Entry time: 0918
Instrument: Sell Bank Nifty weekly CE and PE option which is trading at a price greater than or equal to 20 at 0918
Please note both CE and PE should be sold e.g. if BN 37200 CE is trading at 21 and BN 33100 PE is trading at 20, I will sell BN 37200 CE (Weekly) and BN 33100 PE (Weekly)
Stop-Loss: 50% on both CE/PE Legs
Exit: 1515
Slippage: 0.5%
Capital: 72,000
MTM SL: You can put a strategy level SL to take exit at loss of 2000 per lot. Generally this stop loss would not be hit but this is to take care of freak trades if any taken by algo platform as happened with me on 17th Jun 22 where instead of selling a BN CE option near to 20, Tradetron sold BN CE option at 1867 which increased to 2107 in few minutes thereby causing a huge loss for such kind of low return strategy.
Note: As this strategy is low return one it need to be traded in more than 1 lot (CE+PE) and using zero brokerage accounts such as Finvasia
Note (19-Jan-22): Have re-started trading this strategy from this week for non-expiry days to utilize the excess trading capital/margin as I trade with only 40% capital during non expiry days. Also a variation is done where 1 lot will be entered as usual and second lot will enter when SL hits on either side for first lot.
Note (19-Jun-23): Started trading this strategy again on non-expiry days to utilize trading capital
Below is YT video explaining the strategy
Back testing and Actual trading results of BN CE-PE >= 20 PT Strategy
(Updated as of 2-Feb-24)
Bro 20 20 time konsa hai and how many time in a day we can repeat that
ReplyDeleteEntry time is 0919 and it is one entry only. No re-entry
DeleteOk
ReplyDeleteAt times significant differences between backtesting and actual. I think the default.0.5 slippage is not good. It should be 1%. I have seen some strategies goes into loss if slippage is considered 1%
ReplyDeleteFor the strategies which is selling OTM option and entry is based on time, 0.5% slippage is fine. However for momentum buy strategies where entry is taken based on momentum in the option, 0.5% slippage might not be enough. There we might try with 1% slippage
DeleteHi. First of all, thanks for publishing such great material here & on ur twitter tl. Kudos👍🏻
ReplyDeleteI came across same strategy in a f2f video of Dr. Gaurav Patel. He uses almost same setup but, with 150% SL.
Ie. for Rs. 20 value of a leg, the SL would be Rs. 50. Then he timely updates SL value during the day. In case of one side of SL hitting, he brought other SL to cost.
Pls do publish the backtest result fot the strategy, if possible.
Thanks again.
I have tested this with SL as 100% and 150%. Returns are more in 50% version only
Deletearun bhai ...i m really liking the stuffs that u posting in the posts....hope i can follow all the strategies with full discipline...
DeleteMany thanks for your quick reply. You are doing great service to many retailers like me, May God bless you.
DeleteArun, in this strategy if one leg SL is hit you will bring other leg cost to cost or let it run with 50% SL ? please reply... thanks
ReplyDeleteOther leg will run with 50% SL. No adjust to cost in this strategy
DeleteSir can you give more briefing about 1 lot which enter on sl hit after either side sl hit on 1st ?
ReplyDeleteQuestion are what about 1 entry do we exit or stay in that when we enter in new lot when sl hit on. 1st leg
I have stopped this variation but we stay in remaining leg of first entry till its 50% SL hits
Deletehere 1 lot will be entered as usual and second lot will enter when SL hits on either side for first lot. can you share more info about it sir
ReplyDeleteYes the logic was that when SL hits on either side (CE or PE) for first entry a second entry will be taken with same logic i.e. extra CE and PE legs >= 20 will be again entered at that time. All legs will then have 50% SL individually and have to be held till it hits. I have stopped doing this variation now. I am simply doing first entry only with individual SL of 50% on both legs.
Delete