Thread:
As 2021 begins, I would like to highlight the importance of perseverance & positive thinking.

The aim of this thread is to motivate people to stay committed to their goals.

Sharing few of accomplishments which I never thought would have been possible.

Dream BIG !

1)I did a 2 day quantitative trading seminar @iitbombay focussed on system driven trading and got a great response.

Being a introvert,I always shied speaking on the stage & this was my first public speaking apperance & learnt the importance of people’s skills.

2) Seeing my IIT Bombay seminar post, I got approached by @JBIMS, a top MBA institute to share my insights on system driven and markets for their MBA students.

I realised the importance of brand building and self promotion.

Thread :

Today I suggested Naukri on on @CNBC_Awaaz and hit upper circuit.

So why did I recommend Naukri (InfoEdge) ?

Analysis

1) Trend :

It was trading at all time high which indicates strong bullish trend

#trading #stocks

2) Strength of Trend:

The red candle formed on 21st dec (circled) was immediately rejected the next day.

This indicates the strength of bulls.

3) Sign of a leader :

I like to buy stocks which have already doubled from 52 week low and hit a new high every 6 months.

Naukri was around 1600 in March 20 and is almost 3 x and satisifies the critera

How to manage straddles :

1) As bnf open was within yesterday range created a 29000 straddle at around 9:30 am

29000 PE sold at 528 and
29000 CE sold at 453

#trading #OptionsTrading

2) Instead of keeping SL on sold legs. I keep SL on otm options in the system

SL was on 28000 PE at 220 (day high)
SL was on 30000 CE at 165 (day high)

3) At 10:15 am, Bnf started to trend down and 28000 PE was bought at 220 and I immediately bought 30000 CE at 110

Thread :

We are regsitered as sub brokers with IIFL and Angel Broking & now planning to grow the sub broking business.

Looking to crowd source ideas/suggestions on the same from you guys

(1)

#trading #ideas #OptionsTrading

2) Instead of sending recommendations(like traditional brokers) .. plan is to help traders learn & let them independently take trading decisions.

Ideas:
-Create a telegram channel and share ideas & explain trades with logic

3) Plan is to help traders learn about
-options trading,
-long term investing
-intraday momentum trading
-event trading
-expiry trading and let them decide what suits them

Don’t charge any advisory fee but earn a share from their trades as brokerage

At 9:20 am created 29K PE and 30K CE at combined premium of 199.

Logic : Bnf was trading above yesterday high so created position with bullish delta.

The strangle closed around 110.

Key in non-directional trading is creating skewed delta positions as per view

#trading #data

Initial buy SL was on 28700 PE above Vwap (95) and sl on 30300 CE around 30 (day high)

Put buy SL above vwap or day high(on otm strikes based on net credit recieved)

Make sure you have net credit even after buy sl is triggered

(2)

3) So in non-directional trading create positions as per view and always keep buy stops in otm wings to protect yourself from any big move.

Otm stops also helps in saving slippages.

Thread
How to manage strangles dynamically incase of a violent move or IV spike ?

1) Yesterday and infact entire last week if you had created strangles you would have experienced that during upmove only call side were increasing but puts weren’t decaying.

#trading #Options

2)In morning I had created a short strangle
200 lots 25000 PE sell at 102
200 lots 27000 CE sell at 161

You can sell from below image that if I had waited in this strangle till day end I would have lost around -4.5 L

So lets see what all adjustments did I do logically.

3)After creating strangles the premiums strarted increasing as puts were not decaying and calls were increasing.
So I had kept 100 lots buy on 26500 CE at 400(day high)
My buy got executed at 400 around 12:15 pm & I exited 25000 PE at 75

Thread

How I managed my short strangles today and ended up in profit.

1) Overnight I had carried

-50 lots 24600 PE sold at 225
-50 lots 25000 CE sold at 170

As I had a bullish view for overnight and was expecting 24600 to hold.

