Daily Straddle Heatmap

AlgoTest heatmaps make it easier for you to understand a clear picture of your trading performance. These heatmaps visually represent data like time, performance metrics, and win rates. Think of them as a map highlighting where your strategies work best and where they stumble. For example, a heatmap might reveal that trades during certain hours of the day consistently yield higher profits.

We are taking three heatmaps today. Let’s understand what we can learn from them.

1. BankNifty Short Straddle Heatmap

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  • Highest Profits:some text
    • SL levels of 70-100 consistently showed positive returns across time intervals, especially at 09:16 and 10:15, with totals of 2235 and 3754.
  • Worst Losses:some text
    • SL levels of 10-50 around the 10:45 and 11:15 time slots, with significant losses like -6000 and -4316, respectively.
  • Insights:some text
    • Wider SL levels (70-100) were more effective and consistently profitable.
    • Early morning entries (e.g., 09:16) seem less volatile compared to mid-day.
  • Total P/L: -10,762 (cumulative loss across SL levels).

2. MidcapNifty Short Straddle Heatmap

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  • Highest Profits:some text
    • Positive results were sparse but observed early in the day at SL 10-40 during the 09:16 time interval (e.g., 2533, 1740, and 995).
  • Worst Losses:some text
    • Significant losses across almost all SL levels after 09:45, with -14,873 at 09:45 and -10,953 at 11:15.
    • SL levels 50-100 were consistently negative for the entire day.
  • Insights:some text
    • This strategy performed poorly for MidcapNifty, especially in tighter SL levels, which might indicate higher volatility.
    • Early gains at open were not sustained throughout the day.
  • Total P/L: -76,128 (significant cumulative loss).

3. Nifty Short Straddle Heatmap

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  • Highest Profits:some text
    • Consistent positive returns across all SL levels, especially 70-100.
    • The 09:16 and 11:15 intervals were the most profitable, contributing significantly with totals of 37,528 and 8,305, respectively.
  • Worst Losses:some text
    • Minimal losses observed, limited to early trades with tight SL levels (e.g., 10-20 around 10:45).
  • Insights:some text
    • This strategy worked very well for Nifty, with broader SL levels being consistently profitable.
    • The strategy has excellent potential when focused on higher SL levels and earlier time intervals.
  • Total P/L: 83,893 (strong cumulative profit).

4. Finnifty Short Straddle Heatmap

Highest Profits:

Positive results were minimal but observed early in the day at SL 30-100 during the 09:16 and 09:45 intervals.

  • For 09:16, SL 30-100 yielded consistent profits of +310 across all levels.
  • For 09:45, SL 30-100 delivered +263 each.

Worst Losses:

Significant losses occurred across most SL levels after 09:45, with particularly heavy losses in tight SL levels:

  • 10:45: -1,150 at SL 20 and -493 at SL 30-100.
  • 11:15: -1,194 at SL 20 and -400 at SL 30-100.
  • SL 10-20 performed the worst throughout the day, as frequent stop-loss hits due to volatility drove substantial losses.

Insights:

  • Profits were short-lived, with gains seen only in the early morning (09:16 and 09:45).
  • Tighter SL levels (10-20) performed poorly across all intervals, highlighting the impact of Finnifty’s volatility.
  • Wider SL levels (30-100) avoided extreme losses but still underperformed significantly after 10:45.
  • Overall, this strategy was ineffective for Finnifty, with no profitable time intervals after 09:45.

Total P/L:

-22,050 (significant cumulative loss)

You can also check heatmaps for MidCapNifty, Nifty, BankNifty, and FinNifty across different dimensions to better understand market trends.

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