A low capital expiry day strategy that has a decent drawdown of 3% with yearly return of more than 70% and return to MDD ratio of over 14. Note that 0.5% inbuilt slippage is also included.
Strategy Details:
| Capital required | 1.5 Lakhs approx |
| Time frame | Intraday |
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| Backtesting period | 1 year (Jan 2, 2023 to Dec 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 | 65,000/- (Approx) |
| Avg Yearly Return | 43% for 3 expiries (72% if extrapolated) |
| Max Drawdown | 3% (Approx) |
| Expectancy | 0.56 |
| Return to MDD ratio | 14.19 |
| Accuracy | 67% |
| Max loss | Rs.4614/- |
Monthly Breakup:
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Equity curve:
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