has anyone created and backtested varsity option strategies?

Algos, strategies, code
1

hi

I am learning the options strategies through Zerodha Varsity, I want to have practical learning too… is it possible to create all the option strategies provided in module in Streak?

2

Hi

I’m not sure about the strategies in Zerodha Varisty but I have deployed bank nifty Straddle, Strangle, and Iron condor for paper trading and they are working fine as of now.

3

hey! I’m trying to create a short strangle condition using dynamic contract. But can you please let me know what is “offset” and how it should be used??

Thankyou in Advance.

4

Hi,

If I’m not wrong It is the Strike that you want to select at a distance from the ATM contract. The offset of ATM is 0 and if you select offset as +1 it is will select 1 strike OTM for CE contract and for PE OTM it is -1. however, don’t quote me on this as I’m a beginner myself.

5

Let me explain the concept of offset in dynamic contract using the example below.

  • As you can see in the image below, the graph is divided into 4 parts. Say as an example, the current price of Nifty 50 is 18000. Therefore, the ATM shall be 18000 and the offset for ATM Contracts is 0. The offsets to the right are taken as +ve and the offsets to the left are taken as -ve.
  • The region above the horizontal line is assumed as CE and the region below the horizontal line is assumed as PE.
  • Say we want 4 contracts 17800PE, 17900CE, 18100PE and 18200CE to be added in dynamic contract.
  • As per the figure, 17800PE is considered as OTM and is two offsets towards the left of ATM. hence, the offset assigned shall be -2.
  • 17900CE is considered as ITM and is one offset towards the left of ATM. hence, the offset assigned shall be -1.
  • 18100PE is considered as ITM and is one offset towards the right of ATM. hence, the offset assigned shall be +1.
  • 18200CE is considered as OTM and is two offset towards the right of ATM. hence, the offset assigned shall be +2.

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To learn about Dynamic Contract, refer to the links below:
https://help.streak.tech/dynamic_contract/

1 Like
7

Wow Streak team… The concept of “Dynamic Contract” and “Offsets” are so well explained.

I have created Iron Condor Strategy after referring this thread.

Keep up the good work.

8

Thanks for the detailed explanation.