Running a single strategy vs running multiple uncorrelated strategies. If you ask me whats major difference between the two, I would say it greatly helps you to stay disciplined in the long run. Because single systems are prone to prolonged drawdowns, this is when most of the traders lose faith in their system, start doubting it and eventually quitting the system and they try jumping to new one.
When multiple uncorrelated systems are running with multiple instruments, the over all drawdown is grealtly reduced and also time dradown will be very minimal. It basically helps you sail through rough phase with ease. So aim of launching squareoffbots v3 with basket of strategies is not to generate outstanding returns, but to generate consistent returns with least drawdown.
Details:
Instruments: Bank Nifty, Nifty and FinNifty
Option Type: Weekly / Intraday
Minimum capital requirement: 3 lacs
Core philosophy: Combine trend following and mean reversion. So we will a two strategies, one will ride the trend and makes profit if market moves in one sided direction and the other one works well if market stays in range bound. Historically we have observed that more than 90% of the time day high/ day low is formed during first 1 hour of the day. Which basically means market mostly trends/moves in one sided direction during the first half and stays in range bound in second half. The option decay is also faster closer to the end of the day.
So our system will initiate one system in the morning at 9:20 and exit at 13:15. Then will initiate second system in the noon at 13:15 and exit at 15:20. The morning system is for trend following and noon system is for the range bound. This way the margin gets released to take the second trade and two strategies can be traded easily without shortfall of margin.
Types of Baskets:
We will segregate the baskets based on the instruments. BNF, NF & FIN.
Margin blocked for these instruments is based on the exchange. So as long as you have the required margin in your account, orders will go through. To trade one lot
BNF margin varies from 1.5 to 1.8 lacs
Nifty margin varies from 1.3 to 1.5 lacs
FinNifty margin varies from 1.1 lacs to 1.3 lacs.
You can decide the allocation, you can allocate equally on all instruments or increase/decrease the allocation towards any instruments.
Here’s the stats for Bank Nifty
We have deducted 0.5% as slippages from gross results, in addition to that we have added all charges brokerage, set, gst, Sebi fee, stamp duty, clearning charges, exchange transactions charges etc. This way we will know what will be the realistic returns we would get.
Considering 2 lacs per lot to trade Bank Nifty basket, with 4 lacs we would have traded 2 lots. Here’s the yearly net returns after all charges and slippages.
Here’s the month wise net returns
Here’s the day wise net returns
Here’s the total metrics for Bank Nifty
Here’s the stats for Nifty
We have deducted 0.5% as slippages from gross results, in addition to that we have added all charges brokerage, set, gst, Sebi fee, stamp duty, clearning charges, exchange transactions charges etc. This way we will know what will be the realistic returns we would get.
Considering 1.5 lacs per lot to trade Nifty basket, with 3 lacs we would have traded 2 lots. Here’s the yearly net returns after all charges and slippages.
Here’s the month wise net returns
Here’s the day wise net returns
Here’s the total metrics for Nifty
Here’s the stats for FIN Nifty
We have deducted 0.5% as slippages from gross results, in addition to that we have added all charges brokerage, set, gst, Sebi fee, stamp duty, clearning charges, exchange transactions charges etc. This way we will know what will be the realistic returns we would get.
Considering 1.2 lacs per lot to trade FIN Nifty basket, with 3 lacs we would have traded 2 lots. Here’s the yearly net returns after all charges and slippages.
Here’s the month wise net returns
Here’s the day wise net returns
Here’s the total metrics for FIN Nifty
By trading all instruments baskets, we generate better returns. Here’s the stats if you traded with Bank Nifty, Nifty and Fin Nifty. (4 lacs capital considered from 2017 to 2019 since only BNF weekly option was there, 7 lacs capital considered from 2019 to 2022 since both BNF and Nifty were there, 10 lacs capital considered from Oct 2022 to 2023 since FinNifty was added to it)
