[Nitin Bhatia]

1)In my swing trading excel file, I have added a new parameter “Basis%” for all 3 days.
Basis%=(Spot-FutPrice)/Spot

If Basis % increases then our instrument is bullish, if decreases then its bearish.
This is the simple interpretation which I am doing. Is there any thing else which can we interpret from this? and is this a reliable parameter? If there is any precaution which needs to be taken then please let me know know your comments.

2)I have also added Future Intrinsic Value parameter based on below formula(image). Currently I am doing back testing but need to know your opinion on it.

Are both those parameters worth to spend efforts? Your valuable comments or suggestions are needed.

Thanks !!

[Anonymous]

Dear Akshay, Basis can be additional filter for stock selection along with delivery % and all other filters as suggested.

[Nitin Bhatia]

Unable to post formula via image link, got some error. So drafted that formula below:
————————————————————————Future_Therotical_Price=
Spot_Price * EXP((Risk_Free_Rate-Dividend_Yield)*(Time_until_maturity))
————————————————————————
Where :
Time_until_maturity= (Exp_Date-Today)/365

In this formula By default I am considering
Risk_Free_Rate = 10
Dividend_Yield = 0
Could you please confirm is it correct ?

[Nitin Bhatia]

It is not necessary that if Spot Price is more than Future Price then the Stock is bullish.

Also, kindly read the forum rules and regulations. Kindly do not insert any 3rd part link or image in the post.

[Author]

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