Month that was - Oct 2024

Oct 2024

This month saw a topsy turvy ride with MTM moving between green and red and at the end the month closed slightly negative with net loss of 28k. 

Tried a new intraday strategy in Sensex on same lines of Bank Nifty 100 point strategy but it yielded negative returns though the backtest was positive for same for this month. 

Overall Nifty strategies gave profit in this month, Bankex and BankNifty strategies ended flat and FinNifty and Sensex strategies ended in red. 

Sensex:         Loss of 51k 

Bank Nifty:   Profit of 1k

Nifty:            Profit of 82k
Fin Nifty:      Loss of 63k
Bankex:        Profit of 2k

Strategy wise details (Top 10 and Bottom 10 strategies ) for this month:

High risk strategies being run in Algo test ended in losses this month. 

    

Aug 2024

This month was overall good month and ended at net profit of 1.8k Lakhs (1.83%). A major chunk of capital (24 lots) is deployed towards Bank Nifty 10 point strangle which keeps returns on lower side as well as draw down in check. As capital increases, the risk aversion also increases. 

Sensex expiry day strategies gave highest profit being followed by Bank Nifty and Nifty. Fin Nifty expiry day strategies ended flat and Bankex strategies ended in loss as detailed below:

Sensex             : Profit of 1,09,539
Bank Nifty       : Profit of   76,317
Nifty                : Profit of    26,051
FinNifty           : Profit of      5,681
Bankex            : Loss of      34,667

Because of continuing losses in Bankex index, Bankex expiry day loopy loop strategy is going to be stopped and 3 new strategies similar to Sensex Expiry day strategies will be introduced and monitored.

This month Bank Nifty 100 point strangle intraday strategy generated its highest monthly profit and completed 2 years of continuous deployment. Bank Nifty Expiry day loopy loop is still leading in profits for this year and will be completing 2 years of continuous deployment at the end of Sep month. This is only intraday strategy which is running currently other than Bank Nifty 10 point strangle. 

A special mention is for strategies being executed on Algo test as they returned an impressive returns of 6% this month. Have to see if can increase the capital on those specific strategies. Only draw back is that they have high SL as compared to other strategies. 

This month also completed 4 years of trading in my second stint. 

Jul 2024

Writing about July when already half of the August month is over, makes it tough to remember the highlights of the past month. 

July month started on positive note with high intraday profits of 82k and 75k seen in first two weeks of it. By first half of July, monthly returns were around 2%. However third week started with a high loss of 80k on back of skipping SL for Bankex expiry trades. Heavy losses didn't stop at this point but 4 out of last 6 trading days of this month saw heavy losses b/w 38k to 51k which was unique to this month. 

These high profits or high loss days were because of high risk high return strategies launched in Algo test which overall gave a profit for the July month. These strategies are mentioned in a separate blog post in my blog. 

This month also saw a loss of 37k because of algo issues where a buy strategy was not squared off by end of day because of confusion while handling open positions. 

July month ended flat from a high of 2%. 

Jun 2024

After challenges of spikes and illiquid options in Apr & May this month also didn't start well. Second trading day of this month was on 4th Jun on which results for the election were coming up. In first few hours, the MTM gain had reached around 1.2 Lakhs because of good decay. I never had seen this kind of MTM profit in past 2 years. Wanted to close the system at that time but then thought against it. In next 1 hour the market dropped and all the profitable strategies hit their highest SL and the day ended at loss 0f 95k. Majority of loss was because of FinNifty straddles SL 70%. On that day as premiums were very high and the both legs hit SL, the strategy had a loss of 9k per lot. This made me put a MTM SL of 1800 per lot to avoid this scenario in future.

During rest of the month the strategies worked ok. Was able to recover the loss of 4th Jun on rest of the days and ended the month with a profit of 33k (0.3% of capital). 

Fin Nifty expiry day strategies had biggest losses in this month on back of loss on 4th Jun. Bank Nifty and Bankex expiry day strategies were profitable this month. Nifty expiry day strategies were again in red this month. 

Apr & May 2024

These two months were challenging because of huge spikes in Apr and illiquid far OTM PE options in May month. 

