• arque algo trader

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

Where B>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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