An extremely low max drawdown strategy under 1.5% with other highly qualified metrics like accuracy of 70%, expectancy of 0.94 and return to MDD ratio of 25.5
Strategy Details:
| Capital required | 1.5 Lakhs approx |
| Time frame | Intraday |
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| Backtesting period | 1 year (Mar 1, 2023 to Feb 29, 2023) |
| Slippage | 0.5% |
| Hedging | No |
| Backtesting platform | https://www.stockmock.in/ |
Backtested Result Summary:
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Key points:
| Avg Yearly Profit | 55,000/- (Approx) |
| Avg Yearly Return | 37% for 3 expiries (62% if extrapolated) |
| Max Drawdown | 1.45% (Approx) |
| Expectancy | 0.94 |
| Return to MDD ratio | 25.55 |
| Accuracy | 70% |
| Max loss | Rs.2166/- |
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 Range | Closest Premium |
| Bank Nifty CP values | 50,40,30 |
| Nifty CP values | 20,15,10 |
| Fin Nifty CP values | 20,15,10 |
| 1st Entry time | 10:00 AM |
| 1st Exit time | 11:55 AM |
| Stop loss for each leg | 30% |
| 2nd Entry time | 12:00 PM |
| 2nd Exit time | 01:55 PM |
| Stop loss for each leg | 60% |
| 3rd Entry time | 02:00 PM |
| 3rd Exit time | 03:28 PM |
| Stop loss for each leg | 100% |
| Trail to Cost (for all 3 entries) | Yes |
Note1 : We make 3 entries daily on all expiry days so that every time we enter into new strikes at different times and avoid stop loss hits in all 3 strategies at once. Also good from diversification perspective.
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 10:00 AM to 11:55 PM strategy – give entry time, exit time, SL and other parameters
- Make sure to check mark the appropriate day as this is expiry day strategy.
- Hit on “save” as shown in the image.
- Repeat same process to configure other 2 entries as well – 12:00 PM and 02:00 PM
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 10:00 AM to 11:55 PM strategy – give entry time, exit time, SL and other parameters
- Make sure to appropriate day that has expiry.
- Hit on “Add” as shown in the image.
- Repeat same process to configure other 2 entries as well – 12:00 PM and 02:00 PM
Every day all 3 entries get automatically executed after successful login.
Summary:
There are a lot of metrics that make this a good strategy as per backtested report.
- High profitable – This strategy has potential to give profits up to 60% per year (after 0.5% slippage) as per backtested reports.
- Extremely Low drawdown – In all VIX environments, this gave a max DD of just around 1.5% which is very easy to handle and get back to trading quickly.
- Capital Requirement – This strategy required capital for just 1 straddle/strangle which is generally around 1.5 Lakhs. So even small capital clients can execute this strategy.
- Return to MDD ratio – This is an impressive metric with value of over 25 which means avg profits to max DD is quite under control.
This strategy is a must-consider one for those who wants to have a slow and steady win in the long run. With all impressive metrics, this surely be one of the top strategies that can be automated end to end using our trading tools.
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