In April month faced huge spikes in Nifty index on expiry days which caused SL to skip and gave huge slippages in SL hit. This caused the Nifty expiry day strategies to sustain heavy loss which contributed heavily to Apr month ending in red. 

Never saw such spikes in my past 3 years of intra day trading. 

When you design systems with less risk and less returns then taking stop loss within 1% of capital is essential, though these spikes caused the system to take heavy losses and it takes a lot of time to recover such losses as system is geared to take less profits every day. 

Apr month recorded the highest intraday loss of FY23-24 at 1.18 Lakhs. At the end the month ended with a net loss of 90k. 

May month ended in net profit of 2.57 Lakhs on the back of good performance from Fin Nifty and Bank Nifty strategies. Nifty strategies ended again flat this month. Because of this a new Nifty expiry day strategy was started as well as allocation to other 2 Nifty expiry day strategies was reduced. 

There was an element of luck in May month profit as because of Election results in first week of Jun, few FinNifty, Bank Nifty and Nifty 10 to 50 point PE options became illiquid in last week of May. This caused me to take trade in few PE strikes where position cannot be squared as they had hit the high circuit and then those PE strikes gained a lot of value on counting day as market fell there by generating a huge unrealized loss. However on the day after election results came out, the market recovered and all PE options ended at 0 thereby saving the month. 

Details about strategies performance for Apr & May are updated in link -> Strategy Performance Details

FY 23-24

This year marked the third successful consecutive year of system trading. Overall experimented with 46 strategies this year with few strategies running for just 1-2 weeks. This was less than around 113 strategies which I experimented with in FY 22-23. What this meant is many of old strategies carried over from FY 22-23 worked well with BN100 Pt REX2 being the significant one. 

Overall profit during the year was 9.56 Lakhs (13%) after deducting charges and brokerage. My target was 20% and actuals were less than that but not that far. This year Fin Nifty expiry day strategies also gained prominence in my trading basket along with Nifty & Bank Nifty expiry day strategies. I ran few Sensex, Bankex and Mid Cap Nifty expiry day strategies also but only Bankex expiry day strategies gave profit and that too during the last month of this year. Because of this Bankex expiry day strategies are continuing in next FY also along with Nifty, Bank Nifty & Fin Nifty expiry day strategies. 

Maximum intraday gain was 73.7k on budget day (1-Feb-24) and maximum intraday loss was 92.5k on 15-Jan-24 on back of Result day strategy (the only discretionary strategy which I run).  Win% was 60% for overall year with 245 trading days. Maximum drawdown was 2.37 Lakhs (3% of capital). Max profit days were Tuesday & Thursday respectively at 35% and 36% of overall profit. After that it was Wednesday with 22% of profit. Mondays & Fridays were least profitable days @ 2% and 5% of overall profit. What this means is that expiry days strategies overall worked better than intraday strategies. 

Maximum consecutive losing streak was for 7 days with aggregate loss standing at 1.89 Lakhs during these 7 days. Maximum consecutive winning streak was for 12 days with aggregate profit standing at 1.62 Lakhs during these 12 days.

This year I also started tracking the actual PnL vs Back testing PnL for the strategy running at that point. I started this from 1-Nov-23 so it was tracked for last 4 months on this FY. In these 4 months the profit as per back testing should have been 7.75 Lakhs but actual profit came at 5.68 Lakhs which is a difference of 2.07 Lakhs i.e. actual profit was less than back testing profit by 25%. 

In hindsight, If I would have run only Bank Nifty 100 point REX2 strategy, I would have got good returns as compared to what I actually got by mixing all strategies. But on other side, the draw down would have reached more than 6% as this strategy went beyond its max DD of 6% during the year before recovering. After being in a drawdown of 10% in previous FY(FY 22-23), I generally avoid systems with drawdown more than 4% as then it starts impacting the thought process of trading F&O at big capital. 

Though I don't follow it but few traders buy FAR OTM options while doing option selling to reduce the margin needed to execute a strategy thereby increasing the return %ge though it comes with its own draw back of increased drawdown. One example is the Fin Nifty Expiry day fly strategy in my blog finnifty expiry day iron Fly This strategy takes OTM3 hedge to reduce the margin from 130k to just 45k. It returned 80% in 2023 year but then in 2024 it had drawdown of 16% before recovering the same. However not all traders would have patience to continue it after having drawdown of 16%. Also this strategy had drawdown of 16% after giving profit of 80% but depending on when someone starts it, it could have given a draw down of 16% at starting itself. 

