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Bank Nifty Expiry Day - OTM1 Strangle loopy loop

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 10-May-24)




Actuals 
(Started trading from 29-Sep-22)






Week wise PnL per lot for trades in May 2024




Reason for days with high slippage:


Historical Trades

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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