• Rohit Katwal

Failure of Time Based Straddles (Nifty -10%, Bank Nifty -13%)

Straddles based Algorithms failed post 2021 massively. The strategic shift that we saw in market post September 2021, we decided to shift all the portfolio on Algorithms as if we hadn't traded, market would have given easy 2% profit. Despite that from 1st January 2022 the algorithms started to failed. On deeper introspection we found that the time based straddle based algorithms failed.


Here is a trade sheet of 10_20 straddle on Nifty and Bank Nifty.


Tradesheet
.xlsx
Download XLSX • 116KB


Losses from Nifty are less because they were offset by other algorithms running specifically on Nifty


Nifty is -10%

Bank Nifty is - 13%


This had a drastic effect on Portfolio based algorithms and we decided to shut it. Straddles were good when market was trending. In the sideways market they are hitting the stoploss both sides. Had it not been for the other algorithm working as balancing act, portfolio algorithm would have collapsed. Total losses in the mid of February 2022 was -6%. Equity Algorithm allocation was just 15% in the whole portfolio and it prevented the total losses from reaching 12%. Will share the details of others in different post.


Moving forward we only plan to introduce proprietary logical algorithms with better MDD Ratio and least possible monthly/daily loss potential.


Above statistics are on 1 lot of Nifty and 1 lot of Bank Nifty.


Rohit Katwal

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