit other leg was squared off on trend reversal based on supertrend(10,1) on 5 minute candle level. This can introduce some difference b/w back testing and actual trade results.
Note (25-Sep-22): Now supertrend based exit is for 0925 entry only as max loss can happen only in this entry as premiums for ITM1 will be highest at 0925 as compared to 1130 or 1330 unless VIX increases too much during the day.
Note (13-Oct-22): No super trend based exit now
Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only
This is bank nifty one only. Nifty one with multiple time frames which I recently shared in Twitter is not published in my blog. Will publish that also
I have my SL check at the close of candle so in case there is a spike within a minute, it will be ignored. My guess is that a spike happened which took away the SL in back testing for a leg. Now once a leg's SL is taken out then other leg SL is adjusted to cost which might have been also hit. As in real trade one leg SL was not hit other leg SL was still at 75% away from leg's entry price and was not hit. As the option expired on 30-Jun I couldn't analyze the chart during the weekend when I collated all this data so can't say for sure if this was the reason but this is the best guess.
This is nifty strategy not bn strategy rite?
ReplyDeleteThis is bank nifty one only. Nifty one with multiple time frames which I recently shared in Twitter is not published in my blog. Will publish that also
DeleteWhy there is difference in result of 9.25 leg in backtest and actual on 30 June??
ReplyDeleteI have my SL check at the close of candle so in case there is a spike within a minute, it will be ignored. My guess is that a spike happened which took away the SL in back testing for a leg. Now once a leg's SL is taken out then other leg SL is adjusted to cost which might have been also hit. As in real trade one leg SL was not hit other leg SL was still at 75% away from leg's entry price and was not hit. As the option expired on 30-Jun I couldn't analyze the chart during the weekend when I collated all this data so can't say for sure if this was the reason but this is the best guess.
Delete