simple straddle strategy

[hauler]

Hi,
I've started experimenting/ backtesting some strategies so thought of starting with a real simple one.
Buy both NIFTY calls and puts to the nearest strike of nifty at 930 on first day of series. Sell on closing of series.
Returns 11%(total) in last 3 years.
I know not great, simple savings account will give more but something this simple is +ve seems interesting.
Thoughts/ ideas on refining this?

Regards

Nice experiment! If you can do a little more and make a chart of closing the positions 5-10 days prior to expiry, you might get better results.

 

[abcpankaj]

Hi,
I've started experimenting/ backtesting some strategies so thought of starting with a real simple one.
Buy both NIFTY calls and puts to the nearest strike of nifty at 930 on first day of series. Sell on closing of series.
Returns 11%(total) in last 3 years.
I know not great, simple savings account will give more but something this simple is +ve seems interesting.
Thoughts/ ideas on refining this?

Regards

Surprised to know that such a simple strategy had positive results.Specially since last 3 years did not have any circuit day & nifty as a whole didn't trended drastically.
I would rather suggest to get out of the position with a set profit target of 10,15 or 20% instead of holding till expiry.
how did you do all these back testing .Manually using excel or some tool.

regards

 

[nxshar2]

Sorry for the late response,
Thanks for the suggestions!

was busy with another business i'm trying to start.
Haven't gotten back to trading, but will try more combinations.
As for testing, it was not excel or manual. I used R and databases.

 

[nxshar2]

Nice experiment! If you can do a little more and make a chart of closing the positions 5-10 days prior to expiry, you might get better results.

Realized this makes much sense due to time value decay at the end of series. got to try this one asap.