A super low drawdown strategy (less than 2%) and a high expectancy with good average yearly return that works in both high and low VIX market. Note: Slippage of 0.5% considered for the entire strategy.
Strategy Details:
| Capital required | 3 Lakhs approx |
| Time frame | Intraday |
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| Backtesting period | 1 year (Dec 1, 2022 to Nov 30, 2023) |
| Slippage | 0.5% |
| Hedging | Yes |
| Backtesting platform | https://www.stockmock.in/ |
Backtested Result Summary:
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Key points:
| Avg Yearly Profit | 1,10,000/- (Approx) |
| Avg Yearly Return | 36% for 3 expiries (60% if extrapolated to all 5 expiries) |
| Max Drawdown | 1.8% (Approx) |
| Expectancy | 1.05 |
| Return to MDD ratio | 20.34 |
| Accuracy | 67% |
| Max loss | Rs.4366/- |
Monthly Breakup:
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Equity curve:
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