Nifty short straddle performance on Budget day
Trading strategy rules
Short ATM PE & Short ATM CE, nearest monthly nearest 100 strike 1 trading day ahead of Union Budget day &
Exit at close of the Union Budget day.
The Nifty Monthly Short Straddle trading strategy, implemented before the Budget, has an Outlier-Adjusted Profit Factor (OAPF) of 2.06. The average profit for this strategy stands at 16 points, and the median profit is 32. In the case of a winning trade, it generates 36 points, while the loss from a losing trade is -60 points, and the maximum loss stands at -195 points (on Feb 1, 2021). Overall, this strategy has a win rate of 79%.