although you can do it in streak, the contracts as they expire , wont be available for backtesting in streak so as a result the maximum backtest that which you can do is for the previous 1 month.
Also , intraday straddle works best in weekly contracts as the decay is the most in them.
Great. Thanks, @Krishnendu I just Backtested it for April 20- March 21 for BANK NIFTY Straddle using dynamic contracts and saw 62% profits post brokerage. Average capital required for 10 lot Straddle should be around 18-20 Lakhs and this gave an 11.5 lakh profit as per the algorithm using 30% stop-loss
For 10 lots BANKNIFTY I am assuming Rs 500 Brokerage per trade, which would translate to roughly 12k Brokerage throughout the year. Is that a safe number to assume on average?
And if this is done after pledging the existing Securities in Zerodha, the returns can be phenomenally high theoretically as per the last 1 year backtest.
@krishnendu I don’t understand one thing though. In case of short straddle the results should be valid only when I sell the dynamic option contract on the mentioned timeframe and buy when stoploss is hit or at expiry.
But surprisingly I was getting the same backtest results irrespective of whether I choose to buy or sell.
There is a brokerage toggle. turning it on will show post brokerage p/l
For Dynamic contract, you need to set the position in Order Type of the Contract settings. If done correctly, the result of a Long and a short straddle will be different, not necessarily a loss of the Long straddle. Since the Long straddle is a long vega, one of the legs may earn a big profit on some days ultimately giving net profit.
Remember when you short, there is a limit on the profit, when you long upside is not capped. Exactly when the trade entered and exited can be verified using the transaction details of the backtest.
if nifty moves 100 points 14500 then sq off 14400CE & sell 14500 CE
if again nifty move 100 points 14600 then sq off 14500 CE & sell 14600 CE
Or reverse
It means after every 100 points strategy change its position…
Thanks
Underlying I mean index, I want to do a strategy on ITM option want to scan ITM -200 option for a CCI value and if it satisfy that condition then I want to enter a trade on same ITM option script! Can I do that?
So if nifty is at 16000 then want to scan 15800 ce and 15900 ce charts. if their CCI > -100 then I want to buy those option scripts!