Short straddle backtest
This is a small sample: 15 trades over 22 days. 0 earlier days were skipped because Fyers keeps minute prices only for contracts that are still listed. A result this small cannot show whether the rules work. The point of the page is to show the engine runs end to end on real prices.
Net P&L after costs
-₹17,809
Trades
15
Win rate
33%
Profit factor
0.23
Max drawdown
-₹20,297
Costs paid
₹1,250
Profit and loss
Hover the running total to see the figure after each trade. Rupees, after costs.
How trades ended
| Exit | Trades | Net |
|---|---|---|
| EOD | 6 | +₹4,971 |
| SL | 9 | -₹22,780 |
Trades
| Entry | Exit | Strike | Sold at | Bought back | Net | Why it ended |
|---|---|---|---|---|---|---|
| 10-16 10:00 | 15:15 | 23,050 | 223.2 | 184.2 | +₹2,488 | EOD square-off |
| 10-15 09:45 | 10:00 | 22,650 | 275.9 | 326.2 | -₹3,326 | SL: candle close 324.55 above EMA 309.38 |
| 10-14 11:15 | 15:15 | 22,700 | 290.0 | 278.9 | +₹669 | EOD square-off |
| 10-13 10:30 | 14:30 | 22,350 | 392.6 | 407.1 | -₹1,013 | SL: candle close 405.80 above EMA 392.65 |
| 10-12 13:30 | 14:30 | 22,600 | 394.1 | 406.1 | -₹864 | SL: candle close 407.10 above EMA 402.47 |
| 10-12 09:30 | 11:15 | 22,600 | 358.1 | 410.1 | -₹3,456 | SL: candle close 407.30 above EMA 402.75 |
| 10-09 11:30 | 14:00 | 22,300 | 471.7 | 475.2 | -₹323 | SL: candle close 474.35 above EMA 470.90 |
| 10-08 10:00 | 11:30 | 22,600 | 405.0 | 459.1 | -₹3,602 | SL: candle close 458.85 above EMA 440.25 |
| 10-07 11:45 | 15:15 | 22,700 | 418.7 | 402.1 | +₹999 | EOD square-off |
| 10-06 10:30 | 15:15 | 22,600 | 475.4 | 461.1 | +₹841 | EOD square-off |
| 10-05 10:15 | 15:15 | 22,550 | 513.6 | 508.2 | +₹255 | EOD square-off |
| 10-01 13:45 | 14:00 | 22,550 | 569.5 | 598.9 | -₹2,024 | SL: candle close 598.55 above EMA 583.02 |
| 10-01 09:45 | 12:59 | 22,550 | 524.3 | 614.2 | -₹5,955 | SL: MTM -5,827 <= -5,000 |
| 09-24 10:45 | 13:45 | 23,200 | 529.0 | 561.5 | -₹2,217 | SL: candle close 561.20 above EMA 556.77 |
| 09-23 10:00 | 15:15 | 23,350 | 505.2 | 508.0 | -₹280 | EOD square-off |
Rules used
- Sell one ATM CE and PE together when the combined premium closes below its 50-period EMA and a bearish pattern forms (bearish engulfing, shooting star, evening star).
- Entries between 09:30 and 14:30, at most 2 a day, everything closed by 15:15.
- Exit at a 35% fall in premium, a candle close above the EMA, or a loss of ₹5,000.
- Costs include brokerage, STT, exchange charges, GST and stamp duty. Fills use the next candle's price.