Golden Apples ~ Nifty

created : 7 months ago| | live deployment: 6

created : 7 months ago | live deployment: 6

by: Samatva Capital

TrendFollowing EarnTheta Momentum

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)