Now this is just an observation that I have made, when I was back-testing Bollinger Band signals.
1. Nifty Daily Charts
2. Applied S20 Bollinger Bands
3. Have used a threshold level of 2.5% here (the gap between the two bands). [This is slightly a curve fitting move]
4. Have tested this signal on a 3 month long straddle strategy.
Signal 1 : 28th August, 2001
Result : Nifty gave a move of more than 20% on the downside within 19 trading days of the signal occurring, i. e. on 21st September, 2001. From 1070.65 to 849.95
Signal 2 : 17th August, 2010
Result : Nifty gave a move of 16% on the upside within 42 days of the signal occurring, i. e. on 14th October, 2010. From 5414.15 to 6284.1
Signal 3 : 27th December, 2012
Result : Still open. Will end on 28th March, 2013. Until now, Nifty has given only 4% on the upside (from 5780.1 to 6111.8) and 3.5% on the downside (from 5780.1 to 5663.6). Now according to the previous two signals, if we target 13% move in any direction, the target for Nifty before 31st March, 2013 is 6450 on the upside and 5100 on the downside.
Although, none of the targets look likely right now, you never know we might have a major news heading our way and the Index might gap up or down by 100-150 points on any of these days. And continue its move in that direction relentlessly.
I did not enter for the March expiry, as I just stumbled upon this. And as the Index is around the same level, I have entered into a long straddle for May expiry with strike price of 6000-CE and 5600-PE (entered when Index was at 5800). Total premium outgo was around 120. And I will hold until I triple my investment. I am winging it with no stop for the trade. Have put in around 60000 (500 quantity, 10 Lots each). Will book when it becomes 200,000 or let it expire worthless. So am rooting for Nifty to reach 6300 on the upside or 5300 on the downside, at the least.
Let the bashing begin!
1. Nifty Daily Charts
2. Applied S20 Bollinger Bands
3. Have used a threshold level of 2.5% here (the gap between the two bands). [This is slightly a curve fitting move]
4. Have tested this signal on a 3 month long straddle strategy.
Signal 1 : 28th August, 2001
Result : Nifty gave a move of more than 20% on the downside within 19 trading days of the signal occurring, i. e. on 21st September, 2001. From 1070.65 to 849.95
Signal 2 : 17th August, 2010
Result : Nifty gave a move of 16% on the upside within 42 days of the signal occurring, i. e. on 14th October, 2010. From 5414.15 to 6284.1
Signal 3 : 27th December, 2012
Result : Still open. Will end on 28th March, 2013. Until now, Nifty has given only 4% on the upside (from 5780.1 to 6111.8) and 3.5% on the downside (from 5780.1 to 5663.6). Now according to the previous two signals, if we target 13% move in any direction, the target for Nifty before 31st March, 2013 is 6450 on the upside and 5100 on the downside.
Although, none of the targets look likely right now, you never know we might have a major news heading our way and the Index might gap up or down by 100-150 points on any of these days. And continue its move in that direction relentlessly.
I did not enter for the March expiry, as I just stumbled upon this. And as the Index is around the same level, I have entered into a long straddle for May expiry with strike price of 6000-CE and 5600-PE (entered when Index was at 5800). Total premium outgo was around 120. And I will hold until I triple my investment. I am winging it with no stop for the trade. Have put in around 60000 (500 quantity, 10 Lots each). Will book when it becomes 200,000 or let it expire worthless. So am rooting for Nifty to reach 6300 on the upside or 5300 on the downside, at the least.
Let the bashing begin!
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