Backtested Results of the Long Box Strategy with Optimization
Updated: May 30, 2020
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.
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