3 Day SMA Trading

[augubhai]

I had done similar testing for my 5sma system. The results were similar. As you say there was a prolonged draw down for 2yrs. The actual draw-down will be worse as because you won't be able to buy/sell exactly at the next day open as the computer does. Can an individual tolerate such prolonged draw down? In fact I got discouraged because of this and don't use this system anymore for Nifty. I have been trying to find methods of reducing such draw-downs.

So the question is how you reduce the drawdowns. What can we do to minimize drawdowns in ranging whipsawing markets? And what can we do to minimize risk when we are positioned incorrectly - gap downs against us, etc? How do we make money in a when we are positioned correctly?

Let us discuss Nifty first. In my next post.

I am enumerating some of my findings/opinion below:

1.Trade this system only when all the 3 SMAs (ie 5-13-35) are moving in the same direction serially.
2. Trade the system only when ADX(14) is greater than 25.
3. Draw a MA of your equity, say 20SMA, and stop trading or do nominal trading when your equity goes below the MA. Again resume trading with full lots when the equity curve crosses above the MA.
Of the 3 options No. 3 seems to be the most promising. I have not been able to test these conclusions in the futures market or with nifty future as that would require a large capital and I wont be able to adjust my position size according to my liking. ( I trade with a small capital). But I am trading the system successfully on USDINR and Goldguinea successfully as that allows me to adjust my position size to my liking.
This brings us to the 4th method of reducing draw-down i.e. trade an instrument which is in a strong trend and where you can adjust your position size to your comfort level.
I would like to add that NTrader's advice on adding additional units at every close in your chosen trade direction in combination with the above may reduce draw-down further.

I hope this helps.

Laksh

I have some observations on Money Management for a system that has a positive expectancy. My observations may seem silly. I have a lot of experience in losing money on systems with positive expectancy...

 

[augubhai]

For Nifty, I trade this system with options. I check if the SMA of the near month Future is pointing up or down, and take a position in Options. Generally, I initiate position with the just OTM option of the near month series.

As I said earlier, the analysis done on the 3 SMA of the Index is just to check that the system has positive expectancy. I have not done the analysis with historical data of Nifty Options. It will take time, but I plan to analyze the Nifty Options historical data at some point. But for now, I am just going with what i have...

Why Options? Why not Futures?
Well, it is because Options are the mechanism to protect us from drawdowns on this system, if you take care of a few greeks.

When do we have drawdowns in this system?
1. When we are positioned on the wrong side of a move - intraday or gap.
2. Whipsaw periods - frequent entries and exits at same price or loss
Please add to this list, so we can analyze other situations that I have not listed.

When do we make money in this system?
1. When we have a good move in our direction - again the move can be sudden or gradual without whipsaws.

What do the greeks do to help our system. (All the statements below are just assumptions, and not been tested thoroughly)
Vega (volatility) - does not matter much for our system. There may be periods when we buy options at high vega and sell at low vega, and lose some vega money. But there will be other periods when we buy options at low vega and sell at high vega, and gain some vega money. so the scenarios cancel each other. We also lose vega money when the we buy an OTM option at high vega, and it becomes deep ITM, but I am treating this as negligible

Theta (Time Value) - Since I buy options, theta money keeps dripping away day by day, hour by hour. No choice here. This is the insurance premium that we pay for mimimizing big losses. But, when there is a move in our favor, in most cases increase in delta compensates for the theta loss (delta decrease in case of puts). When we are in a losing trade, "usually" the trade does not last too many days, so theta loss may not be much.

Delta (correlation to underlying) - I trade based on the SMA of the Future, not the Index. When the move is in our favor, Delta is our best friend and goes towards 1. When it is against us, Delta does not decrease as fast. (I am talking Calls here, for Puts it is vice versa but Delta is still out friend .
Increase in Delta is also an in-built scale-in mechanism for the system. I mean, I enter an OTM option with Delta < 0.5. If I get a favorable move, and the options becomes ITM, the Delta increases and amd may go to 1 if it becomes deep ITM. If Delta of 0.5 becomes 1, then isn't it same as doubling the position size?

Hope this makes sense, and if it makes sense, then we can analyze a few scenarios on the charts.

Also to add: I only trade Nifty with Options. While trading this system on commodities or currencies, there is no option nut Futures (pun ).

 

[NTrader42]

Hi

Thanks for the basics of the system. I think I am getting the basics concept, now i will need to look at the options back data and possible trades to understand it better. So some homework remains pending form my side

One questions, the options behave differently depending upon how near to expiry they are. For this system lets say we will consider 4 weeks of life span for the near month options. My question, does the choice for OTM Strike Price also depend on where we are in the expiry.

Lets say if we are 4 weeks from expiry or we are 1 week from expiry do we choose the strike price differently in these scenarios?

