This post is to share the BN Delta Neutral profit/loss details.
It is a intraday strategy which takes position in 0.5 delta CE/PE legs of Bank Nifty (ATM Straddle) and then makes adjustment to keep overall delta within a limit during the day. Adjustments are done when difference between CE/PE delta becomes more than limit (say x) to adjust the profit making leg to neutralize the delta. Again when delta difference goes beyond this limit (x) the existing positions are squared off and strategy takes a re-entry. Similar kind of strategies can be tried with 0.25 delta legs which will have lesser MDD along with less profit.
There is no maximum SL or limit for re-entries for this strategy and hence position size is the key here to limit the risk. On a trending day with ever increasing VIX this strategy can give a heavy loss.
Note (4-Feb-23): In view of 9k per lot loss on 1-Feb when Bank Nifty moved in a range of 2500 points, the strategy is now modified to not to take re-entry once the range between Bank Nifty day low and day high goes beyond 1500 point
Note (4-Mar-23): Stopped trading this strategy from 16-Feb-23 and starting it again from 06-Mar-23
CAN I SET UP THIS STRATEGY ON QUNANTIPLY ?
ReplyDeleteNo currently Quantiply doesn't have feature for this
DeleteCan share strategy links please sir
ReplyDeleteThis strategy is not available for duplication as this is a third party strategy
DeleteIs it available on charges basis?
DeleteNo the setup is not available on charge basis
DeleteThank you the detail explanation of the strategy, where can I find any link of the strategy.
ReplyDeleteWhat is the adjustment criterion for delta to book profit/loss?
ReplyDeleteHow are the adjustments done ?
ReplyDeleteThe shared code to see live/historical trades for this strategy is already shared on my blogpost https://arunstrategy.blogspot.com/2022/11/tradetron-shared-strategy-code-to-see.html It can be used to see how adjustments are being done
DeleteThanks Arun for sharing this strategy.
ReplyDeleteEntry: 09:25 Exit: 15:15.
Entry to nearest to 0.50 delta or spot ATM.
Repair Once to CE: when net delta is =>5 i) Exit Entry CE leg ii) Entry a new CE strike having delta equal to delta of entry PE leg at that time.
Repair Once to PE: when net delta is =<-5 i) Exit Entry PE leg ii) Entry a new PE strike having delta equal to delta of entry CE leg at that time.
How adjust the new positions then
DeleteWhat is the exit cut-off time here?
ReplyDeleteWhat is the entry cut-off time here?
ReplyDeleteNo, it's about exiting profitable leg and neutralise delta of other leg and exit if it's breached again. And make new straddle
ReplyDeleteHow to subscribe to this strategy?
ReplyDeleteI see that your entry time is different on different days, are you taking entry seeing market conditions?
ReplyDeleteEntry time is different for Friday only as it is assumed that first 15 minutes are volatile on Fridays as traders make new positions for new weekly expiry contract. As this strategy takes exit during the day and then re-enters again freshly the counter will change so it will show entry has happened in the middle of day. However first entry for a day will be at fixed time only. Subsequent entries in same day depends on market conditions
Deleteyes makes sense. What is the MTM SL you are using? It is 2% of capital?
DeleteThere is no MTM SL for this strategy. This is advantage as well as dis-advantage of this strategy. Dis-advantage is that on a fully trending day where IV keeps on spiking it can give lot of loss. Advantage is that even if it is a trending day but IV cools down during later part of the day, it can recover that loss as in one way it shorts volatility through re-entries. So I manage the risk by position sizing i.e. by taking very few lots of this.
DeleteI understand the logic. But dont you think that not having SL in the system can cause unexpected issue, because the market regime keeps changing.
DeleteArun sir, you enter a ce and pe at.50 delta and wait for net delta to reach above 5 delta...?? Let's say on a Monday which is mostly a trending day we enter@.5 delta which should be around 550 net Including ce and pe .and by the time the net delta reaches 5 the net value will be around 1600-1750..pls correct me if I m wrong..
ReplyDelete.5 delta to 5 delta is a long way..🥲
net delta is at lot level which is equal to 25 * 0.2 (delta difference) so when delta difference b/w CE & PE becomes 0.2, at lot level it will be 5
DeleteSir, what adjustments are there? Would you elaborate a little...
ReplyDeleteElaborated the logic little more in the blogpost. This combined with the live trades by using tradetron shared code can be used to find the logic of strategy.
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