Rolling straddles is a simple option trading system, everyday position is taken at 9:20 AM as market moves when M2M reaches specific levels for example(+1000 or -1000) then position is squared off and new straddle position is entered.
This system gives good profit in rangebound market and Implied Volatility is collapsing or coming down. When IVs increases then options prices increases and position may go in loss.
We have back tested this system with many variations from profit/loss 500 to profit/loss of 2000. What we have observed with this system is lesser the target system takes more trades which will increase the transaction cost.
Drawdown is near to 9% to 12 % in all the combination.