Rajandran R FollowCreator of OpenAlgo - OpenSource Algo Trading framework for Indian Traders. Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Building Algo Platforms, Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in

Simple EMA Crossover Intraday Option Buying Strategy – Do Simple Trading Strategies Really Work? [Part5]

1 min read

Do simple Trading strategies really work in Indian Markets? It is the curiosity that remains among most of the traders. Does a simple technical condition like EMA Crossover in Nifty Futures however execution in Buying Nifty At the Money ATM Options(Intraday Strategy), can one will be able to generate consistent returns? Let’s find out.

Here are the Complete Strategy Rules

Strategy Type: Pure Intraday Weekly Options Strategy

Timeframe Used : 5minutes

ATM CEEntry on Positive EMA Crossover

Buy Nifty ATM CE Option when EMA 9 and EMA 26 positive EMA crossover happened and exit ATM CE there is a negative crossover happened.

ATM PEEntry on Negative EMA Crossover

Buy Nifty ATM PE Option when EMA 9 and EMA 26 negative EMA crossover happened and exit ATM CE there is a positive crossover happened.

Total Number of Entries Per Day : 1 Trade Total Number of Exits Per Day : 1 Trade

Execution Type: End of the 5min Candle from Nifty Futures (Analysis in Nifty Futures -> Execution in Nifty ATM Options)

Strategy Start Time : 09:15 Stategy End Time : 15.20

We used Quantman as a backtesting tool to validates the Entry and Exit conditions. Quantman is an advanced backtesting tool for quant traders who want to design simple to complex trading strategies without any coding effort.

And my sincere thanks to the Quantman team to bring such simplified efforts to short traders like us.

Equity Curve

Here is the generated equity curve since 1st Jan 2018 to till to date.

Total 727 trades generated with a winning probability of 35%. We know that option buying strategies generally have a lower win rate. However consistency is the key here with an max loss of 7,822 and a max gain of Rs33753.

Max Drawdown comes towards 30,090 levels. And there are certain emotional factors traders have to take care 18 days of a consecutive losing streak could be at times emotionally damaging but still considering the max drawdown strategy still looks emotionally manageable.

What do you think such kind of slow and steady equity curve rise? can one can trade a sizable capital emotionally with such a lower win rate? Place your comments below.

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Rajandran R FollowCreator of OpenAlgo - OpenSource Algo Trading framework for Indian Traders. Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Building Algo Platforms, Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in

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11 Replies to “Simple EMA Crossover Intraday Option Buying Strategy – Do…”

Can this Strategy be coded in Amibroker can you share the AFL code?

Also the back testing platform you mentioned is free or Charged?

Backtesting platform is amazing. Sharing view about the backtesting. Constant draw down is something things to ponder. I have Q regarding ROI. Assuming average ATM could be approximately 100 x75 meaning 7500 per lot. and merry profit mentioned here assuming it is for 1 lot. It is 265657/75 = 3500 points. So for 4 years intra day. 100 points it is 3500 which which is 35 times which is very good returns. Is any understanding right?

Slippages and Commission needs to be included other wise it is a good strategy as per intraday trading perspective.

Run the program for period Mar 20 to Mar 21 and publish the result to have a recent look
. The attractiveness of the strategy is that average gain is for outweighs the average loss resulting in good margin of profit on investment made.

Slippages could be a major issue when you scale up quantity. Need to see all trades to analyze in detail.

Sir, does this include transaction costs?

Transactions and Slippages are not included.

I am getting error message as file not found (include failed because file not found).
I have done all the things as said .

Can you do same backtest for BNF weekly options sir?

Can this Strategy be coded in Amibroker can you share the AFL code?

Also the back testing platform you mentioned is free or Charged?

Already Strategy with Execution is Possible with Algomojo. Here is the module for that.

https://www.marketcalls.in/amibroker/send-option-orders-from-futures-or-spot-symbol-in-amibroker-using-algomojo-platform.html

Backtesting platform is amazing. Sharing view about the backtesting. Constant draw down is something things to ponder. I have Q regarding ROI. Assuming average ATM could be approximately 100 x75 meaning 7500 per lot. and merry profit mentioned here assuming it is for 1 lot. It is 265657/75 = 3500 points. So for 4 years intra day. 100 points it is 3500 which which is 35 times which is very good returns. Is any understanding right?

Slippages and Commission needs to be included other wise it is a good strategy as per intraday trading perspective.

Run the program for period Mar 20 to Mar 21 and publish the result to have a recent look

. The attractiveness of the strategy is that average gain is for outweighs the average loss resulting in good margin of profit on investment made.

Slippages could be a major issue when you scale up quantity. Need to see all trades to analyze in detail.

Sir, does this include transaction costs?

Transactions and Slippages are not included.

I am getting error message as file not found (include failed because file not found).

I have done all the things as said .

Can you do same backtest for BNF weekly options sir?

Will try out and update the results.