Back-Up๐ก
A backtested ๐๐ป๐๐ฟ๐ฎ๐ฑ๐ฎ๐ ๐ ๐ฒ๐ฎ๐ป ๐ฅ๐ฒ๐๐ฒ๐ฟ๐๐ถ๐ผ๐ป trading strategy ๐ ๐
Thread ahead ๐งต
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A backtested ๐๐ป๐๐ฟ๐ฎ๐ฑ๐ฎ๐ ๐ ๐ฒ๐ฎ๐ป ๐ฅ๐ฒ๐๐ฒ๐ฟ๐๐ถ๐ผ๐ป trading strategy ๐ ๐
Thread ahead ๐งต
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What is Reversion to Mean? ๐ง
Mean reversion is a concept in finance that suggests, that after an extreme price move, stock prices tend to return back to regular or average levels.
Prices do move away from the mean sometimes but revert to the mean price over time.
Mean reversion is a concept in finance that suggests, that after an extreme price move, stock prices tend to return back to regular or average levels.
Prices do move away from the mean sometimes but revert to the mean price over time.
Extreme price movements away from the mean are hard to sustain for extended periods.
๐๐ ๐ฎ๐บ๐ฝ๐น๐ฒ:Extreme Gap-ups and Gap-downs
Stock tends to come back to intraday mean prices
or
Longer-term moving averages (100 and 200 ema) depending on the time frame you are looking at
๐๐ ๐ฎ๐บ๐ฝ๐น๐ฒ:Extreme Gap-ups and Gap-downs
Stock tends to come back to intraday mean prices
or
Longer-term moving averages (100 and 200 ema) depending on the time frame you are looking at
๐ธ Hypothesis:
1๏ธโฃ Whenever stocks open gap down considerably, they tend to come back to the mean levels.
2๏ธโฃ Backtesting is done on NIFTY50 Universe and probabilities are calculated on stocks which have highest chance to fall based on historical data.
1๏ธโฃ Whenever stocks open gap down considerably, they tend to come back to the mean levels.
2๏ธโฃ Backtesting is done on NIFTY50 Universe and probabilities are calculated on stocks which have highest chance to fall based on historical data.
๐ธ If you notice the universe of stocks for ๐๐ฎ๐ฐ๐ธ-๐๐ฝ ๐ถ๐ ๐ก๐๐๐ง๐ฌ๐ฑ๐ฌ vs. ๐ก๐ฆ๐๐ฑ๐ฌ๐ฌ ๐ณ๐ผ๐ฟ ๐๐ต๐ฒ ๐ค๐๐ถ๐ฐ๐ธ ๐ฆ๐ต๐ผ๐ฟ๐ Model.
๐ธ The reason is, the odds of an upward mean reversion is greater with NIFTY50 stocks compared to NSE500 stocks.
๐ธ The reason is, the odds of an upward mean reversion is greater with NIFTY50 stocks compared to NSE500 stocks.
๐๐น๐ข๐ฎ๐ฑ๐ญ๐ฆ :
๐ธ So out of say 10 stocks that have opened Gap-down , each stock is ranked based on a proprietary algorithm and the stock with the highest odds to revert to the mean is selected.
๐ธ So out of say 10 stocks that have opened Gap-down , each stock is ranked based on a proprietary algorithm and the stock with the highest odds to revert to the mean is selected.
Buy Rules :
๐ธ Enter on 9:16 to 9:20
๐ธ Stoploss Max 5% for the day
๐ธ Capital : 1.5 Lakh (Suggested including DD) Excluding the available margin by broker
๐ธ Capital Deployed : 1 Lakh Max
๐ธ Exit at 3:15pm to 3:20pm before MIS Square Off time
๐ธ Enter on 9:16 to 9:20
๐ธ Stoploss Max 5% for the day
๐ธ Capital : 1.5 Lakh (Suggested including DD) Excluding the available margin by broker
๐ธ Capital Deployed : 1 Lakh Max
๐ธ Exit at 3:15pm to 3:20pm before MIS Square Off time
๐ธ ๐๐ถ๐๐ฒ ๐ง๐ฟ๐ฎ๐ฑ๐ฒ๐
๐ธ ๐ฆ๐๐ผ๐ฝ ๐๐ผ๐๐ ๐ง๐ฟ๐ฎ๐ฑ๐ฒ๐
Here are the charts that show trades where stop-losses were hit.