Thanks
NT

 

[Laksh]

For Nifty, I trade this system with options. I check if the SMA of the near month Future is pointing up or down, and take a position in Options. Generally, I initiate position with the just OTM option of the near month series.

As I said earlier, the analysis done on the 3 SMA of the Index is just to check that the system has positive expectancy. I have not done the analysis with historical data of Nifty Options. It will take time, but I plan to analyze the Nifty Options historical data at some point. But for now, I am just going with what i have...

Why Options? Why not Futures?
Well, it is because Options are the mechanism to protect us from drawdowns on this system, if you take care of a few greeks.

When do we have drawdowns in this system?
1. When we are positioned on the wrong side of a move - intraday or gap.
2. Whipsaw periods - frequent entries and exits at same price or loss
Please add to this list, so we can analyze other situations that I have not listed.

When do we make money in this system?
1. When we have a good move in our direction - again the move can be sudden or gradual without whipsaws.

What do the greeks do to help our system. (All the statements below are just assumptions, and not been tested thoroughly)
Vega (volatility) - does not matter much for our system. There may be periods when we buy options at high vega and sell at low vega, and lose some vega money. But there will be other periods when we buy options at low vega and sell at high vega, and gain some vega money. so the scenarios cancel each other. We also lose vega money when the we buy an OTM option at high vega, and it becomes deep ITM, but I am treating this as negligible

Theta (Time Value) - Since I buy options, theta money keeps dripping away day by day, hour by hour. No choice here. This is the insurance premium that we pay for mimimizing big losses. But, when there is a move in our favor, in most cases increase in delta compensates for the theta loss (delta decrease in case of puts). When we are in a losing trade, "usually" the trade does not last too many days, so theta loss may not be much.

Delta (correlation to underlying) - I trade based on the SMA of the Future, not the Index. When the move is in our favor, Delta is our best friend and goes towards 1. When it is against us, Delta does not decrease as fast. (I am talking Calls here, for Puts it is vice versa but Delta is still out friend .
Increase in Delta is also an in-built scale-in mechanism for the system. I mean, I enter an OTM option with Delta < 0.5. If I get a favorable move, and the options becomes ITM, the Delta increases and amd may go to 1 if it becomes deep ITM. If Delta of 0.5 becomes 1, then isn't it same as doubling the position size?

Hope this makes sense, and if it makes sense, then we can analyze a few scenarios on the charts.

Also to add: I only trade Nifty with Options. While trading this system on commodities or currencies, there is no option nut Futures (pun ).

Interesting idea. Need to be explored further. Are u actually trading Nifty with OTM option. If so how long and with what result?

 

[Laksh]

Hi

Thanks for the basics of the system. I think I am getting the basics concept, now i will need to look at the options back data and possible trades to understand it better. So some homework remains pending form my side

One questions, the options behave differently depending upon how near to expiry they are. For this system lets say we will consider 4 weeks of life span for the near month options. My question, does the choice for OTM Strike Price also depend on where we are in the expiry.

Lets say if we are 4 weeks from expiry or we are 1 week from expiry do we choose the strike price differently in these scenarios?

Thanks
NT

In my opinion it will be better to go into the next series of OTM options with only 1 wk left to near options expiry.

Laksh

 

[timepass]

When do we have drawdowns in this system?
1. When we are positioned on the wrong side of a move - intraday or gap.

Can't the gaps be taken care of by selling a call and a put ??

 

[NTrader42]

