Instrument: Sell Bank Nifty ATM CE/PE based on Bank Nifty Spot price
Entry Day : Only on Bank Nifty Expiry day
Entry Time: 1050
Stop Loss - 25% on each leg
MTM SL - 1000 per lot
Re-entry - 2 times at cost i.e. when a leg hits SL, it needs to be entered again if its price goes below entry price at 1 minute candle open
Exit - Exit at 1515
Capital Needed: 1,05,000
Slippage considered: 0.5%
Note (17-Dec-23). MTM SL of 500 was getting hit easily and hence it is revised to 1000 from Dec 23 onwards
Back testing
(Updated as on 5-Apr-24)
where to set re entry at cost in stock mock
ReplyDeleteAny specific reason for high slippage compared to BT in this strategy ??
ReplyDeleteEvery entry/exit has chances of slippage. As this strategy is re-entry based so it has more slippages as compared to the non re-entry ones
Deletehow many lots ur trading per strategy / minimum we need to trade to cover the expenses?
ReplyDeleteAll depends on the broker being used. If free brokerage then 1 lot will be enough but if 20 per order then it will depend on annual returns provided by that strategy. The lots which I trade are available in my back testing excel -> https://docs.google.com/spreadsheets/d/1gO_mvEYdoarTD4MuGCS8c6LsrKoa4o5A/edit?usp=share_link&ouid=113013669689645674789&rtpof=true&sd=true
Delete