• arque algo trader

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

Where B>A

The portfolio curve looks as below:

banknifty trading strategy long box, backtested results 2019, profit and drawdown

We added a profit target of 100 points to the above system:

banknifty trading strategy long box profit target

To further test, we added a stop loss of 100 points

profit and drawdown of banknifty strtegy backtested data

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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