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In this thread, I will post some interesting Options Backtesting results that have worked previously. Results are for last 1 year starting from 2018 on EOD options data.

#optionsbacktesting #opstra
Options Backtesting Results for Post Earnings in #SBIN. Entered Short Strangle/Straddle one day after earnings results are out and held till expiry.

Last 5 quarters

Short Strangle - 100% winrate , 30% returns
Short Straddle - 80% winrate, 46% returns

opstra.definedge.com/backtesting
Same as above, Post-Earnings in #SBIN. Short Strangle/Straddle entered 1 day post the earnings results and held till expiry.

Results of last 5 years (21 quarters)

opstra.definedge.com/backtesting

#opstra #optionsbacktesting
Some interesting results from back-testing of short strangles in #Banknifty #weeklies of last 6 months. Entry 10DTE and held till expiry.

Win rate - 90%
Returns - 56%

opstra.definedge.com/backtesting
This belongs in this thread

A simple MACD strategy #OptionsBacktesting in #Nifty for last 5 years yields following results.

An ATM call option bought when MACD crosses above zero and held for 10 days.
@rthakurrob requested this #optionsbacktesting

Short Straddle weekly options 1 day before expiry and hold till expiry.

Results for #Nifty (since inception) and #BankNifty weeklies (Oct2018-Apr2019)

You can backtest it here under Nondirectional method

opstra.definedge.com/backtesting
@rthakurrob Added a twist to above strategy of ShortStraddle 1DTE and hold till expiry for Banknifty weeklies.

Twist is to enter the trade only when IV Percentile is below 60 (that is under low IV conditions)

Results here
@rthakurrob Another interesting #Nifty #optionsbacktesting result.

Short Straddle when Nifty goes below 200DMA and Nifty also below 10EMA and hold it for 20 days.

Results here
I will be giving a webinar on Saturday 22nd identifying many of these profitable options patterns using #optionsbacktesting .

I will show more backtest examples and logic behind it, how to identify more patterns and pitfalls of this.

Register here

Study:

Short Strangle of 51 liquid NSE FNO Stocks on Friday close before the expiry week and hold till expiry. Last 1 year data.

Staggering results.

43/51 have positive returns - 84%.

You can check it under Non-directional backtesting method

opstra.definedge.com/backtesting
Options Backtesting:

Short Straddle when IV Percentile crosses below 90 and hold it for 10 days.

Interesting Results. Nearly 82% of 51 NSE stocks show positive returns with good profit factor and win-rates.

opstra.definedge.com/backtesting

Check this under Technical Trading.
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#optionsbacktesting #opstra #SBIN #BankNifty #weeklies #Nifty

More from @Raghunath_TL see all

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Raghunath
@Raghunath_TL
In the last tweet thread, we talked about Option Greek Delta. In this thread, we will talk about Option Greek Gamma which is closely related to Delta (∆).
When underlying price moves with respect to a particular option strike, that particular option strike becomes either in-the-money or out-of-the-money and thus changing the Delta of the option. This change in Delta can be explained by Option Greek ‘Gamma’.
Gamma (denoted as γ) is the options Greek that tells us the rate of change of the options delta in response to the change in the underlying price. More specifically, gamma tells us about the options expected delta change relative to a one-point change in the underlying.
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Raghunath
@Raghunath_TL
Delta (denoted as ∆) is the Options Greek that tells us the sensitivity of options price in response to the rate of change in the underlying. More specifically, delta tells us about the options expected price change relative to a one-point change in the underlying.

#delta
For example, a delta of 50% means, for every one-point change in the underlying, the options price changes by 0.5 points and similarly, a delta of 25% means a 0.25-point change in options price for every 1-point move in the underlying.
But Delta (∆) is not constant for any given strike price, it is dynamic and keeps on changing depending on the moneyness of the option strike with respect to the underlying.
Read 20 tweets
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Raghunath
@Raghunath_TL
Got hold of a report from Italian Epidemiology Institute EPICENTRO on Corona Virus patients and death.

I will summarize the findings in the thread, so you can understand who is at risk.
As of March 17th, 2003 patients died of covid-19 in Italy.

The median age of covid-19 patients who reported with symptoms is 63 years.

The median age of covid-19 patients who have die of it is 80.5 years

30% of the deceased are women patients. So high death rate among men.
99% of the covid-19 positive patients who are dead are 50 years and above. The death rate is 96% if you consider patients 60 years and above.

Only a 1% death rate under 50 years.

For the context, 23% of Italy's population is above 65.
Read 10 tweets

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