Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only
This was the second strategy in my Algo trading journey and was very famous during 2020 and 2021 known as Nifty 0920 Straddle. As I moved into Bank Nifty strategies in later years, I discontinued trading this in 2023 as at that time Bank Nifty strategies were going good and this strategy performance had dipped. Once Bank Nifty weekly expiry was stopped, my focus shifted to expiry day trading only so this strategy was never re-started. Keeping this in blog as this seems to be relevant in current environment also. Only drawback of this strategy is its higher drawdown so running it on daily basis needs nerves of steel.
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: 1900
Exit Time: 1455
Slippage: 0.5%
Capital Needed: 3.03 Lakhs
Back testing and actual trades report
Updated as of 28 Feb 2026
Adjusted for Nifty lot size of 65
Back testing results
12may2022 any reason actual is positive but bt is negative.
ReplyDeleteIt is because in real trade the entry price of CE (0930 entry) was higher than what was in back testing. Because of this though in back testing CE hit a stop loss, in actual trading it didn't hit the stop loss. After hitting the SL market reversed so in BT the other side SL also got hit but in real trade as CE SL was not hit it was in profit because of reversal. Few days it can be opposite also where by few points SL will be hit in actual trade whereas in BT it will not hit SL.
DeleteIn this strategy the MTM lossfor 9.19 is rs 2000 and for 1.30 pm MTM sl is 1000 right?
ReplyDeleteYes
DeleteAre there multiple entries in this strategy??
DeleteNo it is a single entry strategy
DeleteSir How come max loss is 16k, if SL of strategy1 is 2000 and strategy 2 is 1000. Max loss i guess should not be greater then 3000 right?
ReplyDeleteGood catch. It is 3000 only. While copy pasting formula was not applied properly and hence it was showing 16 k max loss. Will update the details based on this during the weekend
DeleteYeah. Maybe you can again re check the Max DD and the max loss as well.
DeleteThanks
Updated the details as of today. Max loss has reduced to 3k. Max DD is around the same but on different date. However days to recover MDD has reduced from 12 to 6 now
DeleteSo i Guess its good that MDD recovery has reduced from 12 to 6. ?
ReplyDeleteTrue
DeleteWhat kind of market this strategy mostly works in, in a trending direction market or in a range bound market?
ReplyDeleteGenerally the straddle with pre-defined SL works in directional as well as range bound market both. However it will not work well in V, M, W shared markets. As SL is at 50% it can handle V, M variation better as compared to the ones having lower SL. In same way if market is directional, this will give less profit than the ones with lesser SL.
DeleteBut i think if the market is direction then MTM of rs 2000 per lot will hit nearly always right? But the probability might be high is favour of the strategy to work bcos you dont expect market to be direction always right? Is this a right thinking?
DeleteNot always. If the trend is too steep and quick with increase in IV (downward trend) such as on last Friday (1-Jun) then there is more chance of this hitting MTM loss. However if the trend is gradual or with decrease in IV (upward trend) MTM SL might hold good.
DeleteHi arun
ReplyDeleteCan you pls tell how to use the modified SL on quantiply? Maybe u can help us through the screen shot
Thanks
In quantiply you will see a box before Move SL to Cost text. Just select that check box to modify SL to cost when other leg's SL is hit
DeleteAnd supratrend(10,1) base exit , this setting available in quantiply?
ReplyDeleteNo this is not available in quantiply. I run this strategy in Tradetron
DeleteSir duplicate link please..
ReplyDeleteHI Arun. In Tradetron settings, I have been using Execute at Market Price. Recently have faced huge slippages in BNF options. What in your experience has been the best (LTP or Market Price execution) in terms of slippages?
ReplyDeleteI have started using LTP with retry settings to 5 ticks for 10 times and wait time 3 seconds for each modification
Delete