• arque algo trader

Backtesting this risk-free options strategy - Short Box!

We applied this arbitrage strategy to Bank Nifty weekly options to see the results.

This popular, risk-free strategy is ideal when option prices are overvalued as compared to the underlying stock.


Strategy set up:

Buy Call B

Sell Call A

Sell Put B

Buy Put A

where B>A


Backtested results are given below.


Profit & loss:



Drawdown:


To further optimize, we added a profit target of 100 points.





As a further step, we added stop loss:






With backtesting, we understand that the original strategy, without target profit & stop loss, offers maximum returns with minimal drawdown.


Avoid losing capital while testing. Validate your strategy by backtesting & optimizing it.


For more information, contact us on algo@arque.tech or call on +91-9321136466.


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