Entry Time: 0916
Instrument: Sell 1 Lot of OTM2 CE (ATM + 100) and PE (ATM-100) of NIFTY based on spot price at 0916
MTM SL: 500 per lot
Target: 1000 per lot
Exit Time: 1235
Slippage: 0.5%
Capital Needed: 125k to 130k per CE + PE lot. Returns mentioned in back testing and actuals are based on 130k margin
Back testing and actual trades report
( Updated as of 5 Apr 24)
Back testing results
Actual Trades based profit/loss
(Started trading from 26-Jun-23
Stopped trading from 9-Feb-24
Re-started trading from 1-Mar-24)
Above profit doesn't include brokerage and other charges
Daily trades for Mar 2024
Reason for days with high difference b/w actual and back testing (Positive/Negative):
6-Mar-24: In real trade MTM SL was hit whereas in Back testing it didn't hit
Historical Trades
Feb 2024
Jan 2024
Dec 2023
Nov 2023
Oct 2023
Reason for days with high difference b/w actual and back testing (Positive/Negative):
5-Oct-23: Strategy not traded on this day
Sep 2023
Comments
Post a Comment