need help on bnf

travi

Well-Known Member
#11
Annualised Volatility in %
nifty 15
banknifty 19
TATA Motors 49
Reliance 21
hdfc 20
infy 25
SBI 30
TCS 26
Tata Steel 39
ongc 27
hindalco 48
sun pharma 45

I've pulled out a few on the list of high volatility stock FnO, source:NSE Option Chain data

For starters, it is always better to start with NF and then progress.
Individual stocks are susceptible to manipulation when compared to the indices and therefore one must tread careful on stock FnO.
 

travi

Well-Known Member
#13
Travi we should consider daily volatility. Plus the amount on a 1% change.

Even bnf is very volatile I feel. Better start with nifty. I made a mistake of starting with bnf. Now i have to take all the trades as i know my system is profitable.
That's what I wrote Bhai. See, its NF to start with :D Then BNF.
Anyway, no other index is traded except these two.
 

TradeOptions

Well-Known Member
#14
bank nifty is lot more volatile compared to stock futures.

Any comments or advice based on just point profit of the backtest results without actually knowing rest of the stats such as Sharpe, Win-Loss ratio, Draw-down, Assumed Risk Reward ratio, Capital deployed is meaningless..

For e.g. if you made 300 points in bnf with 1000 winner trades and 1500 loser trades on a capital of 10 cr with drawdown of 1 cr it would be extremely bad.

Also, another aspect of strategy "THE REPAINTING" and its net-net impact of back test result needs to be factored away before treating back-test result as any sort of indication for strategy's health.
Very Important points brother, for proper backtesting. Most traders would not pay this kind of attention during interpreting the backtest results. :thumb:

Thanks a lot
 

TradeOptions

Well-Known Member
#15
Annualised Volatility in %
nifty 15
banknifty 19
TATA Motors 49
Reliance 21
hdfc 20
infy 25
SBI 30
TCS 26
Tata Steel 39
ongc 27
hindalco 48
sun pharma 45

I've pulled out a few on the list of high volatility stock FnO, source:NSE Option Chain data

For starters, it is always better to start with NF and then progress.
Individual stocks are susceptible to manipulation when compared to the indices and therefore one must tread careful on stock FnO.
travi bhai, if we have all the data for all futures contracts in a database, then can we calculate such "Annualized Volatility in %" within database itself, or if that is very complicated formula to be done in SQL Server ? :(

If it could be done in database, then we can easily compare volatility of all different stocks and sectors over different time periods.

Thanks and best regards
 
#16
travi bhai, if we have all the data for all futures contracts in a database, then can we calculate such "Annualized Volatility in %" within database itself, or if that is very complicated formula to be done in SQL Server ? :(



If it could be done in database, then we can easily compare volatility of all different stocks and sectors over different time periods.



Thanks and best regards


If you can tell me the formula to apply, and the SQL Db structure, I can help writing SQL query.




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praveen98

Well-Known Member
#17
i hv been monitoring bnf frm some time,i backtested it & found out tht it is very good as compared 2 stock futs.

pls tell me-
a)i am planning to trade bnf 1 lot in 50-60k cash,is it a right decision?
b)in backtesting,bnf giving only 250-300points per month,is it very poor performance?
Hi Kisna,
My 2 Cents on your question on bnf
a. It depends, if your maximum loss or a losing streak is not more than 50 to 60 points then it is ok to trade with 50K...I am assuming we can recover from 4 to 5% loss.
b. i think it is better to back test for longer periods of time....300 points is ok but there is good scope for improvement...
All the Best.:thumb:
 

TradeOptions

Well-Known Member
#18
If you can tell me the formula to apply, and the SQL Db structure, I can help writing SQL query.

Sent from my iPhone using Tapatalk
Thankyou tarun bhai, but I myself do not know the formula. Let us see if some expert know the actual formula, then we will experiment in SQL Server.

Best Regards

PS: I am sorry for spoiling the thread. I will take the Annualized Volatility related Posts to Volatility Thread of vagar bhai, going forward. As they are more suited there. I will post back BNF volatility data here in this thread, once we are able to successfully calculate it in SQL Server.

Best wishes with you system, kisna bro.
 

travi

Well-Known Member
#19
travi bhai, if we have all the data for all futures contracts in a database, then can we calculate such "Annualized Volatility in %" within database itself, or if that is very complicated formula to be done in SQL Server ? :(

If it could be done in database, then we can easily compare volatility of all different stocks and sectors over different time periods.

Thanks and best regards
Calculation is very simple.
To calculate volatility of a period of data that you have, say,
Jan-16 to Dec-16 Daily Data.

1. Compute daily returns in %, ie. v1 = LN(Today close/prev close) Log to the base e. Same formula as (Equivalent of v1 = (Today close/prev close) -1
You will get roughly 252 values which is % close per day (up or down)
This is your Daily Volatility.

2. Then just calculate Standard Deviation of all those values
STDEV(V1,V2,.... Vlast)

Now, the result of STDEV DVOL in % says, what your daily StDev can be.

3. (Annualised Volatility) => AV = DVOL * sqrt(252)

Note: Some ppl use 365, but 252 is preferred bcos there are roughly 252 trading days and not 365.
 

TradeOptions

Well-Known Member
#20
Calculation is very simple.
To calculate volatility of a period of data that you have, say,
Jan-16 to Dec-16 Daily Data.

1. Compute daily returns in %, ie. v1 = LN(Today close/prev close) Log to the base e. Same formula as (Equivalent of v1 = (Today close/prev close) -1
You will get roughly 242 values which is % close per day (up or down)

2. Then just calcuste Standard Deviation of all those values
STDEV(V1,V2,.... Vlast)

Now, the result of STDEV DVOL in % says, what your daily StDev can be.

3. (Annualised Volatility) => AV = DVOL * sqrt(252)

Note: Some ppl use 365, but 242 is preferred bcos there are roughly 242 trading days and not 365.
Thank you so much for the step by step formula travi bhai. :clap:
I will give it a shot and will revert back in the evening.

Best Regards
 

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