Instrument: Sell Bank Nifty OTM1 CE/PE i.e. ATM + 100 CE and ATM - 100 PE based on spot
Entry Day : Only on Expiry days
Entry Time: 1050
Stop Loss - Both legs need to be squared off if underlying moves by 120 point in any direction
Re-entry - 5 times. Re-entry means a new OTM1 strangle will be opened when both legs are squared off for previous strangle because of underlying movement by 120 points. Re-entry should happen only before 3:00 PM as after 3 PM not much premiums are left for OTM1 options and if a big move comes it can give more losses than the premium received
Exit - Exit at 1515
MTM SL: 2000 1200 (New MTM SL after BN lot size change is 1200)
Capital Needed: 1,80,000 1,05,000 (Change in capital because of BN Lot size change)
Slippage considered: 0.5%
Strategy setup in Quantiply
Back testing (Updated as on 31-Oct-24)
Actuals
(Started trading from 29-Sep-22)
Week wise PnL per lot for trades in Oct 2024
Reason for days with high slippage:
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
Jul 2023
Jun 2023
May 2023
Reason for days with high slippage:
11-May-23: Didn't take a re-entry after 2:30 PM in actual trade.
Apr 2023
Mar 2023
Feb 2023
Jan 2023
05-Jan-23, 19-Jan-23: As the condition check is at 1 minute interval the MTM SL was not hit in actual trade and strategy ended in profit
25-Jan-23: High slippage because of spikes at exit when MTM SL was hit
Dec 2022
Nov 2022
Reason for days with high slippage:
3-Nov-22: In actual trade there were no re-entries whereas in back testing there 4 re-entries. This happened because in Tradetron the condition check is at 1 minute instead of checking continuously
Oct 2022
Sep 2022
Reason for days with high slippage:
29-Sep-22: Because of logical setup issue, only 2 re-entries were taken in actual trade as against 5 in back testing
Note: I am not SEBI registered advisor and strategies provided here are for learning purpose only
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