Hi

Here is some basic analysis without the options data

[B]Sr No.	Ticker		Date		Close	SMA-3	   Trade	 SP	Close _Open_Pos	Nifty Diff[/B]
1	Nifty_F1	4-Jun-2008	4568.00	4664.67	BUY _ PUT	4400	We Start Here	0
2	Nifty_F1	12-Jun-2008	4511.00	4478.00	BUY CALL	4700	SELL PUT	-57
3	Nifty_F1	19-Jun-2008	4475.00	4551.67	BUY _ PUT	4300	SELL CALL	-36
4	Nifty_F1	4-Jul-2008	3967.00	3965.00	BUY CALL	4200	SELL PUT	-508
5	Nifty_F1	7-Jul-2008	3972.00	3937.67	BUY - PUT	3800	SELL CALL	5
6	Nifty_F1	8-Jul-2008	3912.00	3950.33	BUY CALL	4100	SELL PUT	-60
7	Nifty_F1	14-Jul-2008	4012.00	4052.00	BUY - PUT	3800	SELL CALL	100
8	Nifty_F1	18-Jul-2008	4056.00	3915.00	BUY CALL	4300	SELL PUT	44
9	Nifty_F1	28-Jul-2008	4333.00	4368.00	BUY - PUT	4100	SELL CALL	277
10	Nifty_F1	30-Jul-2008	4330.00	4284.00	BUY CALL	4500	SELL PUT	-3
11	Nifty_F1	14-Aug-2008	4438.00	4522.67	BUY - PUT	4200	SELL CALL	108
12	Nifty_F1	20-Aug-2008	4443.00	4418.33	BUY CALL	4600	SELL PUT	5
13	Nifty_F1	21-Aug-2008	4270.00	4373.67	BUY - PUT	4100	SELL CALL	-173
14	Nifty_F1	26-Aug-2008	4356.00	4332.33	BUY CALL	4600	SELL PUT	86
15	Nifty_F1	27-Aug-2008	4296.00	4326.33	BUY - PUT	4100	SELL CALL	-60
16	Nifty_F1	29-Aug-2008	4360.00	4289.33	BUY CALL	4600	SELL PUT	64
17	Nifty_F1	8-Sep-2008	4498.00	4441.33	BUY - PUT	4300	SELL CALL	138
18	Nifty_F1	9-Sep-2008	4479.00	4448.33	BUY CALL	4700	SELL PUT	-19
19	Nifty_F1	11-Sep-2008	4306.00	4400.67	BUY - PUT	4100	SELL CALL	-173
20	Nifty_F1	19-Sep-2008	4280.00	4106.33	BUY CALL	4500	SELL PUT	-26
21	Nifty_F1	24-Sep-2008	4160.00	4173.67	BUY - PUT	4000	SELL CALL	-120
22	Nifty_F1	15-Oct-2008	3335.00	3464.67	BUY CALL	3500	SELL PUT	-825
23	Nifty_F1	16-Oct-2008	3269.00	3371.00	BUY - PUT	3100	SELL CALL	-66
24	Nifty_F1	22-Oct-2008	3052.00	3152.67	BUY CALL	3300	SELL PUT	-217
25	Nifty_F1	23-Oct-2008	2953.00	3082.67	BUY - PUT	2800	SELL CALL	-99
26	Nifty_F1	30-Oct-2008	2721.00	2646.33	BUY CALL	2900	SELL PUT	-232
27	Nifty_F1	6-Nov-2008	2893.00	3005.00	BUY - PUT	2700	SELL CALL	172
28	Nifty_F1	10-Nov-2008	3078.00	2995.00	BUY CALL	3300	SELL PUT	185
29	Nifty_F1	12-Nov-2008	2849.00	2945.67	BUY - PUT	2600	SELL CALL	-229
30	Nifty_F1	24-Nov-2008	2761.00	2693.67	BUY CALL	3000	SELL PUT	-88
31	Nifty_F1	27-Nov-2008	2756.00	2722.67	BUY - PUT	2600	SELL CALL	-5
32	Nifty_F1	28-Nov-2008	2728.00	2744.00	BUY CALL	2900	SELL PUT	-28
33	Nifty_F1	1-Dec-2008	2613.00	2699.00	BUY - PUT	2400	SELL CALL	-115
34	Nifty_F1	4-Dec-2008	2802.00	2693.00	BUY CALL	3000	SELL PUT	189
35	Nifty_F1	23-Dec-2008	2964.00	3011.00	BUY - PUT	2800	SELL CALL	162
36	Nifty_F1	29-Dec-2008	2948.00	2930.33	BUY CALL	3100	SELL PUT	-16
37	Nifty_F1	7-Jan-2009	2910.00	3053.67	BUY - PUT	2700	SELL CALL	-38
38	Nifty_F1	16-Jan-2009	2815.00	2760.00	BUY CALL	3000	SELL PUT	-95
39	Nifty_F1	20-Jan-2009	2755.00	2773.67	BUY - PUT	2600	SELL CALL	-60
40	Nifty_F1	26-Jan-2009	2714.00	2682.67	BUY CALL	2900	SELL PUT	-41
41	Nifty_F1	2-Feb-2009	2774.00	2810.67	BUY - PUT	2600	SELL CALL	60
42	Nifty_F1	3-Feb-2009	2809.00	2815.00	BUY CALL	3000	SELL PUT	35
43	Nifty_F1	4-Feb-2009	2777.00	2786.67	BUY - PUT	2600	SELL CALL	-32
