Entry 0919
Exit 1500
Instrument Sell Bank Nifty CE/PE with premium <= 100 at 0919 based on Bank Nifty spot
SL 25% Re-execute 2 times
TSL 10% by 5% on both legs
MTM SL 900 per lot
Capital 1,25,000 per lot
Below Quantiply set up is to trade with 1 lot
Back testing
Updated as of 31-Oct-2024
Actuals ( Started trading from 1-Sep-22)
Day wise trades for Oct 2024
Reason for high difference b/w back testing and actual
Historical Trades
Sep 2024
Aug 2024
Jul 2024
Jun 2024
May 2024
Apr 2024
Mar 2024
Feb 2024
Jan 2024
Dec 2023
Nov 2023
Oct 2023
Sep 2023
Aug 2023
Reason for high difference b/w back testing and actual
1-Aug-23 PE leg took first re-entry immediately after exiting from first entry (10:34) whereas in back testing it took re-entry around 2 PM after exiting from first entry
4-Aug-23 In actual trade CE leg first re-entry happened immediately after exit from first entry but in BT it happened at 1:32 which caused strategy level SL to hit in actual trade
17-Aug-23 In actual trade CE leg second re-entry ended in loss whereas in BT it ended in good profit because of not hitting trailing stop loss
25-Aug-23 In actual trades PE hit max SL in first and second re-entry (25% SL) however in back test only one re-entry happened and that too late in the day which ended in profit
25-Aug-23 In actual trades PE hit max SL in first and second re-entry (25% SL) however in back test only one re-entry happened and that too late in the day which ended in profit
Jul 2023
Reason for high difference b/w back testing and actual
3-Jul-23 Delay in initiating the trade because of Finvasia issue
5-Jul-23 MTM SL was hit in actual trade but not in back testing
Jun 2023
Reason for high difference b/w back testing and actual
1-Jun-23: In real trade last CE re-entry hit SL at 0% whereas in BT it hit the target
7-Jun-23: 27 point slippage in first PE SL hit
8-Jun-23: In back testing CE leg had 2 re-entries and all the 3 entries had hit SL whereas in actual only 1 re-entry happened for CE leg and it hit target
15-Jun-23 Re-entry didn't happen in actual trades because of logical setup issue
16-Jun-23 In back testing CE leg had 2 re-entries and all 3 entries in CE leg hit SL whereas in actual trade 2nd re-entry didn't take place
22-Jun-23 In back testing 2nd re-entry for CE leg hit the target whereas in actuals it hit TSL
27-Jun-23 Actual trades were initiated later than 0919
27-Jun-23 Actual trades were initiated later than 0919
May 2023
Reason for high difference b/w back testing and actual
22-May-23: Back Testing didn't catch the spike which caused SL in PE in first re-entry
24-May-23: Trade got closed earlier because of margin error
Apr 2023
Mar 2023
Feb 2023
Reason for difference between back testing and actual trades
23-Feb-23 - Was trading the strategy with MTM SL of 1000 on this day. BT is with MTM SL of 2000
27-Feb-23 Was trading the strategy with MTM SL of 1000 on this day. BT is with MTM SL of 2000
28-Feb-23 Delayed entry because of Finvasia broker issue
Jan 2022
Dec 2022
Nov 2022
Reason for high difference b/w back testing and actual
17-Nov: In real trade 3rd re-entry of CE leg gave good profit as it hit the target whereas in back testing 3 re-entry of CE leg gave minor loss.
Oct 2022
Reason for high difference b/w back testing and actual
27-Oct-22: Strategy had to be squared off and re-entered because of margin error in IIFL account
Day wise trades for Sep 2022
Thanks. Is there any reason to trade both..?
ReplyDeleteNo reason. Just wanted to check which one is better on a monthly basis. Now moving entirely to one with TSL of 10% by 5%
DeleteHi Arun. I see in your daily PnL you are using the one without trailing also. Have you had multiple days where it performed better than the trailing SL one?
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ReplyDeleteHi arun! I guess in this strategy there will be lot of transaction cost? Am i right? As 25% sl will hit many times. Right?
ReplyDeleteOverall cost involves brokerage plus other government charges where major charges are SEBI transaction charges, GST and STT. Now transaction charges and STT are calculated based on turnover i.e. entry/exit trade prices and GST is on brokerage + transaction charges. Here brokerage will be more because there are re-entries and hence GST will be more. However if brokerage is taken out by doing it in zero brokerage, then major cost will be transaction charges, GST on transaction and STT charges. Though these will be higher than single entry one for 100 point but they will be similar to single entry ATM straddle charges as 100 point on average is 1/3rd of ATM price on a given day.
DeleteOkay and why havent you used 150 pts or 200 pts strangle in this strategy? Any specific reason ?
ReplyDelete100 point was giving less draw down in back testing and hence I selected it
Deletewhich platform is used for this backtest? top 3 images are of which platform? pl share
Deleteon which platform this backtest is done? ref- the top3 images are of which platform?
ReplyDeleteThis back test for this strategy is from Algo test platform. Top 3 images are of quantiply which is used to execute this strategy
DeleteNice work, thank you. I noticed that MTM stoploss is configured is for 2k, but max stoploss is 7.5k. could you pls give some clarity on this?
ReplyDeleteHave switched back testing results from Stock Mock to Algo test. Now the max loss is 2.6k instead of 7.5k. Sometimes losses can be more than MTM SL because of slippage at time of SL hit
DeleteI see the Re-Execute option is giving better results when tested in Stockmock. This option is not present in AlgoTest. Could you please check and confirm ??
ReplyDeleteIn Algo test also this strategy can be tested. Re-entry on SL with RE MOMENTUM option needs to be selected with 2 re-entries
DeleteDo you have any trade Tron link for this strategy
ReplyDeleteNo it is not possible to set it up in tradetron
DeleteHi Arun, Whether you have change the TSL to 1% by 1% as mentioned in strategy table.
ReplyDeleteFor this strategy TSL is 10% by 5% only. Will correct the details in back testing excel
DeleteIs the re execution on both target and sl or re execute only on sl
ReplyDeleteRe-execution is on SL only
Deleteis the one leg sl hit then immediately entry in one leg or after both leg sl hit then re excute strategy?
ReplyDeleteYes if one leg SL hit and the price again goes down by 2 points then re-execute that leg. Both legs SL and re-entry is independent of each other
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