{4-Dec-2023} Nifty +'ve Delta weekly Straddle Returns , after Nifty is up 5 days in row

{4-Dec-2023} Nifty +'ve Delta weekly Straddle Returns , after Nifty is up 5 days in row

{4-Dec-2023} Nifty +'ve Delta weekly Straddle Returns , after Nifty is up 5 days in row

Trading Strategy Rules:

• Nifty is exactly up for 5 days in row, &

• Short ATM+100 PE & ATM+100 CE nearest weekly , nearest 100 strike at close &

• with a notional leverage of 4x ( that is 20000*50 = 10lakhs/4 , approximately 1 short straddle contract for a 2.5 Lakhs trading capital) &

• exit at t+1 at close

below the back-test performance summary since Feb 2019

Equity curve of the above option trading strategy

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