Here are the charts that show trades where stop-losses were hit.
๐ ๐ผ๐ฑ๐ฒ๐น ๐๐ฎ๐ฐ๐ธ๐๐ฒ๐๐ ๐ฎ๐ป๐ฑ ๐ฆ๐๐ฎ๐๐ถ๐๐๐ถ๐ฐ๐
๐ธ Model was trained for 7 years where all types of market conditions (Bullish, bearish & sideways) were covered.
๐ธ Model was trained for 7 years where all types of market conditions (Bullish, bearish & sideways) were covered.
๐ธ This is an ๐๐ป๐ฐ๐ผ๐บ๐ฒ ๐๐ฒ๐ป๐ฒ๐ฟ๐ฎ๐๐ถ๐ผ๐ป ๐ ๐ผ๐ฑ๐ฒ๐น rather than compounding, you can withdraw the profits. The model stats assume you invest a fixed capital for each trade.
๐ธ Here the numbers mean how much the profits are down from the peak profits we made in that particular month.
๐ธ These numbers need not always mean that the P&L went in red.
๐ธ These numbers need not always mean that the P&L went in red.
๐ธ Number of trades that were generated in a month on Back-up model.
๐ธ These are percentage returns in a given month.
๐ธ Example: In March 2022 we Lost โน8500 on โน1 lakh and we made โน19,000 in June 2021.
๐ธ The Model from May has entered into a time drawdown where we havenโt made any money from the past few months.
๐ธ Example: In March 2022 we Lost โน8500 on โน1 lakh and we made โน19,000 in June 2021.
๐ธ The Model from May has entered into a time drawdown where we havenโt made any money from the past few months.
๐ฃ๐ฟ๐ผ๐ & ๐๐ผ๐ป๐:
๐๐ผ๐ ๐๐ผ ๐ฃ๐ผ๐๐ถ๐๐ถ๐ผ๐ป ๐ฆ๐ถ๐๐ฒ:
๐ธ Stock name: #BhartiAirtel, a long signal was given at 9:08am, you need to take entry by 9:17am at market price
๐ธ Stoploss: 5%
๐ธ Stock name: #BhartiAirtel, a long signal was given at 9:08am, you need to take entry by 9:17am at market price
๐ธ Stoploss: 5%
๐ธ Position Size = Deployed Capital/Stock Price
๐ธ Position Size = โน 1,00,000 / โน 678 = Approx 145 Qty of #BhartiAirtel
๐ธ Position Size = โน 1,00,000 / โน 678 = Approx 145 Qty of #BhartiAirtel
๐ ๐ผ๐ฑ๐ฒ๐น ๐ฅ๐ถ๐๐ธ๐
๐ธ This is a low win rate model
๐ธ In extreme cases, max stop loss of 5% on capital can hit. Assuming you are not taking leverage, else it can be even more.
๐ธ This is a low win rate model
๐ธ In extreme cases, max stop loss of 5% on capital can hit. Assuming you are not taking leverage, else it can be even more.
๐ธ If you do not execute using limit orders, slippage can cause losses
๐ธ We do not recommend using broker provided intraday leverage
๐ธ You cannot randomly participate in trades, you need to take all trades to get model returns
๐ธ We do not recommend using broker provided intraday leverage
๐ธ You cannot randomly participate in trades, you need to take all trades to get model returns
If you liked this quantitative model and want to see it in action drop your email here and get invited to our exclusive beta program !! ๐๐ผ
๐ - investmint.club
You can also RT the first tweet to get the link in DM! ๐
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๐ - investmint.club
You can also RT the first tweet to get the link in DM! ๐
(Must be following to receive the DM)
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