Daily Straddle Heatmap - 23rd December, 2024

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 four heatmaps today. Let’s understand what we can learn from them.

1. BankNifty Short Straddle Heatmap

• Insights:
  • SL values range from 10 to 100 in increments of 10.
  • The total P&L across all time slots increases consistently with higher SL levels, peaking at the SL of 100 (Total: 8122).
  • The best-performing time slots appear to be 09:16 (Total: 26,559) and 09:45 (Total: 11,263), primarily due to higher returns at higher SL values.
• Observations:
  • Higher SL levels (e.g., 90 and 100) generally yield positive results, suggesting that allowing trades to run longer before cutting losses benefits this strategy.
  • Lower SL levels (e.g., 10 to 40) consistently lead to significant losses.
  • The 12:15 time slot has mixed results, with only high SL levels (90 and 100) showing slight profitability.

‍

2. MidcapNifty Short Straddle Heatmap

• Insights:
  • High volatility is reflected with significant losses at the 10:45 time slot, especially at lower SL levels, e.g., -3,020 at SL 50.
  • Best performance is seen at the 9:16 and 11:45 time slots, with 26,565 and 5,623, respectively.
  • Total profit: 53,020, though lower SL levels (<50) are prone to larger drawdowns.
• Observations:
  • Entries after 12:15 stabilize, with lower volatility and small consistent profits.
  • SL 50-100 zones show more resilience in handling market fluctuations.

‍

3. Nifty Short Straddle Heatmap

• Insights:
  • Profits are heavily skewed towards the 9:16 entry (29,849).
  • Sharp losses at the 10:45 and 12:15 time slots (-9,895 and -5,395 total).
  • High SL levels (70-100) show steadier results compared to lower SLs, where profits/losses fluctuate more.
  • Total profit: 11,431, significantly lower compared to Finnifty and Midcpnifty.
• Observations:
  • Afternoon entries struggle with consistent losses; caution is needed post-12:15.
  • Lower SL levels (10-50) are not ideal for this index due to higher sensitivity to market movements.

4. Finnifty Short Straddle Heatmap

• Insights:
  • Best performance is observed at the 9:16 entry with a profit of 35,188 across all SL levels, indicating low volatility immediately after the market opens.
  • SL levels of 10 to 40 generally perform better than higher SL levels.
  • After 9:16, profits decrease significantly, and losses are frequent, particularly in the 10:45 to 11:45 time slots.
  • Total profit: 59,401, with consistent performance across higher SL levels.
• Observations:
  • Morning entries (before 10:15) tend to yield higher profits.
  • SL levels of 10 and 20 may not be ideal due to frequent fluctuations.

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