Synthetic Futures episode – 26th May 2019 to 19th June 2020

1. Went from 26L to 33 in 1 month,
Winrate = 50%,
RR = 2.52,
Option points made = 369

2. Mimicking futures points at least by 95%. This is very good as my whole backtesting was on futures.

3. Was able to move to weekly options for both calls and puts (4x -10x more liquid than monthly NF options) and I could see that in the way my orders were getting filled.

4. Cost is around 0.8 points vs 2.8 points for futures. This is a major advantage when you trade bigger sizes as plain futures will start giving good 2-5 pts slippage per trade above 150 lots.

5. Planning to do synthetic futures from hereon ?