Premium strategy which has a very high expectancy and low drawdown with a decent average yearly return of around 55-60% by trading only on expiry days in all 5 expiry indices. Note that 0.5% inbuilt slippage is also included.
Strategy Details:
| Capital required | 4.5 Lakhs approx |
| Time frame | Intraday |
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| Backtesting period | 1 year (Nov 1, 2022 to Oct 31, 2023) |
| Slippage | 0.5% |
| Hedging | No |
| Backtesting platform | https://www.stockmock.in/ |
Backtested Result Summary:
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Key points:
| Avg Yearly Profit | 1,60,000/- (Approx) |
| Avg Yearly Return | 35% for 3 expiries (60% if extrapolated to all 5 expiries) |
| Max Drawdown | 2.15% (Approx) |
| Expectancy | 1.28 |
| Return to MDD ratio | 16.30 |
| Accuracy | 66% |
| Max loss | Rs.6191/- |
Monthly Breakup:
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Equity curve:
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Strategy Parameters:
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| No. of daily entries | 3 |
| Entry Strike | Closest Premium (CP) |
| 1st Entry time | 09:50 AM |
| 2nd Entry time | 10:50 AM |
| 3rd Entry time | 11:50 AM |
| Nifty CP Values (for 3 entries) | 30,25,20 |
| Bank Nifty CP Values (for 3 entries) | 100,90,80 |
| FinNifty CP Values (for 3 entries) | 40,35,30 |
| Exit time (All 3 strategies) | 3:00 PM |
| Stop loss for each leg | 100% |
Note1 : We make 3 entries daily on all expiry days so that every time we enter into new strikes at different times and might avoid any sudden stop loss hits in all 3 strategies at once.
Note 2: On Friday and Monday, Bank Nifty with same parameters except stop-loss will be 25% (instead of 100%). This is temporary since Midcap Nifty and Sensex will be traded very shortly.
Sample Entry:
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How to automate this strategy in Tradebots (Desktop)?
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- Login to Tradebots desktop version (WhatsApp us on 9398840360 to get free 7 day trial)
- Click on “Add Strategy” and a pop up will open as shown in the image
- First configure for 9:50 to 15:00 strategy – give entry time, exit time, SL and other parameters
- Make sure to check all days since this is a low drawdown strategy.
- Hit on “save” as shown in the image.
- Repeat same process to configure other 2 strategies as well – 10:50 and 11:50
That’s it. Every day this strategy will automatically gets executed after you login.
How to automate this strategy in Tradebots (web)?
click on the image to enlarge
- Login to Tradebots web version (WhatsApp us on 9398840360 to get free 7 day trial)
- Click on “Add New Strategy” and a pop up will open as shown in the image
- First configure for 9:50 to 15:00 strategy – give entry time, exit time, SL and other parameters
- Make sure to check all days since this is a low drawdown strategy.
- Hit on “Add” as shown in the image.
- Repeat same process to configure other 2 strategies as well – 10:50 and 11:50
Every day all 3 strategies get automatically executed after successful login.
Summary:
There are a few things that make this a good strategy.
- Low drawdown – This is an extremely low drawdown strategy (around 2%) that makes it safe to trade on all days.
- High Profits – Per backtested results, an average profit of 60% seems to be possible if extended to midcap nifty and sensex.
- High expectancy – Even after deducting 0.5% inbuilt slippage, this strategy still has 1.28 expectancy which makes this one of the safest strategies.
In short, those who want a very low drawdown with good returns, this strategy is something to consider since the spread of profits and rise of equity curve are pretty impressive.
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