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Gamma.Pehelwan Profile picture
Gamma.Pehelwan
@Dhritiman_Ch
Hobbyist statistician. Taking potshots in the dark. I like pretty graphs. Not investment advice. I'm just 36 something polyam, not Sir.
Sep 28, 2022 • 7 tweets • 3 min read
All right boys and girls. Here is the proof of concept of - "Why the differential between LTP and Settle Price is a shit indicator for Next day Gap".
Ideally, the differential has to be calculated using difference of VWAP of last 30 mins of Nifty futs and LTP at each time point.. There is discretion involved in which LTP to choose for the differential (which minute of the last 30 mins). @SachaSucha solved that by simply using the 15:29 Close and the Settle Price in bhavcopy (which is the 15:30 VWAP).
We used this difference to predict the next gap.
Apr 27, 2022 • 5 tweets • 2 min read
Revisit of the BTST vs Buy at beginning of month and Hold vs Buy open sell close strategies. With expanded time frame (2002 onwards till yesterday) and in Futures segment.
Similar results as Nifty spot analysis. Done for a single Nifty lot of 50. Basically all returns *50.
Oct 15, 2021 • 8 tweets • 5 min read
Thought of starting at the basics. The daily index return frequency distribution (Close to Close, C2C)- broken into Gap and Open2Close returns. Units (%).
Inferences:
1. Median C2C and Gap is positive with fattish tails.
2. Median O2C is negative with narrower tails. Continuing..
Dataset is from 2012 to present.
Observing the relationship between Gap and O2C and their contribution to C2C. As @paststat found for BN, similar for Nifty. Gap and O2C are completely exclusive, and have no relationship with each other.
May 31, 2021 • 9 tweets • 2 min read
Finally uploaded to gdrive.
NSE FnO data 2002-28/05/21
Nifty Options data with Greeks for same dates.
Link: drive.google.com/drive/folders/… Writing out explicit steps for making the greeks sheet.
Data required:
1. Bhavcopy.
2. Div yield history of the scrip (repeat dividend yield through the dates or explicitly discount div to 0 for intervening periods, if being pedantic)
cont...