7/17/23, 10:13 PM TradeTron -

⛰️TIDM - Theta IDM Volatility

Created By: StrategyOne
Deployed By: Tradetron
Strategy Link: https://tradetron.tech/strategy/2153126
Subscribers: 880
Rating: 0

Tags Bearish, Bullish, Directional, EarnTheta, EventBased, Intraday, NonDirectional, Pairs , Range, TrendFollowing, Volatility
Margin ₹ 320,000

Description:
Strategy in Brief:
TIDM - Theta IDM Volatility
An intraday Strategy that Sells ATM Index Options (both Bank Nifty and Nifty) - Weekly Options
Exit & SL as per defined criteria within the strategy.
Order Type: MIS Order
New Entry Time: After 09:16 AM
Exit Time: After 15.01 PM

SL per Counter: -4500

Target per Counter: Open
TSL From: indicator based

Track our trades & performance via our Live Shared Code:

65d63274-c822-498c-afde-40e03ab0fd4c

Important Video Links

Strategy Combos
Understanding Strategy Correlation
Drawdown & Risk Management in Algo Trading
Broker Comparison for Algo Trading

Capital required is 320k on 1x deployment( Margin requirement may vary more or less based on which broker you use) as it sells ATM option pairs of

both nifty and bank nifty index as MIS order from 9:15 am to 9:24 am based on which day it is entering and closes its positions around 3:00 pm as it is

day trading algo.

It's a 4-legged, 2-straddle combo --> “IDM” after Taking entry in the morning, it trades the whole day and tries to book 1st target of 2.5k and then waits

for its second entry if it feels comfortable to enter the market.

Max Per Day Risk: The strategy has a max loss of 4.5k

Max Per Day Target: Open with no TSL

The average number of orders per Day is 8-12

Entry & Re-entry: The strategy starts at 9:15 am to 9:24 am and after exit, the strategy reenters on certain conditions. There can be only one reentry per

day for the entire strategy. Whereas leg-based entry and reentry happen the entire day as per market moves. Reentry cutoff time is 2:10 pm day and

exit at 2:49 pm on the expiry day.

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7/17/23, 10:13 PM TradeTron -

Equity Curve

80,000 Equity

60,000

40,000
Statistics
20,000
No Name Value
1 Capital Required Rs. 320000.00
0
2 Total Trading Days 187
3 Win Days -20,000 110
1- 1- 1-Jan-23 1- 1- 1-Apr-23 1- 1-Jun-23 1-Jul-23
4 Loss Days Nov-22 Dec-22 Feb-23 Mar-23 May-2376
5 Max Winning Streak Days Date 8
6 Max Losing Streak Days 5
7 Win Rate 58.82%
8 Avg Monthly Profit Rs. 8474.67
9 Total Profit Rs. 75464.94
10 Avg Monthly ROI 2.65%
11 Total ROI 23.58%
12 Standard Deviation (Annualised) 10.22%
13 Sharpe Ratio (Annualised) 3.11
14 Sortino Ratio (Annualised) 4.26
15 Max Profit in a Day Rs. 4668.75
16 Max Loss in a Day Rs. -4733.75
17 Avg Profit/Loss Daily Rs. 403.56
18 Avg Profit on Profit Days Rs. 1693.69
19 Avg Loss on Loss Days Rs. -1439.50
20 Avg no. of trades (Buy + Sell) per trading day 14.58
21 Max Drawdown Rs. 12476.25
22 Max Drawdown % 3.71 %

Daily Summary
Day Returns (%) Max profit Max loss
Monday -0.31 4606.25 -4676.25
Tuesday 5.96 4562.5 -4723.75
Wednesday 7.29 4668.75 -4661.25
Thursday 3.95 4387.5 -4733.75
Friday 6.69 4207.5 -4510

Month Wise PNL

Month Total Trades PNL (Rs) PNL (%)
Oct, 22 28 4562.5 1.43
Nov, 22 270 7637.5 2.39
Dec, 22 344 -7090 -2.22
Jan, 23 340 12575 3.93
Feb, 23 330 16461.25 5.14
Mar, 23 348 8188.74 2.56
Apr, 23 250 14912.51 4.66
May, 23 346 5858.75 1.83
Jun, 23 302 15206.22 4.75
Jul, 23 168 -2847.52 -0.89

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