Chemical Burn

Created By: Tyler Durden
Deployed By: Tradetron

Strategy Link: https://www.tradetron.tech/strategy/21174

Subscribers: 473

Rating: 4.2

Tags ShortGamma, MarketNeutral, Pairs
Margin 40,000
Exchange NFO

Description:

INDEX OPTIONS STAT ARB STRATEGY


This strategy will take pair trade position in Nifty and BankNifty options based on my proprietary indicators and adjusts strikes dynamically to hedge gamma risk.


IMPORTANT:
The default position size for 1x multiplier is 1 lot. Keep in mind that smaller the quantity means your transactions costs will eat bigger portion of profits. Hence, we advise at least 2x multiplier. For serious players, 5x is recommended.

 

Capital Required will depend on the leverage provided by your broker. Assuming 10K per lot of Nifty & BankNifty options, required capital is 20K for 1x multiplier. Keep 15-20K MTM buffer also, so total 40K. Adjust the capital requirement and MTM buffer according to your broker leverage and risk-taking appetite.

Disclaimer : These results are based on simulated or paper trading or hypothetical performance results that have certain inherent limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Totals
Capital 200 K
PNL 267.9 K
Drawdown 15.55%
Std Deviation 0.91%
Sharpe Ratio 10.01
Month PNL PNL %
Jun, 20 11.5 K 5.77
Jul, 20 239.5 K 119.76
Aug, 20 16.9 K 8.44