Entry time: 0918
Instrument: Sell Bank Nifty monthly CE and PE option which is trading at a price greater than or equal to 10 at 0918
Please note both CE and PE should be sold e.g. if BN 37200 CE is trading at 11 and BN 33100 PE is trading at 12, I will sell BN 37200 CE (Weekly) and BN 33100 PE (Weekly)
Stop-Loss: 9 points on both CE/PE leg
Exit: 1520
Slippage: 0.5%
Capital: 97,000
Note (30-Nov-24): After weekly expiries ended for Bank Nifty, strategy now trades the Bank Nifty monthly options
Back Testing
(Updated as of 31-Oct-24)
Actual trade based profit/loss
(Started trading from 9-Jan-24)
Reason for high slippage b/w actual and back testing
Historical Trades
Jul 24
Jun 24
May 24
Apr 24
Stop-Loss: 9 points on both CE/PE leg: In this case CE was sold at 11 and PE @ 12; if either of the strike price goes against by 9 points, do we square off both the legs or one leg ? is the stoploss.
ReplyDeleteOnly one leg needs to be squared. Remaining leg needs to be squared based on its SL of 9 points from its selling price. This is not an adjust to cost strategy
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