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Nifty ATM 1130-1520 Expiry Day Strategy

This strategy is to be taken on weekly expiry day and is based on observation that in most of the expiry days if a trend has to be established it will be established in first 2 hours of trading day

Entry: At 1130

Instrument: Sell ATM CE and PE  based on Nifty SPOT e.g. if Nifty SPOT is at 15350 then 15350 CE and 15350 PE needs to be sold

Stop-Loss: 75% at leg level. Once SL is hit for one leg then other's leg SL need to be adjusted to cost

MTM SL: Exit the strategy if the MTM loss for a day becomes more than or equal to 1000 per lot

Exit: 1520

Capital Needed: Around 1,25,000 to 1,30,000 to trade 1 lot of ITM1 CE and PE. Returns are calculated based on a capital of 1,30,000

Note: MTM SL was revised from 2,000 to 1,000 once the lot size for Nifty was halved from 50 to 25


Back testing results 

(Updated by end of day 21-Jun-24)





Actual Results
(Started trading from 20-Jul-23)





Week wise trade details May 2024




Reason for high difference b/w actual results and back testing

23-May-24: In actual trade MTM SL of 1000 was hit whereas it didn't hit in Back tested result


Historical Trades

Apr 2024




Reason for high difference b/w actual results and back testing

18-Apr-24: Because of 1% drop in Nifty index in 5 min candle, PE leg skipped the SL and market order got executed at very high slippage. 
25-Apr-24: MTM SL of 2000 was not placed in Algo and hence it didn't hit MTM SL in actual trade as compared to back test when there was a spike in CE option 


Mar 2024


Feb 2024



Reason for high difference b/w actual results and back testing

1-Feb-24: Squared off the trade earlier because of budget day 

Jan 2024


Dec 2023


Reason for high difference b/w actual results and back testing

28-Dec-23: In actual trade CE leg hit SL whereas in BT it didn't hit the SL

Nov 2023



                                                                        
Oct 2023


                                                                    Sep 2023




Note: I am not SEBI registered advisor and this strategy is for learning purpose only. 


Comments

  1. AnonymousJune 19, 2022 at 9:29 AM

    What would be the cost of execution of this strategy? Brokerage+taxes + tradetron cost?

    ReplyDelete
  2. AnonymousJune 19, 2022 at 11:35 PM

    why do u need tradetron ...simply do it manually....

    ReplyDelete
    Replies
    1. Arun BhattJune 19, 2022 at 11:58 PM

      For me as I run 8-10 strategies and have a day job, I need a algo platform to run them. In case someone is just executing 2 to 3 strategies and has some spare time near to market open they can execute these manually also as stop loss can be set as soon as sell is done on broker side. One thing I have observed is that if execution is manually done obeying SL becomes difficult some times. I do Nifty monthly PUT strategy manually and from past two months I am not able to obey 100 point SL which I have put in for that. For the strategies which are running in algo system I do not touch them.

      Delete
  3. vishnuJune 20, 2022 at 1:22 PM

    Faced huge slippage in ITM options in March due to volatality with 10 lots on expiry.. So stopped selling ITM.. Any OTM strategy you have for expiry?

    ReplyDelete
    Replies
    1. Arun BhattJune 20, 2022 at 9:58 PM

      Same strategy can be executed with ATM/OTM options also. It will increase expectancy but reduce returns.

      Delete
  4. AnonymousJune 23, 2022 at 10:45 AM

    Its not there how many days 1 stoploss hit 0 stoploss hit and 2 stoploss hit

    ReplyDelete
    Replies
    1. Arun BhattJune 25, 2022 at 2:27 PM

      I am currently not able to implement the logic in my excel to find the days like that. Will see if I can put some excel logic to find this

      Delete
  5. AnonymousJune 25, 2022 at 1:43 PM

    Kuch bhi

    ReplyDelete
  6. AnonymousJuly 10, 2022 at 7:37 PM

    Sir could you please backtest of 16th June 2022 expiry and 23rd June 2022 expiry with proper adjustments 🙏

    ReplyDelete
  7. AnonymousSeptember 23, 2022 at 12:44 AM

    thank you for sharing your strategy. very helpful for learning

    ReplyDelete

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