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    AllRounder AlgoReport

    Uploaded by

    Sabah Saleem
    This strategy sells straddles and strangles on the Nifty, Bank Nifty, and FinNifty indexes intraday and takes directional trades based on market movement. It aims to benefit from theta decay in range-bound markets and directional moves in trending markets. The strategy has a 70% win rate based on 99 days of backtested performance, with average monthly profits of Rs. 17,203 and total profits of Rs. 81,104 while requiring Rs. 600,000 of capital. It enters positions between 9:16-9:25 AM and exits at 2:50 PM.

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    AllRounder AlgoReport

    Uploaded by

    Sabah Saleem
    23 views2 pages
    This strategy sells straddles and strangles on the Nifty, Bank Nifty, and FinNifty indexes intraday and takes directional trades based on market movement. It aims to benefit from theta decay in range-bound markets and directional moves in trending markets. The strategy has a 70% win rate based on 99 days of backtested performance, with average monthly profits of Rs. 17,203 and total profits of Rs. 81,104 while requiring Rs. 600,000 of capital. It enters positions between 9:16-9:25 AM and exits at 2:50 PM.

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    AllRounder_AlgoReport

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    This strategy sells straddles and strangles on the Nifty, Bank Nifty, and FinNifty indexes intraday and takes directional trades based on market movement. It aims to benefit from theta decay in range-bound markets and directional moves in trending markets. The strategy has a 70% win rate based on 99 days of backtested performance, with average monthly profits of Rs. 17,203 and total profits of Rs. 81,104 while requiring Rs. 600,000 of capital. It enters positions between 9:16-9:25 AM and exits at 2:50 PM.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    23 views2 pages

    AllRounder AlgoReport

    Uploaded by

    Sabah Saleem
    This strategy sells straddles and strangles on the Nifty, Bank Nifty, and FinNifty indexes intraday and takes directional trades based on market movement. It aims to benefit from theta decay in range-bound markets and directional moves in trending markets. The strategy has a 70% win rate based on 99 days of backtested performance, with average monthly profits of Rs. 17,203 and total profits of Rs. 81,104 while requiring Rs. 600,000 of capital. It enters positions between 9:16-9:25 AM and exits at 2:50 PM.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    All Rounder

    Created By: Algo Edge Capital


    Deployed By: Algo Edge Capital
    Strategy Link: https://tradetron.tech/strategy/2486524
    Subscribers: 1317
    Rating: 0

    Tags No Tags
    Margin ₹ 600,000
    Exchange NFO

    Description:

    This strategy is designed with Bank Nifty, Nifty and FinNifty. This is an intraday option selling strategy which adjust positions as per the market
    movement. It sells 1 BNF straddle, 1 BNF strangle, 1 Nifty straddle and 1 Finnifty straddle initially and takes directional trades in Bank Nifty if market trends.
    We earn theta decay if market is range bound. If market is trending, the strategy gets benefit from directional trades.

    The strategy would perform well in following situations:


    1) Fall in Vix
    2) Range Bound movements
    3) V shape movements to an extent
    4) Directional Market

    The strategy would struggle in following situations:


    1) Rise in vix
    2)High Volatility in market with increasing premiums
    3)No decay in premiums

    Frequently Asked Questions


    Capital Requirement : 6,00,000 Rs for 1 X multiplier. Please check with your broker for exact margin requirement.

    Capital Requirement comes down to 3,50,000 Rs for 1X by using this hedge strategy. https://tradetron.tech/strategy/2767702
    Entry and Exit times : Entry time is b/w 0916hrs - 0925hrs and Exit time is 1450 hrs.
    Entry cut off time is 1400 hrs

    Stop loss : Max Stop loss is 6000 rs per day.


    Subscription fees : Free

    Telegram channel :https://t.me/algoedgecapital

    Twitter link : https://twitter.com/vamshisharan

    Disclaimer : Algo Edge Capital or I am not a SEBI registered investment or financial advisor. Don't deploy our strategies purely based on past
    performance only. We are not responsible for your profit or loss. Although this strategy is fully automated, you are advised to keep a track on your
    account to monitor any deviations or errors. As option selling involves market risks, Please consult your financial advisor before investing.

    Equity Curve

    100,000 Equity

    80,000

    60,000

    40,000

    20,000

    0
    10-Apr-23 1-May-23 1-Jun-23 1-Jul-23 1-Aug-23 21-Aug-23

    Date

    Statistics
    No Name Value
    1 Capital Required Rs. 600000.00
    2 Total Trading Days 99
    3 Win Days 70
    4 Loss Days 29
    5 Max Winning Streak Days 16
    6 Max Losing Streak Days 3
    7 Win Rate 70.71%
    8 Avg Monthly Profit Rs. 17203.98
    9 Total Profit Rs. 81104.48
    10 Avg Monthly ROI 2.87%
    11 Total ROI 13.52%
    12 Standard Deviation (Annualised) 7.11%
    13 Sharpe Ratio (Annualised) 4.84
    14 Sortino Ratio (Annualised) 5.5
    15 Max Profit in a Day Rs. 4669.00
    16 Max Loss in a Day Rs. -6930.00
    17 Avg Profit/Loss Daily Rs. 819.24
    18 Avg Profit on Profit Days Rs. 2202.17
    19 Avg Loss on Loss Days Rs. -2518.89
    20 Avg no. of trades (Buy + Sell) per trading day 14.22
    21 Max Drawdown Rs. 24628.75
    22 Max Drawdown % 3.62 %

    Daily Summary
    Day Returns (%) Max profit Max loss
    Monday 2.58 3649.5 -5627.5
    Tuesday 3.97 4669 -5308.75
    Wednesday -1.34 4080 -6930
    Thursday 3.6 3980 -4912.01
    Friday 4.21 4391.75 -2056

    Month Wise PNL


    Month Total Trades PNL (Rs) PNL (%)
    Apr, 23 162 21356.25 3.56
    May, 23 266 21293.75 3.55
    Jun, 23 247 37843.24 6.31
    Jul, 23 379 -13580.25 -2.26
    Aug, 23 354 14191.49 2.37

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