Trading Multiple Straddles

In Trading Continues research would be unavoidable one of my friend suggested to this Strategy which attracted me that it is worth to study further

The Strategy is

in any month nifty likely to trade in 1000 Points range one can benefit from this information by selling 10 Straddles

for example if nifty is trading at 10000 one can sell 9500 Straddle 9600 Straddle to 10500 Straddle since nifty likely to expire between 9500 to 10500 one can benefit time value

My Belief

Market is so dynamic So any fixed Strategy would not give money all times one need to  adjust options Position according to market condition that is the only way to succeed from option trading

let us see how it works

The purpose of this post is not to promote this Strategy.. Since I always like see to maximum draw down then the profit… Unfortunately most of Strategy sellers and technical bookes explains more on profit than drawdown. most of new traders even don’t know what is Drawdown.

Coming to strategy back testing  options Strategy is always tough one if the Strategy requires any adjustments than it increases complexity of the project…..

here I going present My Studies based on this Strategy in different conditions .. unlike my posts this post would be updated quite frequently. I Plan to update my backtest results here…

Before seeing the backtest results I would like say one need atleast 10 Lakh Margin to adapt this Strategy….  I would calculate the rate of return from this margin only. but if one has big portfolio in Cash segment one can get margin by pledging this shares with broker on that  case the income generated from this Strategy would be bonus one…

Let us Start to test this Strategy from worst Day ( as per Assumption )

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on 19 -9 -2017 Nifty  closed at 10147.55 if one sold Straddles from 9600 to 10600 then he would have collected 3318.90 on 28.9.17 this portfolio ended at 4065.. ie 56025 Loss So By approx 6% Loss from margin capital 10 Lakh…. Note this was period when market moved suddenly the purpose of choosing this period to measure the drawdown…

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let us look what would be results one took the same Strategy on 5-9-2017 on that time nifty was trading 9952 so Straddles from 9500 to 10500 Taken. On 5-9-2017 the Porfolio was Trading @ 3847 points on 28-9-2017 it ended @ 3492 ie 355 Points profit

one might have yielded 2.5% Return in this Period

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let us look the performance from 3-7-2017 to 27-7-2017

on 3-7-2017 the portfolio value was 3651 and 27-7-2017 it was 4754 So 1103 Points Loss

ie 8.5% Loss from margin

if we look below chart the portfolio moved with nifty(Trending market)

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Let us Another Period it was 2-6-2017 to 29-6-2017 (10100-9100 Straddles )

the portfolio traded on 2-6-2017 at 3632 it closed  3027.75 on 29.6.2017

ie 600 Pts Profit 4.5% Return from margin Capital

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My Take Away from these above Backtests

  • This Strategy works well in sideways Market similar to Short Strangle
  • When Market Starts trending it is better to adjust deltas
  • When Market Stays same Price level for more than 10 Days it is better to close Trades by booking profit

 

 

 

 

 

 

 

 

 

 

 

 

 

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Nifty Neowave Observation as on 28-07-2017

nifty.jpg

  • Nifty Likely trading in wave 3 of minor Degree
  • in minute Counts Wave 3 reached 0-2 trend line this gives some un clarity of ongoing pattern
  • Since 0-2 Trend line in minor degree holds we can assume that Wave 3 is going on
  • above observation same as prev week
  • one can hold long by maintaining stop loss at 9790
  • Since Nifty Trading in wave (v) in minuette degree after completion of wave (v) one can expect a fall up to 9450

Let us see daily chart

nifty1

the clarity in Daily time frame is less as the stating point of wave 5 is quit confusing one.

it may be either 9838 ( on this case wave 4 would shorter in time my one unit ) or 9919

So Trading based on the above chart would tricky one.

