STBT strategy that requires less screen time with decent returns of around 40% (extrapolated) and high accuracy of 74%; suits better for working professions. Note: Slippage of 0.5% is considered.
Strategy Details:
| Capital required | 1.5 Lakhs approx |
| Time frame | Positional (STBT) |
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| Backtesting period | 1 year (Feb 1, 2023 to Jan 31, 2024) |
| Slippage | 0.5% |
| Hedging | No |
| Backtesting platform | https://www.stockmock.in/ |
Backtested Result Summary:
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Key points:
| Avg Yearly Profit | 35,000/- (Approx) |
| Avg Yearly Return | 23% for 3 expiries (40% if extrapolated) |
| Max Drawdown | ~4% (Approx) |
| Expectancy | 0.31 |
| Return to MDD ratio | 5.89 |
| Accuracy | 74% |
| Max loss | Rs.5774/- |
Monthly Breakup:
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Equity curve:
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Strategy Parameters:
| Instrument | Bank Nifty, Nifty, Fin Nifty |
| No. of daily entries | 1 |
| Entry Strike | Closest Premium |
| Closest Premium Value (Bank Nifty) | 100 |
| Closest Premium Value (Nifty) | 30 |
| Closest Premium Value (Fin Nifty) | 30 |
| Entry Time | 03:25 PM (before expiry day) |
| Exit Time | 09:20 AM (on expiry day) |
| Stop loss for each leg | 100% |
| VIX Level | 18 or below |
Note 1 : Entry to be taken 5 minutes before market closes and exit 5 minutes after market opens.
Note 2: For Sensex, premium of 100 and Midcap Nifty premium of 20 can be considered.
Note 3: 100% SL might jump a few times since this is positional strategy but still recommended to have it in case if market moves wildly in those 10 min.
Very Important – Stats have suggested that it’s best to execute this strategy during low VIX levels (18 or below). So at times, when markets are highly volatile (VIX above 18), traders might have to wait for many days until VIX comes back. One can get VIX value from Google or NSE website at the time of entry.
Sample Entry:
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How to automate this strategy in Trade Disc?
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- Login to Trade Disc application (WhatsApp us on 9398840360 to get free 7 day trial)
- From Option Chain – select Bank Nifty CE and PE which are nearest to closest premium value “100” and move them to entries section in Trade Disc around 3:25 PM
- Give the SL and other parameters
- Click on place order.
- Next day square off any open positions in Trade Disc at 9:20 AM
- Repeat same process for Nifty, Fin Nifty and indexes on that respective days with given parameters
Summary:
There are a few things that make this a good strategy.
- Screen Time – This strategy suits better for those who can’t stay for more time in markets. They can just spend 10 min per day and manage trades successfully.
- High Accuracy – This strategy has an accuracy of around 74% which is great especially in lower VIX environment
- Low drawdown – This strategy has a drawdown of around 3-4%, but might increase based on VIX levels.
- 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 don’t have time to trade all day. Low VIX environments will help capture time decay 1 day before expiry to generate smooth returns. So this strategy has to be executed only during low VIX levels (18 or below) for safe trading.
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