Nifty XD ATM 1235-1520 SL 30 PT ATC

This is strategy as explained by Chetan Sir in this video

Entry: At 1235

Instrument: Sell ATM CE and PE 

Stop-Loss: 30 points at leg level and adjust to cost for one leg if other leg's SL is hit

Exit: 1520

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

Note(5-Aug-23): I have stopped trading this strategy after 13-Jul-23 as returns for 2023 are not that good

Note (3-Nov-23): Re-started trading this strategy from 2-Nov-23 as it gave good returns in Oct month

Back testing results 

(Updated as of 31-Oct-24)

Actual Results

(Started trading from 18-Aug-22

Stopped trading from 13-Apr-23

Started trading from 4-May-23

Stopped trading from 13-Jul-23 

Started trading from 3-Nov-23)

Week wise trade details for Oct 2024

Reason for high difference between actual trade result and back testing

                                                                    Historical Trades

Sep 24

Reason for high difference between actual trade result and back testing

26-Sep-24: Slippage at SL hit

Aug 24

Reason for high difference between actual trade result and back testing

29-Aug-24: Slippage of 40 points in PE SL hit

Jul 24

Jun 24

May 24

Apr 24

Reason for high difference between actual trade result and back testing

18-Apr-24: High spike in option prices because of 1% drop in Nifty index caused SL limit orders to skip on broker side. Market order got executed at very high slippage
25-Apr-24: High spike in CE option price without any drop in PE price caused CE SL to skip as well as hit the PE SL once CE SL was hit as strategy is adjust to cost. In Back test, PE leg didn't hit SL

Mar 24

Feb 24

Reason for high difference between actual trade result and back testing

1-Feb-24: Squared off trades before exit time on budget day
8-Feb-24: Stop-loss in algo was changed to 100% instead of 30 Pt for previous week which was not reverted back

                                                                              Jan 24

Dec 23

                                                                        Nov 23

Jul 23

Jun 23

May 23

Apr 23

Mar 23

Feb 23

Jan 23

Dec 22

Reason for high difference between actual trade result and back testing

8-Dec-22: 1. Entry happened at 12:37 instead of 12:35 because of margin issue which caused the entry to happen at different strike as compared to back testing and in actual trade the CE hit the SL whereas in back testing it didn't hit the SL.

Nov 22

Oct 22

Sep'22

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