We Don’t Backtest
The Google Sheet is connected to the broker account. It syncs the positions via python and GSpread module. You can click on different tabs to tally yearly performance.
Now, for rebalancing and managing the risk we see many things –
- Fundamental Events (Prime Minister or Finance Minister Speech, Interest Decision, Supreme Court Decisions, Important AGMs, GDP Announcement, Results, Major events, etc.).
- Option Greek Anomaly.
- Open Interest Data.
- Some Statistical Conditions.
Usually, We follow different types of rebalancing systems based on the account’s past profit that often will generate deviation from the graph here. To reduce the drawdown the rebalancing time is very short! It cuts positions many times within the same week. That’s why we call it Squirrel.
- Different Broker has different square off times. It will entail different results.
- Brokers like Zerodha blocks strike price. So, We often deviate from Model and take aggressive strike prices causing a deviation.
- The margin increment did not impact significantly as We take OTMs but the margin dynamically expands near 50% if the positions become ATM. So, We are taking this strategy strategically on the accounts having the buffer margin.
Squirrel Model is about selling Index Directional Spread on Positionally in a price action-based approach and selling Volatility Spreads on Intraday Models (Options with zero deltas). Apart from these, there are certain more characteristics –
- Dynamic Margin: It can scale up to 200 Lots at ease. It checks the margin system dynamically and allocates positions based on past position greeks. Unlike Lavania Model, The Gamma is more important here.
- It is an extremely aggressive model and trade heavy model. The higher the capital, the lower the trade cost. (Brokerage of 1.5L and 10L account is the same. Right?)
- Lots of Intraday trades can happen any day with small stop losses.