1. 10 x Lot BN ATM +100/-100

2. Repair trades in FUTURES

3. SL 20 K, No target

4. Takes only one entry in a day, 09;30 entry, 15:00 Exit

5. No more than 1 multiplier allowed as it would change underlying gamma scalping parameters.

What is the capital required for this strategy?

If you are a conservative trader and do not want to leverage positions by adding far OTM buy legs, it would be around 13-15 lakhs as per new SEBI rules.

For taking positions, it does take approx 16 lakhs (without buy legs) and remaining amount would be act as buffer for Bank NIFTY futures for adjusting positions based on Index move.

Over the period, we have found that, buffer amount is not utilized most of the time, hence we are losing on most of the occasions as opportunity cost. And for that reason, our strong recommendation would be to have far OTM buy legs. Below is the calculation of margin

With Far OTM buy legs:

Is this strategy suitable for all market conditions?

No, It would make loss on non-stop trending days and may tend to hit SL of 10k.

There are 4 types of moves in market

1. Sideways - Any strategy can make money
2. Non-stop trending moves - A strategy of straddle/strangle, with individual leg stop loss. If Index starts moving, losing leg gets cut off once SL hits, Winning leg will continue to move till end of the day.
3. Zig zag moves - Deploy a strategy which has risk management based on Account level MTM loss and not individual leg SL. It can handle either way (up/down) move to an extend.
4. V shape move/recovery - Most of the strategy fails. No algo can survive unless we can split time of entry in to multiple time slots.

Does this strategy handle freak trades or mis-priced options ?

Yes, it does. After hard lessons from market and based on feedback from our subscribers, we have sorted it out. Tradetron as a platform itself has built in functionalities/mechanisms to handle such unexpected wild moves. We have spent an ample amount of time for research and with assistance from tradetron, we have managed to sort it out. 

If you would like to know the specifics, please do reach out to us on below mentioned communication channels.

Risks Involved:

1. Never leave your trading positions unattended. If you are looking for fully automated trading strategies, please visit our website example.com for value added services.

2. Trading FUTURES and OPTION contracts involves high risks. Sometimes loss can exceed your total capital. 

3. Past performance of this strategy does not guarnatee future performance. Backtests result and monthly PnL are considered to be invalid or not accurate from the data dervied before 01-Sep-2021, as we have new margin rules in place.

*I am not a SEBI registered advisor and this strategy shared is purely based on historical movements of indices. Consult your financial advisor before deciding to trade in capital markets.

Back Test Reuslts: