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Quantsapp
@quantsappsocial
, 9 tweets, 9 min read Read on Twitter
#Election2019 result to announce soon. A quick #OptionBacktesting of past elections throws some interesting data

Result Date : 13-May-04,16-May-09,16-May-14
Entry Date: 2 days prior to result
Exit Date: 1 day after result
Lot size: 75

#OptionsTrading (1/9)
Strategy #1 Long Straddle : Buying ATM Call and Put
Total PNL : Profit 18559

@shubham_quant @BHVN153 @Tinagadodia

#Optionstrategies #DataAnalytics ...(2/9)
Strategy #2 Long Strangle: Buying 1st OTM Call and Put
Total PnL: Profit Rs.16838
#OptionsTrading #OptionStrategies #OptionBacktesting ...(3/9)
Strategy #3 Bull Put Spread : Sell ATM PE and Buying 6 OTM strike PE
Total Pnl: Profit Rs.14156 ( For 2009,2014 yrs)
#OptionsTrading #OptionStrategies #OptionBacktesting ...(4/9)
Strategy #4 Bear Call Spread: Sell ATM CE and Buy 6 OTM strike CE
Total PnL: Loss Rs.20992
#OptionsTrading #OptionStrategies #OptionBacktesting ...(5/9)
Strategy #5 Call Back Spread: Sell 1 strike ITM CE 1 lot and Buying 1 strike OTM CE 2 lots
Total PnL: Profit: Rs. 24829
#OptionsTrading #OptionStrategies #OptionBacktesting ...(6/9)
Strategy #6 Call BackSpread: Sell ATM CE 1 lot and Buying 1 strike OTM CE 2 lots
Total Pnl : Profit : Rs.34692
#OptionsTrading #OptionStrategies #OptionBacktesting ......(7/9)
Strategy #7 Put BackSpread: Sell 1 strike ITM PE 1 lot and Buying 1 strike OTM PE 2 lots
Total PnL: Loss: Rs. 9375
#OptionsTrading #OptionStrategies #OptionBacktesting .....(8/9)
Strategy #8 Put BackSpread : Sell 1 strike ATM PE 1 lot and Buying 1 strike OTM PE 2 lots
Total PnL: Loss: Rs. 15795

#OptionsTrading #OptionStrategies #OptionBacktesting .....(9 /9)
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