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.
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
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.
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
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
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.
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.
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.
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.
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.
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 ?
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 :)