This strategy was modelled based on other strategy listed on my blog BN 100 PT SL 40 PT but on Nifty index. Though performance of BN100 PT SL 40 PT was not that good in 2024 but Nifty strategy did very well in first 3 months of 2024.
Entry time: 0930
Instrument: Sell Nifty weekly CE and PE leg having premium >= 50 points
Stop-Loss: 20 points on both legs and adjust the SL to cost for a leg if other leg's SL is hit
Target: 90% on both legs
Trailing Stop Loss : 5% by 3% on both legs
Exit Time: 3 PM
Slippage: 0.5%
Back testing
(Updated as of 12-Apr-24)
Actual trade based profit/loss
(Started trading from 24-Jan-24)
Profit/Loss for Mar 2024
Reason for high difference b/w actual and back testing
21-Mar-23: PE trade hit SL in actual trade at 9:22 whereas in Back test it didn't hit
Historical Trades
Feb 2024
Reason for high difference b/w actual and back testing
07-Feb-24: PE strike went into margin error and trade was taken at 9:57 instead of 9:30
8-Feb-24: A different strike was selected in actual trade as compared to back test
19,20,21 Feb: TSL of 5% by 3% was not set in ALGO
8-Feb-24: A different strike was selected in actual trade as compared to back test
19,20,21 Feb: TSL of 5% by 3% was not set in ALGO
Jan 2024
Reason for high difference b/w actual and back testing
nice work
ReplyDelete