#trading #OptionsTrading

2) In the morning around 9:16 am sold additional

50 lots 24600 CE at 277 &
50 lots 24000 PE at 98
(Counter bearish strangle)

as bnf was down at 9:15 and to save my 24600 PE(overnight sell)

3.But in next 2 candles bnf spiked to 24800
so I sold additional
50 lots of 24200 PE at 102

and kept sell stoploss order on 50 lots of 25000 CE at 135 which got triggered after 5 mins😖

Till now Bnf was very volatile with no clear range and my mtm was in red.

Importance of Risk Management
(Real Life Examples)

1) On 21st Sept 2018, I had sold 330 PE overnight and YesBank opened 10% lower and closed the day at -33%. But I survived as I bought 320 put as protection.

If I had not bought 320 PE then would have lost 10 L

#risk #trading

2) MS. Nirmala Sitaraman Candle

On 21st Sept 2019, BankNifty rallied almost 10% intraday with huge IV spike in calls.

I had 27200 CE sold and booked loss in that at 220. The same option was trading at 2230 few hours later.

Would have lost heavily if I had not exited my calls

3)
- Demonetisation
- Flash Crash in March 19
- Lower Circuit on index in March 20

Have survived all these black swans without any major loss.

After making huge losses at the start of my career, I have realised that good trading is all about managing risk.

#risk

Thread on system trading and conviction to follow them.

1) On Aug 2016, I had my highest ever loss of 18 L due to illiquidty risk. I had shorted JustDial 500 CE and was in profit at 3.19 pm but at 3.20 pm lost -18 L due to a risk I wasn’t aware at that time.

#trading #risk

2) I had huge qty in Just Dial CE but as my position was huge and Just Dial being an illiquid script. My position got squared from 0 to 10 Rs. I was in 1.3 L profit at 3.19 & 3:20 -18 L.

Lost almost 20 L in a min

Check my email to Zerodha and their reply to understand more.

3) I was totally upset as I never thought that I could lose so much due to illiquidity.

There was nothing wrong with system or risk management but this was a risk which I was never aware.

This made me believe in risk management ever then before.

Thread :

How I managed my today’s option selling trade inspite of spike on the call side

Overnight position :
I had carried overnight 23000 PE ( sell at 155) & 24200 CE (sell at 135)

In the morning I booked profit in 23000 PE and shifted to 23200 at 120

(1)

24000 was a resistance for BNF and above that good spike was expected. So I kept SL in 24200 CE at 200 (as per system)

The SL in 24200 got hit at 200 around 10:30 am and I shifted to next resistance level 25000 CE at 63

Open now(Sell) :
23200 PE at 120
25000 CE at 63

(2)

Calls were rising rapidly so I sold additional 23200 PE and also bought 25000 CE (10th sept expiry at 200)

The 25000 CE bought in next week was managing the deltas and MTM.

(3)

Today was a testing day for option sellers & robustness of their systems.

Glad to have done reasonably good & ended in green😊

How did I end up in green via option selling inspite of the crazy fall and spike on put side premium ?

Check the entire thread !

#trading #data
(1)

At around 12 pm, I had 22200 straddle and was in a profit of 35
points per lot.

But around 1:30 pm markets fell sharply and I had an otm buy stop on 21700 PE at 145 (I keep these orders in the system to protect mtm if there’s a big directional movement)

(2)

The protective order got executed at 145 and BNF also broke 22000 (crucial support)

I sold additional calls of 22000 at around 220 with a SL as system had turned bearish.

(3)

Thread on trading lessons & mistakes:

I always keep my mistakes & lessons learnt in front of my screen while trading.
Bcz we as traders tend to commit the same mistakes everytime.

So seeing your learnt lessons everyday ensures that you avoid them.
#trading #mistakes
(1)

In 2017, I analysed all my trades and saw that I have majorly lost in stock futures and profits came only via index trading.

I accepted that I am not great at stock trading and been trading index only majorly since then.

(2)

I decided to adjust all of my past losses to 1 % of capital to see what the effect of capping the downside.
I would have had a gain of more than 230 % if I had capped losses at 1% of cap.

