Project by -
Shreya Bhattacharya
Senior Undergraduate
Indian Institute of Technology Kanpur
Project Description
Enhancing Intraday Trading through Strategy Analysis and Volatility Management," an in-depth exploration of financial markets and sophisticated trading strategies was conducted. The primary goal was to leverage advanced computational methods for identifying high-potential trading opportunities and effectively managing risk through options and hedging techniques. The project focused on the NIFTY200 stock index, employing meticulous calculations and strategic approaches to intraday trading.
The project encompassed several key steps and methodologies:
- Volatility Analysis and Stock Selection:
Rigorous analysis was carried out on historical data to calculate the standard deviation of stock prices. This enabled the identification of stocks with high volatility, a crucial factor in intraday trading. The NIFTY200 stock index served as the basis for stock selection, ensuring a diverse range of options for trading strategies.
- Long and Short Positions:
Utilizing the identified high volatility stocks, the project employed a combination of long and short positions to capitalize on market movements. Long positions were taken on stocks with the potential for upward movement, while short positions were established on those with potential downward movement.
- Strategy Back-Testing:
The project involved a comprehensive back-testing phase, wherein various options trading strategies were rigorously evaluated. Strategies like the Short Call Butterfly and Call Ratio Backspread were meticulously tested on historical data. Parameters such as gamma, delta, and drawdown were systematically optimized to enhance the effectiveness of these strategies.
- Option Theory and Black-Scholes Model:
An exploration of option theory, including concepts such as put and call options, was undertaken. The project delved into the intricacies of the Black-Scholes Model, a renowned mathematical framework for pricing options. This model played a pivotal role in assessing the theoretical value of options.
- Opstra Strategy Builder:
The Opstra Strategy Builder, a sophisticated tool for constructing and analyzing option strategies, was skillfully employed. This tool facilitated the implementation of advanced options trading strategies, enabling the project to effectively manage risk and maximize potential returns.
Throughout the project, meticulous attention was given to risk management and strategic optimization. The interplay of market volatility, trading strategies, and risk mitigation formed the core of the project's methodology. The implementation of advanced computational methods, combined with a deep understanding of financial instruments and market dynamics, culminated in a comprehensive framework for intraday trading that aimed to achieve consistent profitability while minimizing exposure to market uncertainties.
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Contact:
Shreya Bhattacharya