Backtest intraday straddle options strategy

Project Info:

Sell Straddle (ATM Call and ATM Put option) when entry conditions (as specified by client) are satisifed. Individual leg/both legs are closed when stop loss (as specified by client) is hit. This strategy makes money from intraday time decay specially when option is close to its expiry.

Sample Customizations

  • Entry: At 9:30 AM, short 1 lot of Nifty ATM Call and 1 lot of Nifty ATM Put option of nearest weekly expiry.
  • Individual Leg Stop Loss: Place stop loss of 25% (of the premium) on each leg.
  • Combined leg Stop Loss: Place combined stop loss of 15% on combined premium.
  • Trailing Stop Loss: Trail stop loss at 20% on each leg
  • Time Exit: Close position at end of the day at 3:15 PM

Specifications

  • Language: Python
  • Timeline: 5 Days
  • Deliverable: Python Source Code
  • Cost: $300 - $500
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