Algorithm will scan all F&O intruments listed in NSE in realtime and generate alerts.Currently 150+ F&O intruments listed on NSE. Future Scope- Algorithm will take trade based on 1 year backtested results without any human intervention.
Post Automation, when Spread increases or decreases,user will get notification in real time on mobile,email or any messenger apps via webhooks
and execute cal. spreads strategy. Calender Spread Strategy went live with Alerting and Vizualizations.Currently 10 F&O Scripts are being tested in real markets based on liquidity.
Grafana Dashboard Snapshot
Below are few backtested results on 7 months/200 Days of Continuous Futures data Visualization created using Plotly on some F&O Scripts
Observations-
1. Mostly Cal. Spread Opportunities arises at Monthly Expiry Day or in last week on Month.
2. Out of 150 F&O Scripts,only 15 Scripts are liquid means Daily Volumne > 1m (million) transactions.So Scripts having < 1m Volumes should be avoided.
Reasons- If Cal. Spread implemented on illiquid scripts,the SLIPPAGE will increase which will significantly reduce the Cal. Spread Range.
Illiquid Stocks/ETF/Futures/Options are highly volatile and risky to take any trades- long/short and Intraday/CNC/NRML.
Illiquid Scripts has high Bid/Ask Price(Spread Range) which increases slippage results in reducing profits.
3. As it's an Arbitrage Strategy,where we are looking purely on Price Mismatch between two Monthly Futures Contracts and execute it accordingly.
This Strategy is Fully Hedged so it attracts low margins,but for Initiating Cal. Spreads margins requirement are high,once Hedged margins reduced.
The P&L will be small with very low risk,with high probablity of Winning Trades based on Past Data.Cal Spreads can be Scaled Horizontally by excuting it
on multiple Scripts and Vertically by increasing the "Lot Size" of single script.P&L is directly propertional with increase/decrease of "Lot Size".