BN CE-PE ~ 200 PT SL 40 PT ATC

This is a variation to BN Straddle SL 40 PT ATC strategy shared earlier. Here we are selling CE-PE legs having premium closer to 200 points so it will be a strangle on days far from weekly expiry and inverted strangle on days near to weekly expiry

Entry time: 0930

Instrument: Sell Bank Nifty weekly CE and PE leg having premium closest to 200 points

E.g. in below option chain we will select 39300 CE which is at 185.5 (14.5 points away from 200 points) and 38000 PE which is at 200.5 (0.5 points away from 200)

Stop-Loss: 40 points on both legs and adjust the SL to cost for a leg if other leg's SL is hit

Target: 95% on both legs

Trailing Stop Loss : 5% by 3% on both legs (Added this from 10-Apr-23 onwards)

Exit Time: 3 PM

Slippage: 0.5%

Note (9-Apr-23): A target of 95% and TSL of 5% by 3% on both legs is introduced to handle the reversals in market in optimal way

Note (26-Jul-23)  Back testing and actual PnL is adjusted assuming Bank Nifty lot size as 15 for all the years

Note (17-Dec-23) Stopped trading this strategy from 1-Dec-23

Back testing

(Updated as of 28-Mar-24)

Actual trade based profit/loss

(Started trading from 16-Aug-22

Stopped trading from 5-Sep-22

Started trading from 19-Sep-22

Stopped trading from 1-Dec-23)

Note (9-Apr-23): As TSL of 5% by 3% is introduced from 10-Apr-23 onwards so actuals before that date might not match the back testing data for same

Profit/Loss for Nov 2023

Reason for high difference b/w actual and back testing

Historical Trades

Oct 2023

Sep 2023

Reason for high difference b/w actual and back testing

26-Sep-23: No trade because of Quantiply issue

Aug 2023

Jul 2023

Jun 2023

May 2023

Apr 2023

Reason for high difference b/w actual and back testing

11-Apr-23: In BT PE leg had hit SL after CE leg exited earlier however in actual trade PE leg didn't hit SL

27-Apr-23: High slippage at SL exit

Mar 2023

Reason for high difference b/w actual and back testing

3-Mar-23, 10-Mar-23: Didn't trade this strategy

Feb 2023

Jan 2023

Reason for high difference b/w actual and back testing

17-Jan-23: In real trade 42400 CE strike was picked against 42500 CE strike in BT which hit SL though in BT CE didn't hit the SL

25-Jan-23: 16 point slippage when PE hit stop loss

Dec 2022

Nov 22

Reason for high difference b/w actual and back testing

15-Nov-22 : In actual trade the CE leg entry premium was 3 point more than that in back testing and because of this CE leg hit SL at 14:25 as compared to the time of 10:15 when it hit the SL in back testing. As SL is adjusted to cost 

Oct 22

Reason for high slippage b/w actual and back testing

03-Oct: In BT CE leg didn't hit the SL as it BT entry price was higher than actual trade price. In actual trade the SL for CE leg got hit earlier and then strategy exited at loss as PE leg's SL was shifted to cost

Sep 22

Aug 22

Reason for high slippage b/w actual and back testing

17-Aug: In back testing the PE leg hit SL as soon as it entered the position but in actual trade it was not hit

18-Aug: Difference because of slippage

This strategy is named as BN ATM CE-PE EQ 200 SL 40 PT ATC in my tradetron PnL screenshots shared on twitter. 

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