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created : 4 months ago| |  live deployment: 1

created : 4 months ago |  live deployment: 1

Golden Apples ~ Nifty

Strategy description

Golden Apples ~ Nifty                                           

                                                                                                                                               

The two most rewarding approaches to trade the markets are

(a) Trend Following - which tries to capture the larger trends (in NIFTY) emerging from the overall longer term market trend and

(b) Theta Decay - which tries to capture the theta premium (in BANK NIFTY) when the markets remains in range.                                                                                                                                              

Therefore combining both strategies into a single algorithm makes the systems much more diverse than just trading either 'Theta Decay Option Selling' or 'trend-following' thereby giving a 'smoother equity curve'.                                                                                                                                           

By Nature - Theta Decay Option Selling Strategies tends to be a high probability system with moderate reward and low risk per trade. Conversely, trend following tends to be a low probability system with high reward and moderate risk per trade.                                                                                                                                                

     

 

Strategy At A Glance                                                                                               

                
If you’re a savvy investor with an appetite for risk, and a good amount of patience, this strategy which combines the best of both the worlds can yield you handsome returns.


An important additional benefit of this strategy is risk reduction: by being able to profit from both positive and negative market movements, absolute return strategies are indifferent to the direction of the market whereas other approaches such as long-only strategies rely on positive market trends, a condition that is not always present.    



How It Works - System 1 - Trend Following                                                                                          

 

·         Golden Apples Strategy takes position in the option of Nifty in the direction of the short term market trend.                                                                                                                        

·         Our rigorous backtest of various trend following have shown that more money has been made by staying on the long/bull side, whereas the short/bear trades are mostly intense/fast demanding swift entry/exits - and therefore the strategy  carries Overnight Positions when the current position long (bull market) while it will square the short position on intraday basis.

·         It holds either CE or PE as per the trend/conditions. 


How It Works - System 2 - Theta Decay Option Selling       

                                                                                                                             

·         From our rigorous back-testing on various option selling strategies, we concluded that it is not necessary to keep trading for the whole week but instead trade just 2 days a week (Wednesday & Thursday) which presents the highest money making opportunities.                                                                                                                   

·         Lion's Quest Strategy opens a straddle on Wednesday with an objective of (a) theta decay (b) riding a trend on either side of the market if there is a break-out and simultaneously closing the other position.  In most cases, Lion's Quest Strategy carries over (positional) the position opened on Wednesday to Thursday.                                                                                                                            

On Weekly Expiry  Day (normally Thursday) - this strategy closes its position carried forward from the previous day and makes one more position with a different set of risk/reward parameters on the Weekly Expiry Day (normally Thursday) which is closes before the market closing (intraday).      

 

Points To Be Taken Into Consideration                                                                                                                                 


·         In our 8 years of Trading Systems we have concluded that - Also Strategies (a) cannot make you millionaire overnight (b) are not get rich quick schemes.                                                     

·         Algo strategies will need lots of patience and commitment. 


Portfolio Equity (In Rupees)



Drawdowns (In Rupees)



                                                                                     

  • Month-Wise Returns  (In Rupees)


Link for - Detailed Back-testing & System Metrics

https://docs.google.com/spreadsheets/d/1JVPQIv8fDB1FNPoGAvJ4CJVW4QnYi0IR9ep0hmFSL9Q/edit?usp=sharing

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