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.

Banknifty Short Straddle:

  • Total P&L: -95,106
  • Insights:
    1. The performance across SL levels is negative, with most losses concentrated between SL 10 to SL 60.
    2. The only positive interval was around 11:45, where small profits were seen across higher SL levels (60–100), resulting in a small overall gain of 418.
    3. The strategy underperformed in the early hours (09:16 to 11:15), with significant losses ranging from -19,000 to -23,000.

Finnifty Short Straddle:

  • Total P&L: -86,551
  • Insights:
    1. Losses were primarily concentrated during the morning session (09:16 to 11:15), where each interval lost over 24,000.
    2. Positive performance was observed between 11:45 to 13:15, with a combined profit of 27,000+, primarily due to gains in SL ranges from 30 to 90.
    3. However, the gains couldn't offset the larger losses from earlier intervals.

Midcpnifty Short Straddle:

  • Total P&L: -210,050
  • Insights:
    1. The strategy performed poorly across all SL levels and time intervals, with no sustained positive trend.
    2. Only the 14:45 interval showed a minor recovery, yielding 4,600, but it was insufficient to offset the significant earlier losses.
    3. Heaviest losses were seen during 13:15 (-30,263), with almost all SL levels showing high negative P&L.

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Nifty Short Straddle:

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  • Total P&L: -253,425
  • Insights:
    • Morning sessions (9:16 to 11:15) recorded the heaviest cumulative losses, particularly at higher SL levels. The 10:15 slot saw a P&L of -74,171, marking a significant drawdown.
    • Positive recovery was observed post 12:15, with intervals like 12:15 and 12:45 showing cumulative gains of 17,295 and 7,530, respectively.
    • 13:15 onwards displayed mixed performance, peaking at 16,054 for 13:15 but then tapering off. Gains during this time window were inconsistent and couldn't reverse the overall losses.‍
    • The 11:45 time interval broke the negative trend with a marginal gain of 9,983, likely driven by a shift in market dynamics.

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