That is why in F&O luck plays an important in keeping a trader afloat along with the skills. 

Details about strategies performance for FY22-23 and FY 23-24 are updated in link -> Strategy Performance Details

As compared to previous financial years where the last quarter used to end in heavy drawdown this financial year ended near to all time high. 

Mar 2024

March month ended with good profit of 2.7 Lakhs, second best in this financial year after August 2023. Out of 18 trading days in this month, 14 days ended in profit and only 4 days in loss (78% win %ge). 

Nifty OTM2 strategy was re-started this month but again it didn't perform that well in this month too. In this month few Bankex expiry day strategies similar to Bank Nifty expiry day strategy was started. 

Among expiry day strategies Bank Nifty Expiry day Straddle Re-entry at Cost 2 times, Fin Nifty non-directional straddle, Nifty Expiry day 1235 Straddle and Bank Nifty Expiry day Loopy Loop worked well. 

Bank Nifty 100 point strangle with SL 25% with re-execute 2 times also performed well this month. 

Details about strategies performance are updated in link -> Strategy Performance Details

Feb 2024

This month started with a good profit on budget day. After that it was a string of minor losses, minor gains and flat days and then a good profit on last day of the month(29-Feb). 

Result day strategy again gave losses this month and had to be stopped after suffering a loss of 31k. Bank Nifty momentum buy strategy didn't work well this month and gave a loss of around 11k. Bank Nifty Range break out strategy was stopped this month at a loss of 9.5k as the system was showing less historical MDD by replacing it with momentum buy strategy.  BN100 PT SL 40 Pt was the highest loss making strategy this month giving a loss of 42k. Fin Nifty Non directional expiry day straddle also went into losses this month and was stopped and replaced with another Fin Nifty expiry day strategy. Nifty and Bank Nifty expiry day strategies worked well this month with Nifty 1130 Expiry day straddle giving a profit of around 80k. 

This month also saw stopping of non-directional Nifty OTM2 MTM SL strategy as it was continuously giving a string of losses. Sensex expiry day straddle strategy was replaced with Sensex expiry day 10 point strategy this month. 

Month ended at a profit of 91k which was around 1.13% of max margin needed to deploy the strategies.   

Detailed performance of strategies for this month is provided below:

Jan 2024

This month started with the string of losses both in Straddles/Strangles as well as result based short vol strategy. Result based strategy faced its biggest loss in per lot basis in past 3 years and have to be stopped in between. Straddles/Strangles recovered their losses towards end of the month but because of loss in result day strategy, month ended at a loss of 1,05,000 (1.3% of trading margin)

One significant achievement for last year was to use all the cash being used for trading to buy Equity/Debit Mutual funds, Government Securities, Gilt funds, Gold bond etc. and use the margin received by pledging them across all 3 brokers - Zerodha, Finvasia & IIFL.

Coming back to Jan month, biggest losing strategies for this month were Result day short volatility, Nifty OTM2 Non-directional strangle, Bank Nifty Range break out buy and Fin Nifty Expiry day strategies. Profitable strategies for this month were Bank Nifty Expiry day strategies and Nifty Expiry day 1235 straddle.

Tried few more Bank Nifty momentum buy strategies during this month but stopped them in between. 

Details about strategies performance are updated in link -> Strategy Performance Details

Sep 2023

September month started with a string of big loss days (>= 30k) and first 2 weeks were very bad. It recovered in 3rd and 4th week but average profit on green days was less than average loss on red days. Also the month ended with a big loss of around 45k on monthly expiry thereby ending the month in loss of around 61k. 

Bank Nifty 100 point strangle ended with a big loss this month, its first loss month in this financial year. BN 200 point strangle also ended with a loss after recovering from its maximum drawdown in Aug month.  Bank Nifty OTM1 Expiry day auto adjust strategy also ended in loss during this month. 

Bank Nifty range breakout, Fin Nifty Expiry day and Sensex expiry day ended in good green this month. 

