Backtested Results of the Long Box Strategy with Optimization
Updated: May 30
This is a popular strategy used by many traders. We applied it to Banknifty and backtested the results for 2019.
Strategy set up:
Buy Call strike A
Sell Call strike B
Buy Put strike B
Sell Put strike A
The portfolio curve looks as below:
We added a profit target of 100 points to the above system:
To further test, we added a stop loss of 100 points
On comparison we can surmise that the long box strategy without any profit target or stop loss gives maximum profit with limited drawdown.
To receive updates on our trading strategies & backtesting results, sign up here.
Want to backtest your strategy? Write to us on firstname.lastname@example.org