Low Risk Low Returns- Target 50 NF per month per NF Lot

[jamit_05]

Back Test findings are so-so...

2007 lost 361
2008 gained 1195; despite a wash-out in 2008;

 

[jamit_05]

@Rish

Point well taken. One is better off simply shorting the ATM pair at start of each month and he will invariable make money. Throw in some sensible filters and results will further improve.

 

[jamit_05]

I am not taking real positions, hence the thread is in the Diary section.

Entered Long NFs 5 Lots at Feb NF 6038;
Purchased 10 Units of 6000 APR PEs @ 110

Cost incurred: Rs. 58000 inclusive of all expenses.

NF 6024 (down 14 pts)
PE 118 (up 16 pts)

essentially break-even.

 

[Rish]

@Rish

So let me be double sure, before I start backtesting for all those 72 months.

If on the expiry day of the previous month, the total of next month ATM CE and next month ATM PE is more than 279 then we have a trade... is it right... word to word?

Yes exactly

 

[jamit_05]

I am not taking real positions, hence the thread is in the Diary section.

Entered Long NFs 5 Lots at Feb NF 6038;
Purchased 10 Units of 6000 APR PEs @ 110

Cost incurred: Rs. 58000 inclusive of all expenses.

NF @ 5978 Losing 60 pts.
PEs @ 132 Gaining 44 pts.

(This MtoM difference of Rs.800 per lot, will need to refilled)

Expecting a bounce at weekly Ema 15 = 5900. PEs will have traveled 138 points by then, a convenient place to make the move.

 

[abcpankaj]

Back Test findings are so-so...

2007 lost 361
2008 gained 1195; despite a wash-out in 2008;

this system made money in 2008...interesting . thanks for the analysis jamit

few points :

1.We have to keep margin on both call & put , which will bring down the CAR
2.Also additional money has to kept aside to meet MTM losses in case of unidirectional move ..lowering % returns
3.One can cover option whose price has fallen to below Rs 10 & replace with shorting nearest ATM option ( in case of unidirectional move ) which will improve the returns.


Regards

 

[jamit_05]

this system made money in 2008...interesting . thanks for the analysis jamit

few points :

1.We have to keep margin on both call & put , which will bring down the CAR
2.Also additional money has to kept aside to meet MTM losses in case of unidirectional move ..lowering % returns
3.One can cover option whose price has fallen to below Rs 10 & replace with shorting nearest ATM option ( in case of unidirectional move ) which will improve the returns.

Good points.

However, I believe market makers do not take positions in one go. They probably spread out their actions over time.

If one did have a big pocket, sell options of nearby levels of Resistance and Support. If levels gets beat, square off the sold positions and bear the loss... and sell the next level. Probably, like having a Shifting Range Band whose range would depend on volatility. To not have sold options close ITM. Should probably have a trial thread.

 

[jamit_05]

NF @ 5978 Losing 60 pts.
PEs @ 132 Gaining 44 pts.

(This MtoM difference of Rs.800 per lot, will need to refilled)

Expecting a bounce at weekly Ema 15 = 5900. PEs will have traveled 138 points by then, a convenient place to make the move.

NF @ 5958 Losing 80 Pts
6000 APR PEs @ 136 Gaining 52 pts.

 

[jamit_05]

Sold one NF unit at 5990;

 

[jamit_05]

Sold one NF unit at 5990;

If market gains downward momentum then will be more ambitious to sell PEs, near 5900. But, must get atleast 30 to 50 points.