One can exit part long either two cases

  1. if market reverses near 10050 ( need to decide this using intraday chart)
  2. if market crashed straightly below 9940

 

in both cases the re entry point (for long) would the high made during the intraday.  one could avoid re entry if the index crossed below 9790 in this case we can assume the impulse waves (atleast in 3 cycle s) ended at 10114 So We can look for shorting opportunities

 

My Wave Structure

NIfty2

 

 

 

 

 

Nifty Wave Observations as on 21-7-2017

Weekly

nifty

  • Nifty Likely trading in wave 3 of minute Degree
  • in minuette Counts Wave 3 reached 0-2 trend line this gives some un clarity of ongoing pattern
  • Since 0-2 Trend line in minute degree holds we can assume that Wave 3 is going on
    The above observation can be in validated if 9650 breached

Daily

nifty1

  • The index may be trading in wave 1 of minuette degree of Wave 5 in minute degree
  • If Prior pattern Wave 4 of minute degree was contracting triangle the index should exceed 9960 (125% Maximum length of CT)
  • So Clarity is less in daily time frame
  • Those who hold longs Can hold it using trialing stop loss below 9650
  • No Fresh Long Recommended unless nifty crosses 9960
  • Nearest gann Support is 9800
  • Nearest gann resistance is 10000
  • Gann Angle range 9840-9889-9939-10039 (Based on low 9448)

Wave Structure (Suspecting)

NIfty2

 

Nifty Wave Analysis on 29-06-2017

Yesterday move changed my view slightly now we have two scenarios

nifty

  • The Index Trading Wave {v} (Intermediate Degree)
  • Under the fifth wave it is trading in Wave (4) (minor degree)
  • Wave 4 looks like forming either an expanding triangle or a neutral Triangle

Case 1 Expanding  Triangle

  • this scenario would confirmed only if 9425 breached
  • Wave E of expanding triangle normally very violent one so expect some big volatile in next 4 to 5 trading session before wave (5) commences
  • An Expanding triangle rarely retraces fully So I hope 9709 would be top for short to medium term
  • Fibonacci support would be 9438

Case 2 Neutral  Triangle

  • this scenario would be Possible as long as 9425 holds
  • A Breach above 9576 on Friday or monday would enhance more chances for this scenario

 

as long as 9370 holds I expect wave {v} would trending impulse else it would be terminal impulse one.  on that case nifty would test 9000 levels

 

 

My Observation in nifty and bank nifty as on 27-06-17

Due to personal works I could not able to write any post last few weeks

here is my Observation in nifty

nifty

  • The Index Trading Wave {v} (Intermediate Degree)
  • Under the fifth wave it is trading in Wave (4) (minor degree)
  • Wave 4 looks like forming an expanding triangle
  • Wave E of expanding triangle normally very violent one so expect some big volatile in next 4 to 5 trading session before wave (5) commences
  • An Expanding triangle rarely retraces fully So I hope 9709 would be top for short to medium term
  • As long as 9540 holds I expect nifty likely to fall minimum 9440
  • 9475 would minor support
  • Gann supports are 9409 to 9415 (then 9319)
  • Fibonacci support would be 9438

Bank nifty Observation

BNF

  • The Index seems to Just finished Wave (3) (minor degree)
  • in Intermediate degree it is still trading Wave {3}
  • inside Wave (v) a Terminal impulse found if this observation is correct then one can expect a minimum fall up to 22470 in next 10 Trading sessions
  • medium term support (Fibonacci ) are 22193 and 21666
  • Nearest Gann support is 23104
  • Nearest Gann Resistance is 23409

Due to time constraint I could not post the details of weekly and monthly charts will try cover it on my next post.

Happy Trading!!!!

 

Nifty Forecast for New financial Year

Observation on Monthly chart as on 31-3-2017

nifty

  • it assumes [i] started from 5118.85 (Main Cycle )
  • Now Wave [ii] is in progress
  • Wave {E} (Primary ) (of Wave [ii]) Retraced slowly. So Possibilities of Neutral Triangle Negated
  • Preferable Pattern in side Wave [ii] would diametric
  • One Cannot ignore possibilities of Irregular Flat in side Wave [ii]
  • RSI Divergence Seen in Monthly chart
  • Currently Wave {F} (primary ) of Wave [ii] is in progress ( assuming a diamteric is forming )
  • if Diametric is forming then we can expect Wave {F} would conclude in APR 17 or May 2017
  • After completion of wave {F} a minimum 60% fall expected within Dec 2017
  • As long as nifty Crosses 9750 one can assume that nifty trading either F Wave of a diametric pattern or B Wave of irregular Flat