44	Nifty_F1	5-Feb-2009	2812.00	2799.33	BUY CALL	3000	SELL PUT	35
45	Nifty_F1	16-Feb-2009	2781.00	2883.33	BUY - PUT	2600	SELL CALL	-31
46	Nifty_F1	24-Feb-2009	2757.00	2721.33	BUY CALL	3000	SELL PUT	-24
47	Nifty_F1	25-Feb-2009	2719.00	2717.00	BUY - PUT	2500	SELL CALL	-38
48	Nifty_F1	26-Feb-2009	2733.00	2736.33	BUY CALL	2900	SELL PUT	14
49	Nifty_F1	27-Feb-2009	2728.00	2726.67	BUY - PUT	2500	SELL CALL	-5
50	Nifty_F1	6-Mar-2009	2605.00	2588.00	BUY CALL	2800	SELL PUT	-123
51	Nifty_F1	9-Mar-2009	2535.00	2562.33	BUY - PUT	2300	SELL CALL	-70
52	Nifty_F1	12-Mar-2009	2626.00	2588.67	BUY CALL	2800	SELL PUT	91
53	Nifty_F1	1-Apr-2009	3030.00	3020.67	BUY - PUT	2800	SELL CALL	404
54	Nifty_F1	2-Apr-2009	3224.00	3098.00	BUY CALL	3400	SELL PUT	194
55	Nifty_F1	20-Apr-2009	3375.00	3379.33	BUY - PUT	3200	SELL CALL	151
56	Nifty_F1	23-Apr-2009	3443.00	3380.67	BUY CALL	3600	SELL PUT	68
57	Nifty_F1	28-Apr-2009	3357.00	3431.33	BUY - PUT	3200	SELL CALL	-86
58	Nifty_F1	4-May-2009	3649.00	3492.67	BUY CALL	3800	SELL PUT	292
59	Nifty_F1	8-May-2009	3624.00	3646.67	BUY - PUT	3400	SELL CALL	-25
60	Nifty_F1	12-May-2009	3686.00	3621.00	BUY CALL	3900	SELL PUT	62
61	Nifty_F1	21-May-2009	4225.00	4273.00	BUY - PUT	4000	SELL CALL	539
62	Nifty_F1	27-May-2009	4278.00	4205.33	BUY CALL	4500	SELL PUT	53
63	Nifty_F1	8-Jun-2009	4417.00	4524.33	BUY - PUT	4200	SELL CALL	139
64	Nifty_F1	10-Jun-2009	4661.00	4545.00	BUY CALL	4900	SELL PUT	244
65	Nifty_F1	15-Jun-2009	4542.00	4620.33	BUY - PUT	4300	SELL CALL	-119
66	Nifty_F1	25-Jun-2009	4240.00	4256.67	BUY CALL	4400	SELL PUT	-302
67	Nifty_F1	1-Jul-2009	4337.00	4343.67	BUY - PUT	4100	SELL CALL	97
68	Nifty_F1	3-Jul-2009	4417.00	4362.33	BUY CALL	4600	SELL PUT	80
69	Nifty_F1	6-Jul-2009	4155.00	4301.67	BUY - PUT	4000	SELL CALL	-262
70	Nifty_F1	14-Jul-2009	4130.00	4020.33	BUY CALL	4300	SELL PUT	-25
71	Nifty_F1	29-Jul-2009	4496.00	4546.00	BUY - PUT	4300	SELL CALL	366
72	Nifty_F1	3-Aug-2009	4726.00	4597.33	BUY CALL	4900	SELL PUT	230
73	Nifty_F1	6-Aug-2009	4585.00	4651.00	BUY - PUT	4400	SELL CALL	-141
74	Nifty_F1	12-Aug-2009	4471.00	4440.67	BUY CALL	4700	SELL PUT	-114
75	Nifty_F1	17-Aug-2009	4374.00	4517.67	BUY - PUT	4200	SELL CALL	-97
76	Nifty_F1	20-Aug-2009	4447.00	4433.67	BUY CALL	4600	SELL PUT	73
77	Nifty_F1	31-Aug-2009	4667.00	4694.33	BUY - PUT	4500	SELL CALL	220
78	Nifty_F1	4-Sep-2009	4691.00	4627.67	BUY CALL	4900	SELL PUT	24
79	Nifty_F1	25-Sep-2009	4959.00	4969.67	BUY - PUT	4800	SELL CALL	268
80	Nifty_F1	29-Sep-2009	4995.00	4979.67	BUY CALL	5200	SELL PUT	36
81	Nifty_F1	6-Oct-2009	5037.00	5038.33	BUY - PUT	4800	SELL CALL	42
82	Nifty_F1	12-Oct-2009	5054.00	4988.67	BUY CALL	5300	SELL PUT	17
83	Nifty_F1	20-Oct-2009	5105.00	5121.33	BUY - PUT	4900	SELL CALL	51
84	Nifty_F1	5-Nov-2009	4796.00	4653.67	BUY CALL	5000	SELL PUT	-309
85	Nifty_F1	18-Nov-2009	4982.00	5030.00	BUY - PUT	4800	SELL CALL	186
86	Nifty_F1	19-Nov-2009	5074.00	5036.33	BUY CALL	5300	SELL PUT	92
87	Nifty_F1	25-Nov-2009	5004.00	5062.00	BUY - PUT	4800	SELL CALL	-70
88	Nifty_F1	30-Nov-2009	5128.00	5052.00	BUY CALL	5300	SELL PUT	124
89	Nifty_F1	3-Dec-2009	5127.00	5120.33	BUY - PUT	4900	SELL CALL	-1
