Bank Nifty 100 Pt Strangle - Re-execute 2 Times

In this post I will be talking about the bank nifty strangle with CE/PE strike selected such that premium is less than or equal to 100 at entry time. Also once the SL is hit for a leg the re-entry in that leg will be taken in the option having premium <= 100 at that point of time. This is the re-execution strategy of Stock Mock as shared in below video:

 

Instrument: Bank Nifty CE and PE weekly option which is trading less than or equal to premium of 100 point at 0919

Entry: Enter once the option price drops by 2 point (Wait & Trade of 2 points down) 

Stop Loss - 25% on each leg, MTM SL of -2000 per lot

Target Profit - 75%

Re-execution: Re-execute the same premium (not strike) leg once SL is hit and the price drops by 2 point for this option. This is similar to applying wait and trade to re-execute option in Stockmock. Re-execute should happen 2 times. 

E.g. say at 0919, 34200 CE is trading near to and less than 100 say at 98 and 32800 PE is trading near to and less than say at 99. Now 34200 CE will be entered once it price reaches 96 and 32800 PE once it price reaches 97. After this say 34200 CE hits a SL. Now at this time again a CE option strike will be chosen which has premium less than but near to 100 say it is 34000 CE at 97. Now it will be entered once it price drops to 95. Now again if this CE hits SL, at that time CE option near to but less than 100 will be chosen say 33800 CE at 96 and once it price drops to 94, entry will be taken into it. Now again if this CE SL hits, no entry will be taken again as already 2 re-entries are over for CE leg. Same will be applicable for PE leg. 

Exit - Exit at 1500

Capital Needed: 1,50,000 

Slippage considered: 0.5%

Note (26-Nov-2022) Few traders who trade this strategy have reached out to me saying that their PnL doesn't match with my PnL on few days. As this strategy has 2 re-entries and SL is close (25%) so there can be variation in actuals for different traders running the same strategy. One trader might hit a SL because of lower entry price whereas other can end in profit because of higher entry price and avoiding SL hit because of that. 

Note (18-Dec-22) Stopped trading this strategy from 12-Dec-22 and started trading the same variation with TSL of 10% by 5% performance of which is updated in a different blog post

Setup for same in Quantiply (without TSL)

Below set up is to trade with 1 lot

Note (11-Dec-22): As Algo test results are more closer to actuals as compared to Stock Mock for this strategy providing the back testing results for this strategy from Algo test

Back testing (Updated as on 3-Mar-23)

Actuals ( 20-Jun-22 onwards)

(Stopped trading from 12-Dec-22)

Day wise trades for Dec 2022

Reason for days with high slippage:

Historical Trades

Nov 22

Reason for days with high slippage:

25-Nov-22: 2nd re-entry for PE leg hit SL in back testing whereas in real it ended in profit. Also back test shows only 1 entry for CE leg though there were 3 entries for CE leg in actual trade where first 2 ended in SL and 3rd one ended in profit

Oct 22

Reason for days with high slippage:

03-Oct to 7-Oct : No trades taken

19-Oct-22: In actual trade both CE/PE leg SL were hit 1 time more than that in back testing

27-Oct-22: Strategy was squared off and then re-entered because of margin error in IIFL account

Sep 22

Reason for days with high slippage:

16-Sep-22: This day there were 3 trades taken on PE side. In last trade PE selected in actual trade higher PE strike was taken as compared to the one in back testing which hit SL. In back testing the last trade didn't hit SL. 

23-Sep-22: No trade taken on Friday

Aug 22

03-Aug-22 Trade went into error because of margin exceeding available capital and has to be re-started with reduced lots

18-Aug-22 In back testing MTM loss of 2000 was hit whereas in real trades it was not hit and it ended in profit

Note: I am not SEBI registered advisor and strategies provided here are for learning purpose only