Bank Nifty Range breakout Buy System

 In this post I will be talking about the bank nifty buying system based on range breakout. In case you don't have a background on range breakout buying system please refer to Stock Mock YT video @ Stock Range breakout Buy

Now we will go direct to the system

Instrument: Bank Nifty CE and PE weekly option which is ATM option at 0930

Entry: Enter in ATM CE or PE option whichever breaks high range between 0930 to 1100 after 1100 first. Only one entry will be taken

E.g. say at 0930 ATM options are 47100 CE and PE. Now 47100 CE highest premium is 200 and lowest is 160 between 0930 to 11. In same 47100 PE highest premium is 180 and lowest is 140 between 0930 to 11. Now if 47100 CE goes above 200 after 1100 then it will be bought. 

In case before 47100 CE goes above 200, 47100 PE goes above 180, then PE option will be bought.

This is known as Range breakout strategy.

Stop Loss - 75 points from the entry premium. E.g. if entry happened at premium of 200 then SL will be at 125

Exit - Exit at 1456

Capital Needed: Assuming we will be buying ATM option when range breakout happens mostly the premium will be around 300 to 400 range nowadays. However historically the highest entry premium was around 925. Considering that and lot size of 15 for Bank Nifty, capital needed to buy 1 lot will be 13,875. Now to it we will add the 2 times max drawdown in history which will make the overall capital as 27000.

Slippage considered: 0.5%

Stock Mock conditions

QUANTIPLY Settings for strategy

BACKTESTING
(Updated as on 21-Jun-24 end of day)

Note: The returns shown here are without any brokerage and charges. 

Actual trades based profit/Loss

(Started trading from 09-Dec-21

Stopped trading from 15-Jun-22

Started trading from 19-Jul-23

Stopped trading from 5-Feb-24)

Note (6-Aug-23) After starting this strategy in July 2023, there are slight differences in the way I am trading it. Main is that instead of observing breakout of ATM CE/PE options at start of break out range(at 09:30 AM), I am checking for breakout in Bank Nifty spot and then taking the trade in ATM option at time of breakout instead of ATM option at 09:30. This is because if I want to track ATM CE/PE at 09:30 in Tradetron I have to take an extra trade at 09:30 (Buy & Sell for both ATM CE/PE options). In order to avoid this I am running it this way. This might cause difference in PnL between actuals vs Back testing data.

Note (2-Sep-23): After Quantiply introduced range break out feature, I have started trading it there and now actual trades should match with back test 

Date wise trade details for Jan 24:

Reason for difference between Back testing and actual trades:

Didn't trade from 1st to 9th Jan

HISTORICAL DATA

Dec 23

Nov 23

Oct 23

Reason for difference between Back testing and actual trades

25-Oct-23: In actual trade SL of 75 point was hit whereas in Back testing it didn't hit

Sep 23

Aug 23

Jul 23

I am not a SEBI registered advisor and system as explained here are only for learning purposes.