created : 4 months ago| | live deployment: 2
Introductory Offer - No Performance Fee
This is an intraday Option Selling Strategy that has been designed to complement the base DYNAMIC - Trend Following - Futures strategy which is listed at the following link
The Base Futures Strategy starts to trade 1 Lot of Nifty and 1 Lot of BankNifty based on proprietary Trend Following indicator developed by Decibel Capital. To trade the Base strategy, a minimum capital of 9 Lakh is recommended. This means about 5-5.5 Lakh capital is sitting idle in the trading account.
As name suggests, Vol Harvest strategy aims to capture theta/volatility decay on an Intraday Basis. It will sell 1 Lot Straddle on each of Nifty and Banknifty weekly options on selective days.
The strategy places MIS orders to ensure no overnight exposure is taken. However, for capital required calculation full NRML margin is considered due to upcoming changes to SEBI margin requirement. Hedge benefit is obtained while selling the straddle. Combined margin requirement for both Nifty(PE+CE) and BankNifty (PE+CE) Straddle sell is about 3.6-3.8L.
This strategy is expected to be Low Correlated/Negative Correlated with the Trend Following strategy and thus should provide good diversification to one's portfolio.
No Overnight Exposure
This is an intraday strategy and will square off all positions prior to market close everyday.
Period - Jan'17 - Jan'21
Start Capital: 2,50,000
Slippage & Commission: 2%
Period - Feb'19 - Jan'21
Start Capital: 2,50,000
Slippage & Commission: 1%
FORWARD LIVE TESTING
This strategy was put into Forward Live Testing in January 2021 and below is the forward tested performance of the strategy. As can be seen from the performance below, the strategy did well during months(March, April, May) when Trend Following systems across the markets took some hit. On the other hand, it was under water when Trend Following was working well (Jan and Feb).
As a comparison, here is the comparison of performance of DYNAMIC (Trend Following) and VOL HARVEST (Volatility Selling) strategies during the forward testing of this strategy.
DYNAMIC - Futures - (Capital Requirement - 9 Lakhs):
- - DYNAMIC - Futures : Is our flagship Trend Following strategy that trades on Nifty and BankNifty Futures. It trades on our proprietary trading indicator/strategy coded on TradingView.
DYNAMIC - Options - (Lower Capital Requirement - 4 Lakhs):
- - DYNAMIC - Options : Is Options version of the current strategy. That strategy trades on same underlying DYNAMIC signal, but trades on ATM Call/Put Options
Quick Singles - (Capital Requirement - 3 Lakhs):
- Quick Singles is a collection of High Probability Short-Term signals that trades at low frequency of 4-6 trades/month and aim to achieve additional alpha on capital that is used as a buffer to the current strategy.
Disclaimer: As with anything in trading, there is no guarantee that such performance will continue profitably in future. Statistical patterns from past may deteriorate in future. Past performance is not indicative of future performance. Nonetheless, we keep a track of the performance of each signal and will replace/improve them with time based on their performance.