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. Unlike BankNIFTY Lavania Model, We had discontinued NIFTY Lavania model for a while in the middle because there was a significant correlation between them.
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.
- 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.
Lavania Model is about selling Index Volatility Spreads (Options with zero deltas) in a statistical and price action-based approach. It takes two types of trade.
- Positional delta-neutral naked strangles based on price action theory and fundamental cues with proper risk management systems. This is our proprietory “Lavania” model.
- Intraday trades mostly on the day of expiry.