90	Nifty_F1	7-Dec-2009	5156.00	5113.67	BUY CALL	5400	SELL PUT	29
91	Nifty_F1	8-Dec-2009	5125.00	5113.00	BUY - PUT	4900	SELL CALL	-31
92	Nifty_F1	9-Dec-2009	5127.00	5136.00	BUY CALL	5300	SELL PUT	2
93	Nifty_F1	10-Dec-2009	5110.00	5120.67	BUY - PUT	4900	SELL CALL	-17
94	Nifty_F1	22-Dec-2009	5154.00	5029.00	BUY CALL	5400	SELL PUT	44
95	Nifty_F1	7-Jan-2010	5255.00	5267.33	BUY - PUT	5100	SELL CALL	101
96	Nifty_F1	13-Jan-2010	5261.00	5236.67	BUY CALL	5500	SELL PUT	6
97	Nifty_F1	18-Jan-2010	5222.00	5247.00	BUY - PUT	5000	SELL CALL	-39
98	Nifty_F1	2-Feb-2010	4920.00	4878.33	BUY CALL	5100	SELL PUT	-302
99	Nifty_F1	3-Feb-2010	4838.00	4858.33	BUY - PUT	4600	SELL CALL	-82
100	Nifty_F1	9-Feb-2010	4754.00	4768.33	BUY CALL	5000	SELL PUT	-84
101	Nifty_F1	18-Feb-2010	4846.00	4876.33	BUY - PUT	4600	SELL CALL	92
102	Nifty_F1	23-Feb-2010	4866.00	4863.67	BUY CALL	5100	SELL PUT	20
103	Nifty_F1	21-Mar-2010	5205.00	5242.33	BUY - PUT	5000	SELL CALL	339
104	Nifty_F1	28-Mar-2010	5321.00	5268.00	BUY CALL	5500	SELL PUT	116
105	Nifty_F1	31-Mar-2010	5303.00	5276.33	BUY - PUT	5100	SELL CALL	-18
106	Nifty_F1	4-Apr-2010	5365.00	5310.00	BUY CALL	5600	SELL PUT	62
107	Nifty_F1	7-Apr-2010	5290.00	5346.33	BUY - PUT	5100	SELL CALL	-75
108	Nifty_F1	12-Apr-2010	5328.00	5347.00	BUY CALL	5500	SELL PUT	38
109	Nifty_F1	14-Apr-2010	5273.00	5316.33	BUY - PUT	5100	SELL CALL	-55
110	Nifty_F1	21-Apr-2010	5255.00	5241.67	BUY CALL	5500	SELL PUT	-18
111	Nifty_F1	27-Apr-2010	5222.00	5282.00	BUY - PUT	5000	SELL CALL	-33
112	Nifty_F1	2-May-2010	5223.00	5242.00	BUY CALL	5400	SELL PUT	1
113	Nifty_F1	3-May-2010	5129.00	5203.33	BUY - PUT	4900	SELL CALL	-94
114	Nifty_F1	9-May-2010	5206.00	5109.67	BUY CALL	5400	SELL PUT	77
115	Nifty_F1	12-May-2010	5181.00	5151.67	BUY - PUT	5000	SELL CALL	-25
116	Nifty_F1	25-May-2010	4908.00	4875.33	BUY CALL	5100	SELL PUT	-273
117	Nifty_F1	31-May-2010	4940.00	5010.67	BUY - PUT	4700	SELL CALL	32
118	Nifty_F1	2-Jun-2010	5096.00	5016.67	BUY CALL	5300	SELL PUT	156
119	Nifty_F1	7-Jun-2010	4964.00	5035.00	BUY - PUT	4800	SELL CALL	-132
120	Nifty_F1	9-Jun-2010	5089.00	5019.67	BUY CALL	5300	SELL PUT	125
121	Nifty_F1	23-Jun-2010	5319.00	5327.33	BUY - PUT	5100	SELL CALL	230
122	Nifty_F1	29-Jun-2010	5318.00	5307.33	BUY CALL	5500	SELL PUT	-1
123	Nifty_F1	30-Jun-2010	5257.00	5280.67	BUY - PUT	5100	SELL CALL	-61
124	Nifty_F1	5-Jul-2010	5297.00	5260.67	BUY CALL	5500	SELL PUT	40
125	Nifty_F1	15-Jul-2010	5399.00	5387.33	BUY - PUT	5200	SELL CALL	102
126	Nifty_F1	18-Jul-2010	5385.00	5389.00	BUY CALL	5600	SELL PUT	-14
127	Nifty_F1	19-Jul-2010	5350.00	5378.00	BUY - PUT	5200	SELL CALL	-35
128	Nifty_F1	21-Jul-2010	5446.00	5398.00	BUY CALL	5600	SELL PUT	96
129	Nifty_F1	26-Jul-2010	5431.00	5430.00	BUY - PUT	5200	SELL CALL	-15
130	Nifty_F1	1-Aug-2010	5439.00	5405.00	BUY CALL	5600	SELL PUT	8
131	Nifty_F1	10-Aug-2010	5403.00	5446.67	BUY - PUT	5200	SELL CALL	-36
132	Nifty_F1	15-Aug-2010	5416.00	5429.33	BUY CALL	5600	SELL PUT	13
133	Nifty_F1	23-Aug-2010	5507.00	5519.33	BUY - PUT	5300	SELL CALL	91
134	Nifty_F1	31-Aug-2010	5474.00	5432.67	BUY CALL	5700	SELL PUT	-33
