Model Portfolio: Real-Time Daily Position Taking

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    Model Portfolio: Real-Time Daily Position Taking

I have been working on a 'once-a-day-position' model. Firstly, I would like to give some introductions and then the details of my 'model'.

It is not my motive to make anyone follow me or make anyone take positions based on my 'model', but my primary motive is just to take a hard and practical look at my 'model' by putting it out in public on the TED board so that everyone can see on a day to day basis how the model portfolio works. Does my 'model' work well is my motive!

It is based on taking a long or short position once per day The model requires one to open a position one time at the start of the day and then close that position at the end of the day, approximately 10 seconds before the closing time. That way, no tedious and continous monitoring of the positions needs to be done.

I have tested my 'model' based on HDFC Bank's data right from 14 June 1995 to the date today, from NSE. But, 'real thing' is the 'in thing' and hence I want to test it in real-time in front of a live public. All trades are to be executed for NSE only.

Primary motive being to have some fun and see if number-based models work.

So, what are the basics of the system & the portfolio details?

1) The model-portfolio has an initial corpus of Rs. 1000(amount is chosen as Rs. 1000, because it makes our calculations easy. Indicative number only)

2) The model takes both long and short positions. The 'model requires one to open a position at the start of the day and then close the position around 10 seconds before closing time.

4) Now, what exactly does the 'model' do? It opens a position at the start of a day. The model bets Rs. 1 for every 1 point move on the chosen direction, based on of the chosen position. 

To take an example, let's say the model says "Short HDFC Bank at Rs. 1234 on NSE at the start of the day. We go ahead and bet Re. 1 for every 1 point fall on HDFC Bank from Rs. 1000. Now, if HDFC Bank closes at 1254.55 at the end of the day(when the position is closed as every position is closed at the end of the day), then the portfolio would have lost Rs. 20.55 out of its initial corpus of Rs. 1000. And if HDFC Bank let's assume closes at 1230 at the end of the day, our model portfolio is worth Rs. 1004.

My 2 motives behind this are simple:

1) Putting everything transparently and letting people track the portfolio on a day to day basis.

2) Since I have been working hard on this for sometime, seeing if it really makes any sense for someone.

I remain an investor as usual, but have been working on this model too in my free time...more out of my passion to work with numbers and having fun generally rather than anything else!

I shall post today's trade for HDFC Bank, i.e. for 15th July 2008 and see how the portfolio did for today in a while.

At the end of each day, I would post the loss/profit for the day. So, there would be exactly two posts per day. 
One post for "opening the position at the start of the day" (around 10-11 AM) and the second post "after the day's closing data is available'(around 6-7 PM).

I will try as best as possible to post the trade withing a few minutes of daily opening.

Edited by omshivaya - 18/Jul/2008 at 12:35pm