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 4-Apr-24)
Reason for high difference between actual trade result and back testing
Historical Trades
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
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.
Is there any MTM stoploss here?
ReplyDeleteNo MTM loss. But as SL at leg level is 30 point with Adjust to cost, max loss will be 1500 per lot for this
DeleteIs this, Nifty strategy... If nifty I tried backtest but results are quite different
ReplyDeleteThe above data is incorrect. Backtested data not matching Big difference
DeleteBack testing results as shown in blog post are from Stock Mock and are matching with actuals for most of the months except Dec 22. Which platform you are using to back test this?
DeleteHi bro result are different in alogtest can you share strategy settings
Delete