Bank Nifty 100 Point Strangle - Re-execute 2 time W&T 2 Points - TSL 10% by 5%

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

This strategy builds on the strategy as described in my other blog post Bank Nifty 100 Point Strangle - REX 2 No TSL

The only difference being that in this variation we have a trailing stop of 10% by 5% at leg level i.e. we shift the SL up by 5% on every 10% increase in profit in that particular leg

 Below Quantiply set up is to trade with 1 lot

Back testing

Updated as of 5-Apr-24

Actuals ( Started trading from 1-Sep-22)

Day wise trades for Mar 2024

Reason for high difference b/w back testing and actual

Historical Trades

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

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

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

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