Nifty System HA2- Weekly Master for Stability
Nifty System HA2- Weekly Master for Stability

Nifty HA2 strategy is focused on generating positive cash flow on monthly basis to the firm. The strategy takes a positional view on weekly basis. The objective is to generate around 2% per month returns along with protection of hedge.

This strategy is market direction independent and leverages on

1. Significant changes in ATM Volatility

2. Volatility Skew

3. Theta 

4. Delta

The strategy has been backtested since 1st Feb 2019 till 10th June 2022. It has taken 172 trades- delivering an average RoI of 2.5% per week. This testing period includes regular deployment even during the periods of Covid and War Outbreak. However the significant variability in Greeks during Covid period- has made the strategy to sit on cash position for two weeks- 19th Mar 2020 and 26th Mar 2020 expiry. The strategy has success rate of 78% - generating INR 933 per lot trade. 

We are currently in the anchor phase in which we are focused on market direction independent strategies- providing positive monthly cash surplus and stability to the firm cash flows.

The true test of the strategy is in live deployment along with capital/ emotion management. We have started live setups from 1st June 2022. This shall be the acid test for Nifty HA2- as already the market is volatile (this is written on 14th June 2022- amid global fears of war outbreak and inflation). Keeping fingers crossed.

Under the hood- 

a. Another version on Bank Nifty HA2- which shall supplement Nifty HA2

b. Intraday complete Algo managed trades on Nifty and BankNifty.

These two legs shall further provide stability at portfolio level.