Have to stop Nifty midcap select expiry day strategy this month which was started in Aug month. A new strategy Bank Nifty non directional strangle was started this month but was stopped because of losses in initial trades. 

Details about strategies performance are updated in link -> Strategy Performance Details

Aug 2023

August first week started with a string of small wins and then a loss taking out all the profit from those wins. However from second week string of wins started and August ended with the most profitable month with wins on 18 days out of 22 trading days in this month. Overall profit was 3 Lakhs 12 thousand for this month which was 4.47% of ROI on capital/margin being traded.

Trend following strategies for Bank Nifty such as Bank Nifty range breakout buy and Bank Nifty 200 point strangle worked well this month. Bank Nifty 200 point strangle came out of its DD after 204 days when considering actual trades. 

Fin Nifty expiry day strategies as well as Nifty OTM2 strangle which didn't do that well in July month worked very well this month along with evergreen result day short volatility strategy. 

Bank Nifty non directional straddle gave losses in this month with Bank Nifty expiry strategies/Bank Nifty ATM + OTM2 ending in minor profit.  

Started trading in Nifty Mid cap select and Sensex expiry day strategies which are built on lines of Nifty Expiry day strategy. Have to increase the quantity to 4 to 5 lots to see how it works at higher lots. 

A detailed performance of various strategies for Aug month is shown below:

Strategies performance for overall FY23-24 is as below:

Overall portfolio level parameters for FY 23-24 looks as below:

Jul 2023

July started in a different way as compared to earlier months in this financial year. It started with a string of losses but ended with a string of low profits. Continuous winning streak reached to 9 at the end of this month helping in achieving all time high for the overall 

portfolio after being in drawdown for 38 days. This helped in achieving highest monthly profit of 73k in this financial year (FY 23-24). This month also recorded highest intraday profit of this FY on 6-Jul (58.4k) . 

Star strategy for this month was Result day based short volatility strategy which grossed 68k on its own. Profit wise this is huge as it utilizes overnight margin only and hence needs half of the margin maintained overnight in cash to avoid interest.  

Bank Nifty 100 point strangle continued its winning streak for this month also again touching multiple all time highs in this month. A special mention can be given to Bank Nifty OTM1 Expiry day strategy which also gave good profit after a dismal performance in May month.

However Bank Nifty 200 point directional strategy gave highest monthly loss for this FY because of morning volatility as seen in this month and went past its maximum historical draw down. Fin Nifty Expiry day as well as Bank Nifty expiry day ITM1 strategy also underperformed in this month and brought the overall profit down. 

Two new Bank Nifty buy strategies were started in this week - One is based on Bank Nifty Range break out which is shared on my blog and other is based on combination of indicators. This was done mainly to offset losses in non-directional strategies BN ATM+OTM2 and Bank Nifty Straddle adjust profit making leg. 

Day wise PnL for Jul month

Strategy wise performance for FY23-24 as of Jul end

Jun 2023

As has been the case with Apr and May this year, again the month started good with most of the days in green in first 2 weeks and the monthly profit touched all time high of 1,13,884(1.8%) on 19-Jun but in third week huge losses happened first on Tuesday and then on Thursday which brough the profit down and the month ended at a profit of 68,900 (1.1% profit). 

Three new strategies were started this month to utilize more trading capital on non-expiry days:

1. BN ATM + OTM2     
2. Fin Nifty Expiry day 10 point strangle
3. Nifty Intraday Non directional OTM2 Strangle

BN ATM + OTM2 performed well and ended the month at 2.8% after deducting brokerage/charges. Fin Nifty Expiry day 10 point strangle ended negative and Nifty Intraday Non directional OTM2 strangle was at break even for the month. 

However highlight of this month was BN 100 Point strangle which made a profit of 8.3k per lot (4.6%) even after deducting brokerage and charges. 

Expiry specific strategies such as Bank Nifty Expiry day ITM1, Bank Nifty Auto adjustment strangle and Nifty Expiry day 1235 ATM straddle ended in red this month thereby bringing down the overall portfolio return. 

