Instead of directly backtesting with strangles or straddles, start with observing market movements. I asked ChatGPT to plot multiple possible intraday movements. Accordingly I can now design strategy that can capitalise these moves. Strategy design time is now reduced drastically.
Key is to break down the 6 hours (9:15 to 3:15) into multiple segments. When you dissect the time frames and deploy multiple strategies it becomes easier to find the alpha.
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