Bank Nifty Option Greek Scalping





Overview
A positional option strategy in Bank Nifty based on Option Greek. It's a skimming strategy where bots take strangle position and operates scalping throughout the week into weekly expiry Bank Nifty strike.


Trading Strategy
Trading bot executes strategy on Bank Nifty (weekly expiry) by analyzing options Greek. Bot executes on first working day of a week and it closes position on Thursday(or expiry day) and operates scalping throughout the week. Trading bot executes maximum of 8-10 trades per week.


December Month ROI
10.33%
Year To Date(YTD) ROI
31.36%
Annualised Return ROI
37.53%
Success Rate
88.64%


Cumulative ROI since 1st March


ROI Per Week


Statistics
Investment Start Date 2021-03-01
Investment End Date 2021-12-31
Number of Trade Weeks 44
Number of winning weeks 39
Number of losing weeks 5
Winning Streak 11
Losing Streak 2
Success Rate 88.64%
Year To Date(YTD) Return 31.36%
Annualised Return 37.53%
Max Drawdown 0.67%