Engaging with Equation-driven Index Options: Precision-Play Calculated-Risks Intraday-Intensity Equation-Empowered Strategy-Structured Risk-Ratioed Algorithm-Aligned Logic-LeveragedDelta-Directed Gamma-Gauged Theta-Themed Vega-Validated Rho-Regulated Alpha-Aligned Beta-Balanced Gamma-Guided Vega-Verified Rho-Rationalized Omega-Optimized Lambda-Leaned Automated Algorithmic Intraday Trading Models
The Archimedes model is a meticulous intraday strategy rooted in mathematical and price action analysis. Initially, the rationale behind trade initiations and exits was openly shared within our Discord channel, offering a transparent glimpse into the strategy’s framework. However, a transformative leap towards automation has now elevated the strategy’s precision and execution speed.
It's a combination of multiple quant-driven intraday trading strategies.
At the heart of Archimedes lies a meticulous amalgamation of renowned quant models such as the Black-Litterman, Fama-French, and Carhart models, Archimedes delves into both historical and real-time data, dissecting price movements and market nuances to foster a profound understanding of intraday market dynamics.
Dyanamic Entry Mechanism
This blend of high-level quant analytics and strategic trade initiation mechanisms empowers Archimedes to respond with alacrity to market fluctuations, ensuring optimized intraday trade executions.
SEBI has released circular no. SEBI/HO/MIRSD/DOP/P/CIR/2022/117 on September 02, 2022, regarding the performance/returns claimed by unregulated platforms providing algorithmic trading strategies, imposing restrictions on disclosing past performance or anticipated returns of any strategy. Due to slippage and varying costs (e.g., different brokerage fees), strategy returns exhibit significant fluctuations. That’s why, we are presenting backtested benchmark results instead.
While serving as a fundamental model for the low-beta, low-volatility Theta Strategy, it adheres to a stringent risk management and rebalancing regimen, with factors being rigorously assessed by the Theta+ Model:
Monetizing Market Events – Unlike Theta, Theta+ aims to monetize high risk events such as key speeches by dignitaries, rate changes, court rulings, key AGMs, GDP updates, report outcomes, and significant market happenings, by dynamically adjusting strategies to capitalize on the market volatility these events often entail.
Option Greek Anomalies – Unlike Theta, Theta+ harnesses the nuanced dynamics of Delta, Gamma, and Theta to exploit a myriad of strategic opportunities. It delves into advanced techniques such as Gamma scalping, Vega stripping, Volatility spreading, Dyamic condors, and Time spreads to monetize the inherent market volatilities
Open Interest Data – Monitoring spikes in open interest and employing various open interest models like the volatility cone, max pain deviation, etc.
Certain Statistical Conditions – Leveraging advanced statistical methodologies like Bayesian Inference alongside Markov Chain processes, the model discerns underlying market dynamics, aiding in the meticulous crafting of exit strategies to mitigate risks and preserve capital.
Give me a lever long enough and a fulcrum on which to place it, and I shall move the world.
Each leg of the trade is monitored individually as if they are separate trades. There are two methods for profit maximization:
Stop Loss Optimization – Exit the trade when the premium expands and reaches the stop loss level, then re-enter based on new resistance (for call options) or new support (for put options).
Profit Optimization – Exit the trade once a specified percentage of the premium has been eroded, to potentially seek better opportunities.
Advanced Volatility Clustering – Employing state-of-the-art volatility clustering techniques to discern periods of market tranquility from turmoil, thus enabling a more informed decision-making for entry and exit points.
Typically, various rebalancing systems are employed based on the account’s past profit, which often leads to deviations from the projected graph.
Initially, the model began with 1 Lot, but as the Lot size and margin varied over time, it’s currently impractical to proceed with 1 Lot due to the fixed per-order brokerage cost, especially given the reduction in quantity from 40 to just 15.
Subsequently, NIFTY was incorporated into the weekly options strategy. Currently, even though Bankex, MidcapNIFTY, and FINNIFTY have initiated weekly options, they are markedly illiquid.