Alpha Trade (Nifty and BankNifty)

[toughard]

I have attached the snapshot . I had spotted the imbalance on friday. Monday morning, I didn't initiate the trade, cuz the market was quite buoyant but did it towards the end of the day. In the coming few day I will try to share backtesting results of this , so that someone can code an afl

CAN YOU INTERPRET THESE CHARTS??

http://s4.postimg.org/yh99z9xtp/untitled1.png

 

[rebeck10]

CAN YOU INTERPRET THESE CHARTS??

http://s4.postimg.org/yh99z9xtp/untitled1.png

Your monthly graph shows the bank nifty hovering between the standard deviation of 1.9 . During election period , the ratio increased towards 2.1.

Your daily graph, confirms the current imbalance in ratio.

 

[toughard]

Your monthly graph shows the bank nifty hovering between the standard deviation of 1.9 . During election period , the ratio increased towards 2.1.

Your daily graph, confirms the current imbalance in ratio.

what would be the time frame for such trades?

 

[toughard]

Your monthly graph shows the bank nifty hovering between the standard deviation of 1.9 . During election period , the ratio increased towards 2.1.

Your daily graph, confirms the current imbalance in ratio.

Hi I simulated this today...

http://s12.postimg.org/wcm7ioynx/untitled.png

Whats the upper/lower limit of SD by assuming 1.9 as median?

 

[rebeck10]

Hi I simulated this today...

http://s12.postimg.org/wcm7ioynx/untitled.png

Whats historicalper/lower limit of SD by assuming 1.9 as median?

Backtesting showed me the duration of such trades to be 10 days max. Upper limit would be 2.2 and lower limit 1.6 as per historical data

 

[toughard]

Backtesting showed me the duration of such trades to be 10 days max. Upper limit would be 2.2 and lower limit 1.6 as per historical data

thanks ... have few important questions!

1.so can we try to initiate the trade >2.1 as well as <1.7 for a target of 1.9 with stop of .1? or how to execute and manage it?

2.can you tell us the max draw down and max gain that happened?

3.During RBI events and result season how this strategy worked?

4.I think just an Excel file is sufficient for this system? do we need AFL?

 

[dipendu]

Very very informative thread. Thanks for starting such a thread.

 

[toughard]

thanks ... have few important questions!

1.so can we try to initiate the trade >2.1 as well as <1.7 for a target of 1.9 with stop of .1? or how to execute and manage it?

2.can you tell us the max draw down and max gain that happened?

3.During RBI events and result season how this strategy worked?

4.I think just an Excel file is sufficient for this system? do we need AFL?

today trade in profit...
http://s4.postimg.org/okt4uie8d/untitled.png

 

[rebeck10]

thanks ... have few important questions!

1.so can we try to initiate the trade >2.1 as well as <1.7 for a target of 1.9 with stop of .1? or how to execute and manage it?

2.can you tell us the max draw down and max gain that happened?

3.During RBI events and result season how this strategy worked?

4.I think just an Excel file is sufficient for this system? do we need AFL?

1 . yes .This event occurs at the max 3 times in a year , due to extreme news .So it more of a positional trade than an intraday one.
2. max average gain when the ratio is 2.1 was around 9k . In the 3 years data I backtested , the system always ended in profit . But you can say the MTM drawdown during the period was on average around 6K.
3. During news, The ratio again sometime increases and a few more days are then again required for the ratio to stablize. E.g Recent SBI freak rally caused the bank nifty to rise. There is no need to worry much, because you are hedged.
4. Excel is fine . But I wanted a afl , so that I could use it for exploration of other indices and stocks to find their correlation factor and test their success.

 

[toughard]

Thanks for the detailed answers..

so that I could use it for exploration of other indices and stocks to find their correlation factor and test their success.

After considering the weightage theory-
Few such combination that I think of is INFY vs CNXIT and cnx 100 vs cnx 500