Why Many of Streak Strategy Results after brokerage final p&L is Negative

Streak - backtesting
21

That took a lot of fine tuning of my execution. Can’t really compress everything i did in a few paragraphs.

I can only give you broad strokes of what anyone can do to have a good charges-profit ratio.

*examine the logic of your strategies, if they have actual theoretical edge

*crunch numbers, you should gather as much data as possible to backtest and build a mathematical model around your system

*the one very understated, is the brokerage difference on trade size:

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you pay over 2% of your option premium as charges vs only 0.24% if you have good size.
i.e, you’re paying almost 10x of the charges if you trade 1 lot vs 36 lots
Even with free brokarge, you’ll be paying significantly higher with small size but it will help
(yeah, very unfair but that’s the way it is)

22

Ok. I am an option buyer. You have quoted the breakeven, and I am not sure how much it would come help for me , since I am a buyer.
What I saw is, I get 4.5 RS as STT and transaction charges for X25 quantities
And 146 stt and transaction charges for x900 quantities.
Does that mean , quantities have no advantage when it comes to lowering charges, when you are a buyer ?

23

Except brokerage which is flat, every other line item under the transaction charges head is % of trade value. So these will scale with quantity.

24

Correction: if you exclude brokerage, you end up paying the same % as charges.

Every option you buy, you sell to square off the trade. Every option you sell, you buy to square off the trade.

In any case, the first two points i mentioned should be of priority, in that order.