Lesson: Keep losses less than 1% of capital

But still sometimes losses are >1 R😓

(3)

Thread on Books/Resources which I find useful

1) Basics :

zerodha.com/varsity/

2) Quantitative Resources :

epchan.blogspot.com/?m=1

quantifiedstrategies.com

quantstart.com

#data #books #quant #trading

3) Position Sizing & Risk Management

Van Tharp Guide to Position Sizing

4) Pyschology

Trading in the zone
The Disciplined Trader
The Market Wizards

5) System Building & Backtesting

Trading Systems by Emilio Tomasini

6) Fundamentals

drvijaymalik.com by
@drvijaymalik

Did a webinar to discuss about your Quantitative Trading Program.

Few takeaways & resources

1. If you do not have minimum 10lakhs of capital for trading or find our course a bit expensive then, you can get started with this basic udemy course.

udemy.com/course/python-…

2) Free Quantitative Resources :

epchan.blogspot.com/?m=1
(Dr. E.P Chan’s Blog where he talks about quantitative strategies and trading ideas)

quantifiedstrategies.com
(It talks about quantitative strategies across various time frames)

quantstart.com

3) Algorithmic is just a way to backtest and automate your ideas

It does not mean that algorithmic trading is 100% always profitable(misconception people had)

How to build/backtest a strategy ?

1) Idea/Hypothesis
2) Specify entry,exit, SL & position size
3) Generate trade log & Backtest Report
4) Test in diff. market condn.
5)Optimise the strategy
6) Evalute the robustness & stress testing
7) Track Real Time performance
8) Deploy

1) Idea( Our Snorlax Strategy)

Options decay with passage of time.
I look at the theta decay curve and wonder that some decay is intraday and some is overnight.
Can I capture the intraday theta decay by creating delta neutral positions ?

#idea #theta

2) Can we create intraday straddle to capture theta decay ?

Initial Logic :

Entry : Create straddle at 9:15 am
Exit : Close the straddle at 3:15 pm
SL : 10% of combined option premium
Position Size : 1 lot (CE & PE) per 1 lakh

#entry #exit #stoploss

How to move towards Quantitative Trading :

1) Learn Python
2) Learn key trading libraries & Pandas
3) Data visualisation using seaborn & matplotlib
3) Statistics for Financial Markets
4) Backtest your strategies
5)Optimise & Automate
6) ML insights for trading

#quant #trading

1) This is a good basic course on Udemy to learn about Python required for trading

udemy.com/course/python-…

#python

2) Learn about Pandas( cruciwl for data cruncing & handling time series data)
learnpython.org/en/Pandas_Basi…

Also install talib: an essential library for a trader. It has inbuilt functions for all technical indicators making our life easy.

mrjbq7.github.io/ta-lib/doc_ind…

#pandas

Thread:
How I managed my losing trade to end in profit ?

Today was a difficult day for most traders as market opened with a 3%gap up & fell after that and again rallied in the 2nd half.

In this thread, I will be sharing my detailed trade management for today.

#trading

1) I had carried overnight 20 lots sell of 8400 PE sell & 9500 CE sell

-1500 8400 PE at 110
-1500 9500 CE at 114
Net Credit was 224 point

In the morn. it was around 265 points due to gap up

MTM - 60 K at 9:20 am

2) Waited for 15 mins & plan was to go long abv 1st 15 min high to defend the position( Gap Strategy)
But market broke 15 min low & losses started to narrow.
At around 11 am ,the trade was at breakeven :)

@SunderjiJB My philosophy is :

Idea --> Rules --> Backtest --> Discard or Deploy --> Optimize --> Scale

https://twitter.com/SunderjiJB/status/1226892925939748864

1) Idea : It comes from market observation.
For eg : Is it profitable to buy stocks breaking previous day high within 15 min of market open.

2) Rule : Anything that can be said to a computer in a simple language
Buy if 15 min close > Previous day high

(1)

3) Backtest :
Test the same rule on historical data to see if our system has any positive edge

4) Discard or Deploy

If the rule is showing any positive expectancy then we can deploy it else discard and look for testing another set of rules/idea

(2)