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  #41 (permalink)  
Old 24-06-2016, 12:22 PM
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As NF opened below -e2 level ( 8135 ) hence new e5 levels are generated. Secondary long is exited at proxy open price of 7995. Provisional values of e5 are as below


+e2 : 8244
+e1 : 8184
e0 : 8125
-e1 : 8065
-e2 : 8005


Base long position is intact. System not dictated any action on that yet.
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  #42 (permalink)  
Old 26-06-2016, 11:38 PM
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Finally settled values of e5 on 24 June are as below

+e2 : 8247
+e1 : 8186
e0 : 8125
-e1 : 8064
-e2 : 8003



System has dictated change in action on secondary levels, hence if NF trades through +e1 level ( 8186 ) , secondary short will be triggered.
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  #43 (permalink)  
Old 29-06-2016, 12:20 PM
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As NF has been traded through +e1 level ( 8186 ) hence secondary short is triggered. This secondary short is neutralizing base long position.
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  #44 (permalink)  
Old 30-06-2016, 02:20 AM
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Secondary Short at +e1 level can be exited at -e1 level of same set or at new e0 level. As tomorrow is expiry day of June contract, hence in case this secondary short need to be exit in event of new e5 level generation then this exit execution will directly be done with July contract, as currently system possessing zero nett position.
Resolving this, secondary short will be considered to be exit at proxy open price from July contract and base long position will be regained back. Carrying this base long position ( effectively of July contract ) over expiry will not incur Rollover cost in PnL sheet. Hope this is clear.
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  #45 (permalink)  
Old 30-06-2016, 01:31 PM
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As NF opened beyond +e2 level ( 8247 ) henec new e5 level set is generated, provisional values are as below

+e2 : 8374
+e1 : 8315
e0 : 8255
-e1 : 8196
-e2 : 8136

secondary short is exited at proxy open price of July contract @8291.95

With this, system has regain long position in form of base long.
As secondary short is directly exited with July contract hence it automatically included rollover cost.

Note: If NF now trades through -e1 level ( 8196 ) from new e5 set system will trigger secondary long.
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  #46 (permalink)  
Old 01-07-2016, 11:35 AM
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Final e5 values settled yday were as below

+e2 : 8372
+e1 : 8314
e0 : 8255
-e1 : 8196
-e2 : 8138
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  #47 (permalink)  
Old 02-07-2016, 03:08 AM
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At this point here is trade summary and equity at transaction ( rough idea ).
Let me know if some mathematical mistake in this calculation, my math has gone weak now.


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  #48 (permalink)  
Old 04-07-2016, 12:41 PM
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New e5 values generated, provisional values are as below,

+e2 : 8504
+e1 : 8444
e0 : 8385
-e1 : 8325
-e2 : 8266
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  #49 (permalink)  
Old 05-07-2016, 02:03 AM
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Final e5 values settled on 4-July were as below

+e2 : 8502
+e1 : 8443
e0 : 8385
-e1 : 8326
-e2 : 8268



System is carrying base long position.
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  #50 (permalink)  
Old 05-07-2016, 02:57 PM
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If NF trades through -e1 level ( 8326 ) secondary long will be triggered.
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