135	Nifty_F1	22-Sep-2010	5966.00	5990.33	BUY - PUT	5800	SELL CALL	492
136	Nifty_F1	23-Sep-2010	6030.00	5995.67	BUY CALL	6200	SELL PUT	64
137	Nifty_F1	28-Sep-2010	5996.00	6032.00	BUY - PUT	5800	SELL CALL	-34
138	Nifty_F1	30-Sep-2010	6175.00	6067.00	BUY CALL	6400	SELL PUT	179
139	Nifty_F1	6-Oct-2010	6140.00	6174.67	BUY - PUT	5900	SELL CALL	-35
140	Nifty_F1	12-Oct-2010	6270.00	6175.67	BUY CALL	6500	SELL PUT	130
141	Nifty_F1	14-Oct-2010	6075.00	6177.67	BUY - PUT	5900	SELL CALL	-195
142	Nifty_F1	21-Oct-2010	6082.00	6069.33	BUY CALL	6300	SELL PUT	7
143	Nifty_F1	25-Oct-2010	6104.00	6106.00	BUY - PUT	5900	SELL CALL	22
144	Nifty_F1	31-Oct-2010	6151.00	6056.33	BUY CALL	6400	SELL PUT	47
145	Nifty_F1	10-Nov-2010	6233.00	6293.67	BUY - PUT	6000	SELL CALL	82
146	Nifty_F1	21-Nov-2010	6002.00	5968.33	BUY CALL	6200	SELL PUT	-231
147	Nifty_F1	22-Nov-2010	5929.00	5934.33	BUY - PUT	5700	SELL CALL	-73
148	Nifty_F1	29-Nov-2010	5885.00	5832.33	BUY CALL	6100	SELL PUT	-44
149	Nifty_F1	6-Dec-2010	6016.00	6008.00	BUY - PUT	5800	SELL CALL	131
150	Nifty_F1	12-Dec-2010	5928.00	5861.67	BUY CALL	6100	SELL PUT	-88
151	Nifty_F1	19-Dec-2010	5949.00	5932.00	BUY - PUT	5700	SELL CALL	21
152	Nifty_F1	20-Dec-2010	6010.00	5971.33	BUY CALL	6200	SELL PUT	61
153	Nifty_F1	4-Jan-2011	6094.00	6141.67	BUY - PUT	5900	SELL CALL	84
154	Nifty_F1	12-Jan-2011	5757.00	5808.00	BUY CALL	6000	SELL PUT	-337
155	Nifty_F1	13-Jan-2011	5640.00	5753.33	BUY - PUT	5400	SELL CALL	-117
156	Nifty_F1	18-Jan-2011	5693.00	5694.67	BUY CALL	5900	SELL PUT	53
157	Nifty_F1	20-Jan-2011	5695.00	5701.67	BUY - PUT	5500	SELL CALL	2
158	Nifty_F1	23-Jan-2011	5738.00	5716.67	BUY CALL	5900	SELL PUT	43
159	Nifty_F1	24-Jan-2011	5677.00	5703.33	BUY - PUT	5500	SELL CALL	-61
160	Nifty_F1	2-Feb-2011	5534.00	5460.33	BUY CALL	5700	SELL PUT	-143
161	Nifty_F1	3-Feb-2011	5376.00	5446.00	BUY - PUT	5200	SELL CALL	-158
162	Nifty_F1	13-Feb-2011	5453.00	5327.00	BUY CALL	5700	SELL PUT	77
163	Nifty_F1	17-Feb-2011	5462.00	5498.33	BUY - PUT	5300	SELL CALL	9
164	Nifty_F1	20-Feb-2011	5527.00	5511.00	BUY CALL	5700	SELL PUT	65
165	Nifty_F1	21-Feb-2011	5471.00	5486.67	BUY - PUT	5300	SELL CALL	-56
166	Nifty_F1	28-Feb-2011	5550.00	5403.67	BUY CALL	5800	SELL PUT	79
167	Nifty_F1	6-Mar-2011	5477.00	5522.67	BUY - PUT	5300	SELL CALL	-73
168	Nifty_F1	9-Mar-2011	5504.00	5521.33	BUY CALL	5700	SELL PUT	27
169	Nifty_F1	10-Mar-2011	5459.00	5497.00	BUY - PUT	5300	SELL CALL	-45
170	Nifty_F1	15-Mar-2011	5525.00	5508.33	BUY CALL	5700	SELL PUT	66
171	Nifty_F1	16-Mar-2011	5475.00	5491.33	BUY - PUT	5300	SELL CALL	-50
172	Nifty_F1	22-Mar-2011	5499.00	5438.33	BUY CALL	5700	SELL PUT	24
173	Nifty_F1	6-Apr-2011	5898.00	5908.67	BUY - PUT	5700	SELL CALL	399
174	Nifty_F1	12-Apr-2011	5939.00	5862.33	BUY CALL	6100	SELL PUT	41
175	Nifty_F1	14-Apr-2011	5824.00	5852.00	BUY - PUT	5600	SELL CALL	-115
176	Nifty_F1	19-Apr-2011	5869.00	5787.00	BUY CALL	6100	SELL PUT	45
177	Nifty_F1	26-Apr-2011	5831.00	5858.00	BUY - PUT	5600	SELL CALL	-38
178	Nifty_F1	8-May-2011	5550.00	5512.67	BUY CALL	5800	SELL PUT	-281
179	Nifty_F1	11-May-2011	5482.00	5528.33	BUY - PUT	5300	SELL CALL	-68
