Quantitative Analysis of Nifty

[Khushijain]

i thought market would be bearish today can you please tell me what kind of charts do you follow for nifty?

 

[QuantNifty]

Hi Khushijain,

I dont follow any chart, this is a low frequency quantitative trading approach, which is also known as algo trading. As I dont have access to high frequency data (which cost lot of money), I apply my methodology for EoD, hence low frequency trading approach.

Regards,
Quantnifty

 

[QuantNifty]

Market Snapshot of May 11, 2011

Nifty clocked intraday volatility of 0.9%, which is lower than the long term average. Immediate support level lies at 5535 and resistance level lies at 5585 respectively. FII's bought INR 2362.44 and sold INR 2237.37 crores, whereas DII's bought INR 827.85 and sold INR 738.73 crores in the cash market respectively. Indian rupee weakened by INR 0.08 vis-a-vis USD.
Nifty Put Call Ratio is at 0.96

Call for May 12, 2011

No Call for Trade

 

[msa5678]

Hi Khushijain,

I dont follow any chart, this is a low frequency quantitative trading approach, which is also known as algo trading. As I dont have access to high frequency data (which cost lot of money), I apply my methodology for EoD, hence low frequency trading approach.

Regards,
Quantnifty

Hi QuantNifty,

Your Approach is Unique and Precise.
Particularly I like the way you keep away
from the market in uncertain times. This
helps in preserving the capital, which is
more important than appreciating the capital.
Keep it up .

With Regards,

MSA

 

[QuantNifty]

Hi MSA,

Thanks for the encouragement, infact would like all of you to go to my blog and see the article about Tata Motors DVR (this is a news item in ET today). I never thought that the run up would be so quick. I would be writing lot of other stuff also in my blog, which unfortunately I cant post here as my earlier thread was deleted by traderji (reason i dont know). But I would like to thank this platform given to us by traderji to discuss the markets.

Thanks,
QuantNifty

 

[QuantNifty]

Market Snapshot of May 12, 2011

Nifty clocked intraday volatility of 1.76%, which is lower than the long term average. Immediate support level lies at 5451 and resistance level lies at 5547 respectively. FII's bought INR 1578.06 and sold INR 1998.09 crores, whereas DII's bought INR 1048.02 and sold INR 735.58 crores in the cash market respectively. Indian rupee weakened by INR 0.3 vis-a-vis USD.
Nifty Put Call Ratio is at 0.927

Call for May 13, 2011

Initiating a Short Trade with SL 5572
Optimal Short Level from 5505 till 5483 & Optimal Square Off Level 5456

 

[timepass]

Market Snapshot of May 12, 2011
Nifty Put Call Ratio is at 0.927

Call for May 13, 2011

Initiating a Short Trade with SL 5572
Optimal Short Level from 5505 till 5483 & Optimal Square Off Level 5456

Put call data on nseindia.com shows PCR = 0.88 (in options). It doesn't show the data for Nifty futures.. What is ur source?

 

[QuantNifty]

Hi Timepass,

Answer for the first part is its option data only.
Thanks for the query as it will clear the doubt. See I look at the EoD outstanding open interest not the contracts. Data given by NSE is for traded contracts Put Call. But I look at Open Interest data as I believe thats much more relevant for my calculation. If you look at all the outstanding OI for May 12, its 0.93. I hope this clarifies your query.

QuantNifty

 

[QuantNifty]

I believe this euphoria about the state election results wont last for long, those who have taken short can rollover till monday or may be average cost. I am still holding the earlier reco of short.

QuantNifty

 

[QuantNifty]

Market Snapshot of May 13, 2011

Nifty clocked intraday volatility of 2.43%, which is higher than the long term average. Immediate support level lies at 5476 and resistance level lies at 5609 respectively. FII's bought INR 2315.61 and sold INR 2476.96 crores, whereas DII's bought INR 870.44 and sold INR 881.97 crores in the cash market respectively. Indian rupee weakened by INR 0.22 vis-a-vis USD.
Nifty Put Call Ratio is at 1.036

Call for May 16, 2011

No Call to Trade