@rsiva1429 I think the crux of strategy is mean reversion and not take directional trades and this is why sl is big and profit is small, it's contra to most strategies and could be a good hedge for other strategies in portfolio. Sometimes unconventional things work better.
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Results look good considering it is quite difficult to make a nifty DTE1. It is interesting to know that simple momentum increase also works in option selling I have never experimented with it, also one more observation that the PE leg does not have re-entry on target which is no...
If the strategy only involves selling than 0.5% is enough but if it's a buying may be 1.5 to 2% slippage is required
@arumugampk if you mean return on capital deployed then it depends on the base capital you are trading with on a higher base even 20-25% annual return in good but on a smaller capital you may not get that kick in a 20% return.
I also think higher expectancy is needed to psychologically stay with the algo also it helps to come out of DD phase faster
@arumugampk I think expectancy on a portfolio level of 0.5 is good and above 1 is exceptional.