Day wise PnL for Jun month

Strategy wise performance for Jun 2023

Strategy wise performance for FY23-24 as of Jun end

May 2023

This month started on a positive note with the monthly profit reaching to 1.5% of capital by 17th May (ATH) at which point I came out of 103 days long draw down. However that moment was short lived as another drawdown started just after that with string of losses. At the month end the overall profit settled at 37.7 k (0.6%) of overall capital at start of May month. 

Result day short volatility strategy again performed well in this month and came up as the most profitable strategy for the month. Fin Nifty expiry day was close behind as second most profitable strategy. This month was not that good for Bank Nifty expiry day auto adjustment strangle and it was the most loss making strategy in this month. Nifty expiry day 1235 ATM straddle again continued to disappoint in this month also as in previous months of this year. Bank Nifty 200 point strangle closed in green after a dis-appointing performance in previous month. 

No new strategies were deployed this month and no old strategies stopped in this month. 

Apr 2023

As it is a long weekend because of 1-May and don't have any good web series or TV shows left to watch, here I am reflecting on the Apr month. 

The month started well with winning streak in first week of this month. Second week was ok with no big losses but then on 13-Apr the Finvasia issue happened which caused few ghost trades to be executed. Though I didn't have any loss because of that, strategy basket had to be revised to minimize strategies being executed on Finvasia platform. From 17th Apr, Bank Nifty 200 point strangle started giving more losses as compared to profit and as this was one of the strategy for which lot size was increased to 10 from 5, it brought down the overall profit for the month. It was observed that on most of the days, market was not able to hold a trend and used to reverse either in first hour itself or during the day which was not conducive for Bank Nifty 200 point strangle strategy. 

Result based short volatility strategy worked well in this month thereby giving a good profit for just 1 lot. May be it is time to increase it to 2 lots from next earnings season but then historically I have seen that mostly when lots are increased on a strategy it starts its drawdown period from that point. 

At the end, Apr month ended at 50k of profit which was 0.8% of return on the trading capital. 

FY 22-23

After successful 1st year of system trading (45% ROI) , 2nd year didn't go that well and was able to make around 7% in it. No single strategy was able to create as much profit as Nifty straddles provided in previous year. Traded around 115 strategies in all

Had been in drawdown for 9 months in this financial year which brought the overall return down.

Top 10 Strategies in pic

Month - Jan 2023

Jan 2023 monthly performance Gross Profit of 2,71,227 Net Profit of 2,47,000 (3.4%) FY 22-23 Profit at 10.7%

Equity curve at ATH

Strategy wise performance

Trading parameters for all years in month

Month - Oct 2022

This month built on the changes done in Strategy basket in Sep'22 and became the most profitable month in this year (Net profit of 2,19,419, 3.2% return on 68.3 L margin). On monthly closing basis profit reached all time high though on daily closing basis the drawdown is still there. Last ATH on daily closing basis was on 15-Feb-22 (22.03 Lakhs) which is still to be achieved. Incidentally 15-Feb-22 was the day when I made maximum intraday profit of my systematic trading journey (2.78 Lakhs/ approx 7% return on capital at that point) and then lost it in next 2 days of trading.  

Equity curve as of October end (Monthly closing basis)

Below were the changes which worked:

1. Deployed only 40% of capital on non-expiry days and using max capital on expiry thereby increasing the probability of profit

2. Diversified expiry day setup strategies (Introduced 5 more expiry setups)

3. Discontinued loss making strategy having high drawdown (BN Inverted strangle) 

4. After introduction of expiry day setups (point 2) discontinued BN 20 Point strangle as it was giving same kind of returns as expiry day setup in back testing but was an intraday strategy thereby causing high brokerage

5. Limited max lots per strategy to 4. In case lots to be increased in a strategy, changed the strategy by introducing TSL (BN 100 pt strangle re-execute) or by spacing the entries at different times (Expiry day BN Straddle Re-entry 2 times). This helps in minimizing the drawdown. 

6. Last but not the least factor- Luck. Strategies which were introduced in September performed well in October. Have had cases where strategy who were performing well before deploying in back testing have gone into draw down from the time they were deployed. Even if strategies were doing good in back testing because of execution issues there were losses to the tune of 1,20,000 . October was a month where not many execution issues happened. 

