A 3-hour expiry day trading strategy that gives decent 50% return per annum with just 4% drawdown and all profitable months. Note that 0.5% inbuilt slippage is also included.
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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 | 50,000/- (Approx) |
| Avg Yearly Return | 33% for 3 expiries (50% if extrapolated) |
| Max Drawdown | ~4% (Approx) |
| Expectancy | 0.58 |
| Return to MDD ratio | 9.30 |
| Accuracy | 64% |
| Max loss | Rs.5459/- |
Monthly Breakup:
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Equity curve:
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Strategy Parameters:
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| No. of daily entries | 2 |
| Entry Strike Range | ATM |
| 1st Entry time | 01:00 PM |
| 1st Exit time | 02:59 PM |
| 2nd Entry time | 03:00 PM |
| 2nd Exit time | 03:29 PM |
| Stop loss for each leg | 70% |
Note1 : We make 2 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 2 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 01:00 PM to 02:59 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 another entry as well – 03:00 PM to 03:29 PM
That’s it. Every day this strategy will automatically gets executed after you login.
How to automate this strategy in Tradebots (web)?
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- 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 01:00 PM to 02:59 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 another entry as well – 03:00 PM to 03:29 PM
Every day both entries get automatically executed after successful login.
Summary:
There are a few things that make this a good strategy.
- Decent Returns – This strategy has generated a decent return of around 50% per year (after 0.5% slippage) as per backtested reports.
- Low drawdown – This strategy has decent low drawdowns of around 4-5%, especially in low VIX.
- 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.
This strategy might be a good choice for those who can’t spend all day in stock market. By just trading for 3 hours, a decent return can be generated with reasonable drawdowns. However, one must keep in mind that report is only for last 1 year since FinNifty has recently started and results might change during high VIX environment.
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