• arque algo trader

Backtesting this risk-free options strategy - Short Box!

Updated: May 30, 2020

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:


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.

Curious to know more?

5,606 views0 comments