Continue reading →

Nifty View as on 17-1-2017

Though I still hold my view as per weekly wave chart, my view on daily chart changed

here is most probable Count in Daily Chart

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Observation

  • as of now it is unclear that whether an impulse wave is forming or a zigzag
  • to expect impulse at worst case the index should breach 8100
  • if 8461 taken out before next 4 trading days then we can consider wave (iii) or ( Wace [c) still in Progress
  • to move as per expected way the index must trade between 8461 and 8287 for next 5 days

Trading Strategy

Buy on dips as long as  8287 Holds

or sell 8200 PUT keeping stop loss below 8287

 

Nifty view as on 6-1-2017

in my last post I had six scenarios after a week now I have only two scenario  in weekly time frame.

First look at below one

nifty1

please refer my last post for higher degree count in monthly and half yearly chart on long term view. as per this view I expect some range bound movements for next couple of months before it takes journey on north direction.

Preferred count in weekly

nifty2

as per above count nifty forming a zigzag pattern in currently it is trading in wave b (Circled in red)

wave b forming as flat one and its wave (C) is in progress. if inside wave (C) if any correction pattern occur than we need to change the count

let us see daily chart to look pattern details of rise from 7893

nifty3

the rising pattern from 7893 still unclear it may be terminal impulse or a diametric one

if it is terminal one then it’s fourth wave must fall below 8100 and should not breach 8020

So one can maintain short Position till 8100 keeping stop loss at 8306 and take long below 8100 keeping stop loss below 8020

at the same time if on 9-1-2016 if nifty breaches 8180 then chances are their that a diametric  pattern finished at 8306.85

So until a clear pattern seen in wave chart it is better to stay away from trading

 

 

 

 

 

 

Unbiased short term view on nifty

before seeing short term view let us see six month wave chart sensex to get clarity of my counts

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as per above count we are very close to final wave of Wave [2] which started from 1992

now we will zoom it in monthly wave chart

2

I have no change in my view in monthly chart. as per above chart the index is in wave {E}

but the pattern  inside Wave {E} very unclear… year 2016 taught me some lesson that keeping alternate count help much accurate forecast

“alternate wave counts.”
A good Elliott wave analyst will look at the charts, recognize the various count options, then assign a level of probability to each of them. The wave count with the best odds of success (one that meets all 3 rules of Elliott and the maximum number of guidelines) becomes the preferred count. If the market “refuses” to follow the suggested path, then perhaps the alternate count (one that also meets all 3 rules of Elliott, but fewer guidelines) may move to the forefront of consideration.
The ideal is to have more than one wave count that point in the same direction. That increases the chances of your forecast, making it more a matter of which path, rather than which direction, the market will most likely take.
By Tom Prindaville -Elliot Wave International

let us few Possible counts as per neowave

nifty1

nifty2

nifty3

nifty5

So we have all view 3 Possible view this suggest that the index is trading middle stage of one pattern and only future price action tells possible scenario.

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Since I still hopes that the rally from 6825 to 8968 is a double combination. I already told in my last post that nifty should touch minimum 7690 before any further rise .So my Preferred count would be sixth one as per above chart

Since Daily wave chart is not showing any clarity for trade setups I skip the trade  as long as some clarity in daily wave chart appears 🙂

 

 

 

Nifty short term view

nifty1

Weekly chart observation

  • as said in last post if the raise from 6825 to 8968 is double combination then nifty must test 7690
  • the fall from 8968 looks like a zigzag pattern and wave {b} is on progress. at the time one can not ignore chances for an impulse also
  • the wave {b} ( or wave {ii}) looks like an irregular flat pattern C Failure
  • I suspect the flat pattern finished at 8274.95 . But to confirm that nifty must fall below 7915 before Dec 30 2016

let us look daily chart for trade setup

nifty2

the pattern after 8274 in daily chart looks like middle of a pattern.

 

trade set up

as of now I expect some support @ 8055 which 0.618 level ( from 7916 to 8274)

at the same time resistance near 8230

 

So One can sell 8200 CE (small qty above 8145) keeping stop loss above 8230 for target of 8090 to 8070

one can also re enter short if nifty breaks 8050 comfortably