{"id":2029011,"date":"2015-07-10T12:33:22","date_gmt":"2015-07-10T07:03:22","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2029011"},"modified":"2015-07-10T12:33:22","modified_gmt":"2015-07-10T07:03:22","slug":"a-simple-nifty-short-call-butterfly-back-test","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2015\/07\/10\/a-simple-nifty-short-call-butterfly-back-test\/","title":{"rendered":"A Simple NIFTY Short Call Butterfly Back-Test"},"content":{"rendered":"

Monthly moves<\/h3>\n

We saw<\/a> that the NIFTY’s median move over a 30-day period is over 1% and that is all that is required to make a short-call butterfly strategy profitable. Let us now do a quick back-test to check if it is indeed the case.<\/p>\n

Back-test<\/h3>\n

Here is the short-call butterfly back-test from 2010 through now. You basically sell the closest expiry butterfly at each expiry (click to embiggen):<\/p>\n

\"butterfly.returns.NIFTY\"<\/a><\/p>\n

Summary<\/h3>\n

While it is true that a 1% move in the NIFTY results in a profitable trade, there are instances where the NIFTY doesn’t move +\/-1%. When the NIFTY ends flat, you end up losing all your prior profits. Understanding what drives NIFTY to move is key to managing your risk while running this strategy.<\/p>\n","protected":false},"excerpt":{"rendered":"

Monthly moves We saw that the NIFTY’s median move over a 30-day period is over 1% and that is all that is required to make a short-call butterfly strategy profitable. Let us now do a quick back-test to check if it is indeed the case. Back-test Here is the short-call butterfly back-test from 2010 through … <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3561,3391,1200],"class_list":["post-2029011","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-your-money","tag-butterfly","tag-nifty","tag-options","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2029011","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2029011"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2029011\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2029011"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2029011"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2029011"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}