180	Nifty_F1	12-May-2011	5577.00	5539.00	BUY CALL	5800	SELL PUT	95
181	Nifty_F1	15-May-2011	5485.00	5514.67	BUY - PUT	5300	SELL CALL	-92
182	Nifty_F1	19-May-2011	5475.00	5442.33	BUY CALL	5700	SELL PUT	-10
183	Nifty_F1	22-May-2011	5377.00	5427.00	BUY - PUT	5200	SELL CALL	-98
184	Nifty_F1	25-May-2011	5408.00	5380.00	BUY CALL	5600	SELL PUT	31
185	Nifty_F1	2-Jun-2011	5541.00	5570.67	BUY - PUT	5300	SELL CALL	133
186	Nifty_F1	6-Jun-2011	5572.00	5553.00	BUY CALL	5800	SELL PUT	31
187	Nifty_F1	8-Jun-2011	5532.00	5548.67	BUY - PUT	5300	SELL CALL	-40
188	Nifty_F1	22-Jun-2011	5326.00	5298.67	BUY CALL	5500	SELL PUT	-206
189	Nifty_F1	4-Jul-2011	5645.00	5645.00	BUY - PUT	5400	SELL CALL	319
190	Nifty_F1	5-Jul-2011	5631.00	5646.00	BUY CALL	5800	SELL PUT	-14
191	Nifty_F1	10-Jul-2011	5616.00	5672.00	BUY - PUT	5400	SELL CALL	-15
192	Nifty_F1	14-Jul-2011	5587.00	5590.33	BUY CALL	5800	SELL PUT	-29
193	Nifty_F1	17-Jul-2011	5564.00	5577.00	BUY - PUT	5400	SELL CALL	-23
194	Nifty_F1	18-Jul-2011	5614.00	5588.33	BUY CALL	5800	SELL PUT	50
195	Nifty_F1	19-Jul-2011	5562.00	5580.00	BUY - PUT	5400	SELL CALL	-52
196	Nifty_F1	21-Jul-2011	5639.00	5581.67	BUY CALL	5800	SELL PUT	77
197	Nifty_F1	26-Jul-2011	5543.00	5599.33	BUY - PUT	5300	SELL CALL	-96
198	Nifty_F1	22-Aug-2011	4940.00	4898.67	BUY CALL	5100	SELL PUT	-603
199	Nifty_F1	24-Aug-2011	4835.00	4879.67	BUY - PUT	4600	SELL CALL	-105
200	Nifty_F1	28-Aug-2011	4935.00	4837.67	BUY CALL	5100	SELL PUT	100
201	Nifty_F1	8-Sep-2011	5038.00	5103.67	BUY - PUT	4800	SELL CALL	103
202	Nifty_F1	14-Sep-2011	5093.00	5017.67	BUY CALL	5300	SELL PUT	55
203	Nifty_F1	21-Sep-2011	4903.00	5065.67	BUY - PUT	4700	SELL CALL	-190
204	Nifty_F1	26-Sep-2011	4977.00	4891.33	BUY CALL	5200	SELL PUT	74
205	Nifty_F1	29-Sep-2011	4926.00	4964.67	BUY - PUT	4700	SELL CALL	-51
206	Nifty_F1	6-Oct-2011	4889.00	4810.67	BUY CALL	5100	SELL PUT	-37
207	Nifty_F1	17-Oct-2011	5052.00	5102.33	BUY - PUT	4900	SELL CALL	163
208	Nifty_F1	18-Oct-2011	5142.00	5104.00	BUY CALL	5300	SELL PUT	90
209	Nifty_F1	19-Oct-2011	5100.00	5098.00	BUY - PUT	4900	SELL CALL	-42
210	Nifty_F1	20-Oct-2011	5065.00	5102.33	BUY CALL	5300	SELL PUT	-35
211	Nifty_F1	23-Oct-2011	5100.00	5088.33	BUY - PUT	4900	SELL CALL	35
212	Nifty_F1	24-Oct-2011	5187.00	5117.33	BUY CALL	5400	SELL PUT	87
213	Nifty_F1	1-Nov-2011	5269.00	5298.67	BUY - PUT	5100	SELL CALL	82
214	Nifty_F1	3-Nov-2011	5312.00	5295.33	BUY CALL	5500	SELL PUT	43
215	Nifty_F1	8-Nov-2011	5225.00	5281.00	BUY - PUT	5000	SELL CALL	-87
216	Nifty_F1	27-Nov-2011	4869.00	4774.67	BUY CALL	5100	SELL PUT	-356
217	Nifty_F1	7-Dec-2011	4944.00	5024.67	BUY - PUT	4700	SELL CALL	75
218	Nifty_F1	20-Dec-2011	4719.00	4630.00	BUY CALL	4900	SELL PUT	-225
219	Nifty_F1	27-Dec-2011	4700.00	4722.33	BUY - PUT	4500	SELL CALL	-19
220	Nifty_F1	3-Jan-2012	4749.00	4672.00	BUY CALL	4900	SELL PUT	49
221	Nifty_F1	29-Jan-2012	5100.00	5154.00	BUY - PUT	4900	SELL CALL	351
222	Nifty_F1	30-Jan-2012	5225.00	5177.67	BUY CALL	5400	SELL PUT	125
223	Nifty_F1	21-Feb-2012	5513.00	5573.67	BUY - PUT	5300	SELL CALL	288
	Nifty_F1	23-Feb-2012	5481	5491.00				-32

