simple straddle strategy

Hi,
I've started experimenting/ backtesting some strategies so thought of starting with a real simple one.
Buy both NIFTY calls and puts to the nearest strike of nifty at 930 on first day of series. Sell on closing of series.
Returns 11%(total) in last 3 years.
I know not great, simple savings account will give more but something this simple is +ve seems interesting.
Thoughts/ ideas on refining this?

Regards