Quick Short 💡

A backtested 𝗜𝗻𝘁𝗿𝗮𝗱𝗮𝘆 𝗠𝗲𝗮𝗻 𝗥𝗲𝘃𝗲𝗿𝘀𝗶𝗼𝗻 trading strategy 📈 📊

Thread ahead 🧵

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What is Reversion to Mean? 🧐

Mean reversion is a concept in finance that suggests, after an extreme price move, stock prices tend to return back to normal or average levels.

Prices do move away from the mean sometimes but revert to the mean price over time.
Extreme price moves away from the mean and is hard to sustain for extended periods.

𝗘𝘅𝗮𝗺𝗽𝗹𝗲:Extreme Gap-ups and Gap-downs

Stock tends to come back to intraday mean prices

or

Longer term moving average (100 and 200 ema) depending on the time frame you are looking at
🔸 Hypothesis:

1️⃣ Whenever stocks have a large opening gap, they tend to come back to the mean levels.
2️⃣ Backtesting is done on Nifty500 Universe and probabilities are calculated on stocks which have highest chance to fall based on historical data.
𝘌𝘹𝘢𝘮𝘱𝘭𝘦:

🔸 So out of say 10 stocks that have opened Gap-up , each stock is ranked based on a proprietary algorithm and the stock with the highest odds to revert to the mean is selected.
Sell Rules :

🔸 Enter at 9:16 to 9:20

🔸 Stoploss Max 10% from entry price for the day

🔸 Capital : ₹1.5 Lakh (Suggested to include drawdowns) excludes the availble margin by broker

🔸 Capital Deployed : ₹1 Lakh Max
𝗦𝘁𝗼𝗽𝗹𝗼𝘀𝘀 𝗧𝗿𝗮𝗱𝗲𝘀:

🔸 Here are the charts that show trades where stop-losses were hit.
𝗠𝗼𝗱𝗲𝗹 𝗕𝗮𝗰𝗸𝘁𝗲𝘀𝘁 𝗮𝗻𝗱 𝗦𝘁𝗮𝘁𝗶𝘀𝘁𝗶𝗰𝘀

🔸 Model was trained for 7 years where all type of market conditions (Bullish, Bearish & Sideways)were covered and a volume filter was applied which filtered 257 stocks from 500.
🔸 This is an 𝗜𝗻𝗰𝗼𝗺𝗲 𝗚𝗲𝗻𝗲𝗿𝗮𝘁𝗶𝗼𝗻 𝗠𝗼𝗱𝗲𝗹 rather than compounding, you can withdraw the profits.
🔸 Here the numbers mean how much the profits are down from the peak profits we made in that particular month. These numbers need not always mean that the p&l went in red.
🔸 Number of trades that were generated in a month on 𝗤𝘂𝗶𝗰𝗸-𝗦𝗵𝗼𝗿𝘁 model
🔸 These are percentage returns in a given month.
🔸 Example : In March 2022 we made 29000 on ₹1 lakh and we lost ₹18k in december 2021
𝗣𝗿𝗼𝘀 & 𝗖𝗼𝗻𝘀:
𝗛𝗼𝘄 𝘁𝗼 𝗣𝗼𝘀𝗶𝘁𝗶𝗼𝗻 𝗦𝗶𝘇𝗲:

Ex:
🔸 Stock: #JKIL is given a short at 9:08am you need to take entry by 9:17 at market price & short it intraday
🔸 Stoploss = 10%
🔸 Position Size = Total Capital/Stock Price
🔸 Position Size =₹1,00,000/₹315 = Approx 300 Qty of JKIL
𝗠𝗼𝗱𝗲𝗹 𝗥𝗶𝘀𝗸𝘀

🔸 This is a very volatile strategy

🔸 In extreme cases, max stop loss of 10% on capital can hit. Assuming you are not taking leverage, else it can be even more.

🔸 Stop loss at 10% or Upper Circuit price, whichever is lower.
🔸 If you do not execute using limit orders, slippage can cause losses

🔸 We do not recommend using broker provided intraday leverage

🔸 You cannot randomly participate in trades, you need to take all trades to get model returns

More from All

APIs in general are so powerful.

Best 5 public APIs you can use to build your next project:

1. Number Verification API

A RESTful JSON API for national and international phone number validation.

🔗
https://t.co/fzBmCMFdIj


2. OpenAI API

ChatGPT is an outstanding tool. Build your own API applications with OpenAI API.

🔗 https://t.co/TVnTciMpML


3. Currency Data API

Currency Data API provides a simple REST API with real-time and historical exchange rates for 168 world currencies

🔗 https://t.co/TRj35IUUec


4. Weather API

Real-Time & historical world weather data API.

Retrieve instant, accurate weather information for
any location in the world in lightweight JSON format.

🔗 https://t.co/DCY8kXqVIK

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प्राचीन काल में गाधि नामक एक राजा थे।उनकी सत्यवती नाम की एक पुत्री थी।राजा गाधि ने अपनी पुत्री का विवाह महर्षि भृगु के पुत्र से करवा दिया।महर्षि भृगु इस विवाह से बहुत प्रसन्न हुए और उन्होने अपनी पुत्रवधु को आशीर्वाद देकर उसे कोई भी वर मांगने को कहा।


सत्यवती ने महर्षि भृगु से अपने तथा अपनी माता के लिए पुत्र का वरदान मांगा।ये जानकर महर्षि भृगु ने यज्ञ किया और तत्पश्चात सत्यवती और उसकी माता को अलग-अलग प्रकार के दो चरू (यज्ञ के लिए पकाया हुआ अन्न) दिए और कहा कि ऋतु स्नान के बाद तुम्हारी माता पुत्र की इच्छा लेकर पीपल का आलिंगन...

...करें और तुम भी पुत्र की इच्छा लेकर गूलर वृक्ष का आलिंगन करना। आलिंगन करने के बाद चरू का सेवन करना, इससे तुम दोनो को पुत्र प्राप्ति होगी।परंतु मां बेटी के चरू आपस में बदल जाते हैं और ये महर्षि भृगु अपनी दिव्य दृष्टि से देख लेते हैं।

भृगु ऋषि सत्यवती से कहते हैं,"पुत्री तुम्हारा और तुम्हारी माता ने एक दुसरे के चरू खा लिए हैं।इस कारण तुम्हारा पुत्र ब्राह्मण होते हुए भी क्षत्रिय सा आचरण करेगा और तुम्हारी माता का पुत्र क्षत्रिय होकर भी ब्राह्मण सा आचरण करेगा।"
इस पर सत्यवती ने भृगु ऋषि से बड़ी विनती की।


सत्यवती ने कहा,"मुझे आशीर्वाद दें कि मेरा पुत्र ब्राह्मण सा ही आचरण करे।"तब महर्षि ने उसे ये आशीर्वाद दे दिया कि उसका पुत्र ब्राह्मण सा ही आचरण करेगा किन्तु उसका पौत्र क्षत्रियों सा व्यवहार करेगा। सत्यवती का एक पुत्र हुआ जिसका नाम जम्दाग्नि था जो सप्त ऋषियों में से एक हैं।