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As promised last week .
Here I am starting tread on data driven trading . That means we will trade Based on past data .
I captured Nifty's 13 Years of the data for this study .
We will assume whatever has happened in past will also happen in future .
here we go -
Here I am starting tread on data driven trading . That means we will trade Based on past data .
I captured Nifty's 13 Years of the data for this study .
We will assume whatever has happened in past will also happen in future .
here we go -
Starting with Nifty Monthly data -
see below pic - Data collected for past 153 months . focus on light blue area . As per data 90% of the time Nifty closed within +-10% range from spot . Also 90% of the time it has not crossed 10% from spot .
see below pic - Data collected for past 153 months . focus on light blue area . As per data 90% of the time Nifty closed within +-10% range from spot . Also 90% of the time it has not crossed 10% from spot .
That Means if we sell options beyond 10% with hedge we can easily earn some profit every month .
See below pic - for strategy
See below pic - for strategy
See in this strategy , we shorted options beyond 10% . That means we will be accurate 90% of the time as per past data .
also we initiated risk defined strategy , means our loss is also limited if strategy went wrong .
also we initiated risk defined strategy , means our loss is also limited if strategy went wrong .
Now when to enter and when to exit : -
Enter on last week of expiry for next month . Ex . If you wants to trade for July , enter in June last week.
Exit – if ur getting more than 2% returns on capital exit or exit/adjust if the break even point on either side is touched .
Enter on last week of expiry for next month . Ex . If you wants to trade for July , enter in June last week.
Exit – if ur getting more than 2% returns on capital exit or exit/adjust if the break even point on either side is touched .
For monthly strategy this thread ends here .
Next is weekly data : -
Next is weekly data : -
See below Pic . 663 Weeks data analysed. As per data 95% of the time Nifty trades withing 5 % range on weekly time frame . That means if we sell nifty weekly options beyond 5% range with hedge we can earn some profit every week .
General observations : -
1. Weekly options are very volatile as compared to monthly .
2. If ur getting 1% return on your strategy just exit and relax
3. If ur getting Max 1-2 % loss on your strategy , just exit and relax .
1. Weekly options are very volatile as compared to monthly .
2. If ur getting 1% return on your strategy just exit and relax
3. If ur getting Max 1-2 % loss on your strategy , just exit and relax .
4. If ur breakeven is more than 5% on both side . you entered on Friday at 15:00 Hrs & Monday opening is flat then you will get 1% returns on Monday itself . So exit and book profit , wait for next Friday.
Risk :- BIG GAP UP OR GAP DOWN .
Risk :- BIG GAP UP OR GAP DOWN .
Good strategies : -
Iron condor
Ratio spreads on both call and put side .
Bear Call and Bull Put spread based on view .
Always create risk defined strategies .
Iron condor
Ratio spreads on both call and put side .
Bear Call and Bull Put spread based on view .
Always create risk defined strategies .
Those who wants to capture weekend Theta following data is for you : -
As per data 90 % of the time Nifty opened flat may be up 0.5% - 1% range from fridays closing .
As per data 90 % of the time Nifty opened flat may be up 0.5% - 1% range from fridays closing .
COMBINE BOTH WEEKLY POSITIONAL AND WEEKEND THETA STRATEGY IN A SINGLE STRATEGY.
CREATE ONE STRATEGY HAVING BREAKEVEN POINT MORE THAN 5 % ON BOTH SIDE .
ENTRY – FRIDAY 15:00 HRS . EXIT – MONDAY 09:30 HRS. OR 2% LOSS SL EXIT.
RISK - BIG GAP-UP / GAP DOWN
CREATE ONE STRATEGY HAVING BREAKEVEN POINT MORE THAN 5 % ON BOTH SIDE .
ENTRY – FRIDAY 15:00 HRS . EXIT – MONDAY 09:30 HRS. OR 2% LOSS SL EXIT.
RISK - BIG GAP-UP / GAP DOWN
Before deploying any strategy please check break-even point are more than 5% away from spot . Exit ur getting profit up to 1% or if ur breakeven point is touched .
This thread ends here . Please feel free to ask for any doubts . Retweet it if you liked .
This thread ends here . Please feel free to ask for any doubts . Retweet it if you liked .
