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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