A hedged positional strategy that gave around 50% avg yearly return in last 3 years by taking just 1 trade per week. Note that 0.5% inbuilt slippage is also included.

Strategy Details:

Capital required	1.5 Lakhs approx
Time frame	Positional
Instrument	Bank Nifty
Backtesting period	3 years
Slippage	0.5%
Backtesting platform	https://www.stockmock.in/
Hedging	Yes

Backtested Result Summary:

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Key points:

Avg Yearly Profit	75,000/- (Approx)
Avg Yearly Return	~ 49%
Max Drawdown	6.6% (Approx)
Expectancy	0.72
Return to MDD ratio	7.44
Accuracy	58% (without Hedging)
Max loss	9206/-

Monthly Breakup:

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Equity curve:

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Strategy Parameters:

Instrument	Bank Nifty
No. of weekly entries	1
Entry Strike	Closest Premium
Entry time	09:16 AM (when expiry starts)
Exit time	15:29 PM (on expiry day)
Closest Premium (CP) Value	300
Stop loss for each leg	100%
BN Hedging CP value (only PE)	50
Hedging Entry time	Daily around 3:28 PM
Hedging Exit time	Daily around 9:17 AM (Next Day)

Sample Entry:

Weekly Positional Straddle Entry

Daily BTST PE Hedge

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How to automate this strategy in Trade Disc algo tool?

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1. Login to Trade Disc application (WhatsApp us on 9398840360 to get free 7 day trial)
2. Select the both strikes(pe and ce) which is near to premium “300” to entries section
3. Give the SL and other parameters, then click on place order
4. Make sure to take entry on the start of expiry week.
5. For hedging, buy only PE leg and select the premium value which is near to 50 around 3:28 PM and exit next day around 9:17 AM.
6. Note: Trade Disc is also a positional tool but since broker cancels SL daily after market hours, ensure to place new SL for straddle legs daily after market opens.

Summary:

Few points to note in this strategy.

1. No of trades – Since there will be only be 1 trade per week (start of expiry day), in terms of execution this is best suitable for working professionals.
2. Avg yearly return – A return of around 50% has been recorded in the backtesting reports for the last 3 years which is very high.
3. Moderate DD – Though the historical drawdown is under control (around 6.6%), it might fluctuate more depending on VIX levels.
4. Stop-loss – Since we have 100% SL for both CE and PE legs on positional basis, make sure to place SL order daily morning in Trade Disc or directly in broker terminal.

Though this strategy has performed well in the last 3 years, since it’s a positional trade, we hold a PE hedge overnight daily. Additionally, suggestion would be to execute this strategy during low VIX environment for further advantage.

Want to see how to backtest this strategy in stockmock and automate in TradeBots tool?
Watch this special YouTube video – https://youtu.be/9g1odWmN9f8

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