For mechanically arriving at the SP for the trade, I have used the logic of rounding Nifty to nearest 00 Value and then adding 200 points for SP of Calls for a Bullish signal and subtracting 200 points for SP of Puts for a Bearish signal.

During the same period, trading with same logic Nifty Future shows a TOTAL GAIN OF 3695 Points.

The signals are genrated at close of every day depending if the 3MA slope is up or down.

PS: Will need to substitute the closing rates for options with specific expiry and SP on those days that give the signal. The above will also need to be adjusted for expiry and rollover

Thanks
NT

 

[NTrader42]

In my opinion it will be better to go into the next series of OTM options with only 1 wk left to near options expiry.

Laksh

Laksh

I feel for directional trades last week is the best time to trade the OTM SPs.


Thanks
NT

 

[Laksh]

Laksh

I feel for directional trades last week is the best time to trade the OTM SPs.


Thanks
NT

Ntrader,
Would u kindly elaborate it. I understand that the premium will be much lower; but then the time dacay will also be much higher. At the same time the volatility also increases towards the expiry. I'm not sure whether that would be to our advanatage or disadvantage.

Laksh

 

[augubhai]

That's a lot comments, inputs and queries for one day. I will need some time to go through all and respond, and I will try my best to do it soon.

If you have relevant thoughts or inputs, please continue the discussion without waiting up for me to respond. I have been trading this method since mid-November. Initially, I did it with Futures, but shifted to Options in January. So I am as much a student as your are...

I started this system because of some constraints that limited the screen time available to me. Nowadays, I am able to look at Nifty between 10 to 10:30. So I place all my trades during that 1/2 hour while having breakfast , and after that do not place any trades per this system even if I get a chance to access the terminal later in the day. (Whenever I get such chance, I do some intraday trades). On some days, I am not able to access the terminal, and don't bother to look up the quotes at all... so Options make great sense for me.

The reason why I chose the 3SMA when the 1 day SMA shows better results is that I open positions with the just OTM options, so need to give them a chance to get ITM.
(1 day SMA = Previous day close)

Since you may have more screen time available than me, you should customize and better the system to your needs...