Nifty Intraday Straddle 0919-1455 SL 50% ATC

Entry Time: 0919

Instrument: Sell 1 Lot ATM CE and 1 Lot ATM PE based on spot price at 0919

Stop-Loss: SL 50% on each leg, adjust SL to cost for remaining leg when the SL of a leg is hit.

Overall strategy Stop-Loss: 1000 on lot size of 25

Exit Time: 1455

Slippage: 0.5%

Capital Needed: 125k to 130k per CE + PE lot. Returns mentioned in back testing and actuals are based on 130k margin

Note (11-Sep-22): Current Drawdown in back testing has gone beyond historical max draw down however in actual trades it is still below max drawdown because of using supertrend based exit in actual trades.

Note (17-Oct-22): Strategy has recovered from max drawdown and hence re-started it without supertrend exit. 

Note (25-Feb-23): Not running this strategy on Thursdays and hence actual is considered as 0 for Thursday while comparing with back test results

Note (25-Sep-24): This strategy was stopped in 2023 as it was giving losses but it recovered well in 2024

Back testing and actual trades report 

( Updated as of 25 Sep 24 end of day
Assuming lot size of 25 across all years)

Back testing results

Actual Trades based profit/loss

(Stopped trading this strategy from 21-Sep-22

Re-started trading on this strategy from 17-Oct-22

Stopped trading from 13-Apr-23)

Above profit doesn't include brokerage and other charges

Daily trades for Apr 2023 (BT- Back testing, ACT - Actual)

Reason for days with high difference b/w actual and back testing (Positive/Negative):

Historical Trades

Mar 2023

Reason for days with high difference b/w actual and back testing (Positive/Negative):

2-Mar-23, 9-Mar-23, 16-Mar-23, 23-Mar-23, 29-Mar-23: Not trading this strategy on Nifty expiry day (Thursdays)

Feb 2023

Reason for days with high difference b/w actual and back testing (Positive/Negative):

1-Feb-23: Strategy was combined with other strategy and the MTM SL of 1900 didn't get applied. Strategy is now separated from other strategy

2-Feb-23: In real trade MTM SL of 1900 was hit but in BT it wasn't hit

6-Feb-23: In BT PE leg hit SL whereas in real trade no SL was hit

15-Feb-23: Because of issue with Tradetron platform, SL didn't work

Jan 2023

Dec 2022

Reason for days with high difference b/w actual and back testing (Positive/Negative):

7-Dec-22        In real trade, CE leg hit the SL, whereas back testing was not able to capture this SL hit

13-Dec-22    In real trade, PE leg hit the SL at 09:37 and then CE leg hit the SL at 09:46 because of adjust to cost. In back testing CE leg hit the SL at 13:08 and PE leg didn't hit the SL

19-Dec-22    Slippage of 10 points in CE leg entry

30-Dec-22    Tried Trailing stop loss in Tradetron which didn't work as intended and squared off both legs early

Nov 2022 

Oct 2022

21-Oct-22: In actual trade PE leg didn't SL because of higher entry price as compared to back testing. Sometimes 2-3 points difference in entry can make a difference in deciding whether the leg's SL gets hit or not in cases where price reach a peak and then reverts back from the peak

Sep 2022

Reason for days with high slippage (Positive/Negative):

01-Sep-22: Exited based on super trend

09-Sep-22: Exited from trade early because of Tradetron issue

16-Sep-22: Trades were entered late because of logical issue in Tradetron setup

Note (21-Aug-22): I used to run this strategy for 20 lots (CE + PE pair) in the April month but brought it quantity down to only 2 lots because of drawdown in Apr month. Now I am planning to scale it up to 4 lots. 

Note (27-Aug-22)  Modified SL with a supertrend based exit and reduced MTM SL of 1900

Aug 2022

11-Aug: There was a spike in PE option thereby causing high slippage when SL was hit for it
23-Aug: Exited based on supertrend

25-Aug: In back testing CE leg hit the SL whereas in actual trade it was not hit

Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only