A high profitable strategy with hedges that has a decent drawdown of 4% and expectancy of 0.88. Note that 0.5% inbuilt slippage is also included.
Strategy Details:
| Capital required | 2.25 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 | Yes |
| Backtesting platform | https://www.stockmock.in/ |
Backtested Result Summary:
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Key points:
| Avg Yearly Profit | 1,01,000/- (Approx) |
| Avg Yearly Return | 45% for 3 expiries (75% if extrapolated to all 5 expiries) |
| Max Drawdown | 3.65% (Approx) |
| Expectancy | 0.88 |
| Return to MDD ratio | 12.27 |
| Accuracy | 67% |
| Max loss | Rs.3075/- |
Monthly Breakup:
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Equity curve:
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