daSARa system

[jahan]

so that means our strategy is developed in presto and than we trade on there server ?

Hello,

don't do this trade from ur side only.....

Regards,

 

[augubhai]

augubhai ,
need help in regarding autotrading my systems , i have tested it sucessfully over all possible available scenario's , also have purchased ami5.702 , gfdl feed and optical fibre net connection with 10mbps speed having without dissconnection ,
as i am totally new in autotrading , can u plz suggest me , what is best hassel free option available ? currently planning to trade starting with 8 lots in bnf-1 using 3 sys
can all 3 sys can be automate , what are the expenses have to pay , will it fully automate ?
plz advice me merits/demerits of it , in ur free time plz.....
also what is ur experience till now with auto route ?hope not req. u too much........

Hi Dell,

I have no experience in autotrading... though I did make some half hearted attempts.

 

[augubhai]

Looking at this picture, and feeling extremely foolish. I should have bought at the March lows, especially when an event like elections were just round the corner. Buying at the low support band almost assures that the price will double at some point in the future. On a 15% margin, that means a 1233% return on capital. Just need to reduce the impact of the bid-ask spread and the calendar spread, both of which are wide.

Life will give second chances, but the earlier you grab chances, the better you can compound....

http://nseindia.com/companytracker/charting/images/IndiaVIX/VIX.png

Looks too good to be true? It is.

2 hurdles.
The easy hurdle: Large Bid Ask spreads. Can be overcome with a lot of patience, and a little bit of quick fingers - make the best bid at lower prices.

The tougher hurdle: Though we do not have a lot of data on Indiavix futures (especially no significant downmove since Feb), I notice a lot of Contango. So rollovers are going to be costly. That means timing the entry is key (and that also makes missing the low volatility just weeks before elections look more foolish)

The contango in VIX seems to be there to account for probable fat tail events, and to make simple plans to good to be true

Source: http://en.wikipedia.org/wiki/Contango

Generally contango, but backwardation at peaks
Source: http://sixfigureinvesting.com/2011/10/the-volatility-landscape-2/

 

[augubhai]

Surprise!!

IndiaVIX W2 is above W1 (contango), but W3 is at a discount to both W1 and W2 (backwardation)... Backwardation at peak?

 

[augubhai]

Indiavix

W1: 3165
W2: 3260
W3: 2557 (no bids, only big sellers since morning... now big asks at lower circuit )

 

[augubhai]

W3 lower ckt now, 2406.5.... now big asks at lower ckt...

W1 and W2 are stable

 

[augubhai]

W3 lower ckt lowered to 2256. Finally, there are bids.

W1: 3150.25
W2: 3240
W3: 2348

 

[augubhai]

So the W3 contract ended the day at the lower ckt 2256 with 750 bid at lower ckt, and 64500 asks.

At close
W1: 2256
W2: 3200
W3: 3115

I am not sure if this is backwardation. Maybe, this is the way that futures should behave. They should reflect the future value, and here it reflects the view that the volatility will die immediately after the results.

In this case, volatility is more predictable than direction, and the view is that high implied volatility in the results week due to unpredictable outcome, will be followed by duller markets immediately afterwards. Also, there is no tradeable underlying that can be used to smooth out the variations in expected IV.

 

[augubhai]

Looks too good to be true? It is.

2 hurdles.
The easy hurdle: Large Bid Ask spreads. Can be overcome with a lot of patience, and a little bit of quick fingers - make the best bid at lower prices.

The tougher hurdle: Though we do not have a lot of data on Indiavix futures (especially no significant downmove since Feb), I notice a lot of Contango. So rollovers are going to be costly. That means timing the entry is key (and that also makes missing the low volatility just weeks before elections look more foolish)

So, on Wednesday, we came across a hurdle more tougher than the 2 mentioned earlier.

The new hurdle: The futures price actually tries to reflect the expected expiry value!! This behavior is different from what we see in Index and Stock futures. In Index and Stocks, the underlying** is used to smoothen out the spreads between different futures - so much that the futures price actually reflects the current underlying price with a premium/discount. But Wednesday's Volatility futures were actually ignoring the current price and trying to reflect the price at expiry with contango/backwardation. This makes rollover difficult (actually makes it impossible in the current case, but I think that the current scenario is an exception). And there is no simple underlying that can be used. The indirect way is to short May OTM options, which is not something that I plan to do at this stage... and I guess that the R:R for that strategy is too tricky even for the big players, else we would not have such a big drop from W2 to W3 (just my opinion)

**Underlying for index is the stock basket that is played by institutional investor. We small players don't matter.

 

[augubhai]

I am feeling self conscious that I have been rambling about a topic that not many seem to be interested in. In case someone is wondering - these notes are of use to me - I can refer to them in future. I have been trading for so many years, and have tried so many things that I do not even remember. So, at least I can come back to this thread, in case I need to check my analysis and scenarios later...