Upcoming weekend is a special weekend for traders with several opportunities for traders.

With election results due on Tue 04-June, here is how the vol market is pricing the event, and what kind of trades may exist?

#Elections2024 #Nifty As of EOD 30-May the market is pricing about 3% expected move in Nifty and 3.14% move in BankNifty. This is priced as 80% of (Straddle/Synthetic Fut).

More interestingly, the forward starting vol (after results) is roughly pricing only 19.5% fwd vol.

📢Alert: Seasonality Strategy (With Code)

Santa Claus Rally 🎅

Is a well known and documented effect in indices across the globe.

Rules:
Long 5 Days before End of Year.
Exit 2 Days into Jan.

Here I explore multiple combinations of entry exit on NIFTY/BANKNIFTY 👇 First of all - Summary Results for Nifty and BankNifty.

Obvious takeaway is that if we Long 6 Days before Year End, the results are better historically. Exit into 3 days of Jan also seems to have better results.

"Elements of Quantitative Strategy Design"

This is from a Jul-2020 webinar that I did with @vihan13singh, when I barely had 500 followers.

I bet most of my network would have not had a chance to watch this.

Adding links below for anyone interested to watch.
1/5 Part 1 - USDINR - No Brainer Strategy

Talks about FX markets, USDINR mechanics, a simple USDINR straddle strategy.

2/5

Re-doing my #BookRecommendations for beginners in the world of systematic/quantitative trading and investing as recently received several Qs.

Retweet/Share with anyone who might benefit.

In no particular order -
1. Systematic Trading by Rob Carver
@investingidiocy 2. Expected Returns by Antti Ilmanen. This book shares expected sources of returns from past. not that one may find those now. He also featured on @choffstein podcast - "Flirting With Models". Worth a listen.

Macro Analysis of FX. Putting my erstwhile FX trader hat on to analyze what is happening with global markets.

I see the #CrudeOil move, #EURUSD move as a flight to safety move into USD.

I'm trying to explain the causation of flow in below thread 🧵

1/n What all is losing ground against #USD?
#CrudeOil 🔻8.32%
#EURUSD 🔻1.77%
#GBPUSD 🔻1.49%
#Gold 🔻2.1%
#BTC 🔻2.7%

All these are being sold against USD. The money doesn't leave the system. So where does it go?

In risk-off environment it goes to safe havens such as:
2/n

#BookRecommendations for beginners in the world of systematic/quantitative trading and investing. Will add more with time.

Retweet/Share with anyone who might benefit.

In no particular order -

1. Systematic Trading by Rob Carver @investingidiocy 2. Expected Returns by Antti Ilmanen

I am going to take liberty and expand with book names on some very fine recos by Roy. All books available on Amazon.

1. Sheldon Natenberg

https://twitter.com/mnopro/status/1531822594172735494

2. Euan Sinclair

No Matter how many algos I hv created in past, evry time I bring a new algo to LIVE trading-I'm jittery. That is the human side of Quant Trading. We build robots/systems – but ourselves are humans with same apprehensions and self-doubt as anyone else. A 🧵of my learnings 👇: 1/n from bringing #QUICKSINGLES to research stage to LIVE Investor Deployment. It has hit a new ATH today and now has had 60 trades to it on LIVE Trading. Some background of research and approach first: 2/n

Efficient Capital Allocation - A🧵
A lot of traders are looking to deploy multiple systems with opposing styles (trend following + vol selling) on same capital to enhance returns. The assumption is that with sufficient buffer, idle capital can take care of losses in one sys. 1/n While some results may be generated from the other system. The risk from this comes in form of systems becoming highly correlated and leading to more than perceived DD from back tests. The traders can be better off if they perform following: 2/n

A brief history of #BTC crashes. As a #BTC HODLer, I've been mockingly asked the ques of - how is your portfolio doing several times in the past during BTC crashes. What is happening this month is no diff 4m several other instances in the past. 🧵 on 2 such past events: 1/n #BTC went from sub $100 to making a top at $1163 in Oct'13. Over the next 14 months it retraced and fell around 87% to make a bottom at $152.4 in Jan'15. I did not have any long term exposure during this period.  BTC at $250-350 was considered "EXPENSIVE" for a long period. 2/n

Weekend learning session with @alok_dharia and @VohiCapital. Muchas Gracias 🙏
Had an opportunity to discuss a wide range of topics from vol trading to global macro. Learnt handful of new things and got reinforced on some others.
A brief summary of our discussion: 1/n

https://twitter.com/alok_dharia/status/1381099730898325510

1. All of their and our systems are automated. It is not only important to get confidence on our edge via backtesting, but also opens up possibilities to explore more opportunities as current algos/models trade Live.