Strategy wise view of Gross/Net profit for October month

This will give a view of charges being incurred by various strategies. Now few strategies are executed in IIFL (BN 100 Point strangle ones)  , few in Zerodha (Mostly expiry days one) and all others in Finvasia so their brokerage and hence charges (Note GST is 18% of brokerage + Transaction charges) differ accordingly.

IIFL Brokerage - Rs 5 per lot
Zerodha Brokerage - Rs 20 per order
Finvasia Brokerage - No brokerage

Abbreviations used while naming strategies

N - Nifty

BN - Bank Nifty

FN - Nifty Financial Services

XD - Expiry day

SL - Stop loss 

R2 - Re-entry 2 times

U120 - Underlying movement by 120 points

GE - Greater than or equal to

LE - Less than or equal to

WT - Wait and Trade

DTX - Day to expiry

H - Hedge

DN - Delta Neutral

RANGE, RB - Range breakout

MB - Momentum buy

Month - Sep 22

Month started on negative note but was able to close on a positive note. Nifty Straddle, Bank Nifty Multi time frame straddle did not perform well in this month. Bank Nifty 100 point strangle, Bank Nifty 200 point strangle and Bank Nifty ATM + OTM2 strategies performed well.

Again execution issues continued in this month also. There was a Zerodha order issue, Tradetron didn't take trade in a strategy at right time and errored it out without any reason, logical set up of Bank Nifty loopy loop had issues two times and seems to be setup fine now. 

Started few strategies in FinNifty, one of the moves this month which back fired and caused loss. 

Also tried a strategy from Tradetron market place which was giving 8% monthly return and that strategy had a bad run from the time I subscribed. Came to know later that creators in marketplace change strategies parameters but keep the name same to avoid huge draw down. The strategy was earlier changed in Apr'22 (that was one of the month when most of the traders had losses) and then now. Tradetron back testing was dubious from earlier itself and now actual results as provided by Creators cannot be trusted. 

Also the transaction charges were high for the month and profit less so moved mostly to expiry day trading except for few strategies to have a control on expenses. 

This month also saw the continuous losing streak of 6 days which is highest losing streak of this financial year as of now. Overall amount of 1 Lakh and 14 thousand was lost in these 6 days. 

In contrast the highest winning streak of 10 days was in May month for this financial year where 4 lakh and 46 thousand was gained in these 10 days. However I have moved away from the system which I was having in Apr/May month of this year to a system with low return and low draw down.

Below is a view of equity curve as of Sep end (Current DD at 4%, MDD 37%)

A view of how the various months have performed for various strategies till Sep month end (including brokerage & charges). 

Strategy wise view of Sep gross profit, charges & net profit

Abbreviations used while naming strategies

N - Nifty

BN - Bank Nifty

FN - Nifty Financial Services

XD - Expiry day

SL - Stop loss 

R2 - Re-entry 2 times

U120 - Underlying movement by 120 points

GE - Greater than or equal to

LE - Less than or equal to

WT - Wait and Trade

DTX - Day to expiry

H - Hedge

DN - Delta Neutral

RANGE, RB - Range breakout

MB - Momentum buy

Reason for long duration of drawdown

1. Doubled the capital in Apr'2022 as well as added leverage by taking hedges. Strategies being run at that time went into losses thereby causing huge loss in April month. 

2. Strategies performed well in May '2022 but by this time had scaled back the capital as well as removed leverage by removing hedges. Hence profit in month was less than losses in previous month. 

3. In May had increased position sizing to a monthly strategy to which had a success rate of 100% in past 4 years. It hit SL in that month and as SL was big, it caused a dent of around 3 Lakhs in May's profit

4. Execution issues - Tradetron execution issues caused a loss of around 85,000 on a Friday in June because of delayed and incorrect entries

5. Last year strategies didn't perform well this year. Had to come up with new strategies

FY 21-22

My first year of system trading ended well. Made 45% returns (18 Lakhs) after including all charges. Executed around 22 different strategies using back testing from stockmock_in and execution engine from @Tradetron1 .More than profits it was journey which was more interesting

Three strategies which performed very well with very less drawdown - Nifty straddle (provided 53% return in 8 months), BN range breakout buy - provided 32% return in 4 months and NIFTY Far OTM selling