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Masterclass

Masterclass Case Study: How a Prop Desk Built a Multi Strategy Book Over a Decade

A decade-long case study of a Mumbai proprietary trading desk that grew from one Nifty futures trend strategy and three crore of partner capital in 2015 into a diversified book of trend, statistical arbitrage, volatility premium and event strategies running over two hundred crore by 2025. You follow every major decision in sequence: why the first strategy was not enough, how each new engine was researched and sized, how the strategies were combined into one risk budget, how the book survived demonetisation, the 2018 IL&FS shock, the March 2020 crash and the June 2024 election gap, and how the infrastructure, team, entity and tax structure had to change at every stage. Every number is worked in INR on NSE instruments with the actual SEBI rules that applied at the time.

Multi Strategy Prop TradingTrend FollowingStatistical ArbitrageVolatility Risk PremiumEvent StrategiesStrategy AllocationBook Level RiskTrading InfrastructureSEBI RegulationStrategy Decay

MODULES

10

DURATION

4 Hours

TRACK

Quantitative Finance

What You'll Master

Diagnose when a single strategy desk has hit its capacity, drawdown or correlation ceiling and a second engine is needed

Research, validate and size a new strategy so it earns its place in an existing book instead of diluting it

Build and run four distinct engines on NSE: index trend, cash and futures statistical arbitrage, short volatility, and calendar and event trades

Combine strategies into one risk budget using correlation, volatility targeting and fractional Kelly, and rebalance capital between them without chasing returns

Design book level drawdown rules, margin buffers and stress grids that held through 2016, 2018, 2020 and 2024

Plan the infrastructure and hiring path from an Excel workbook to a Python research stack, colocated execution and a real risk function

Choose and evolve the entity, tax and compliance structure from partnership prop to a SEBI registered Category III AIF

Attribute ten years of P&L by strategy, detect decay early, and retire or replace an engine without blowing up the book

Access Level

LEARNER

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Everything included

Full Text Playbooks

Actionable Exercises

Mobile Reading Mode

Lifetime Updates

Curriculum Breakdown

Chapter 1: Year Zero: One Strategy, Three Crore and a Ceiling

4 Lessons

Meet the Desk: Three Partners, One Nifty Trend Model and a Mumbai Office in 201510 min read

The Economics of a Single Strategy Desk: Capital, Margin, Costs and Break-Even11 min read

The Three Ceilings: Capacity, Drawdown Tolerance and Correlation to One Factor11 min read

Case: The 2015 to 2016 Sideways Nifty That Forced the Multi Strategy Decision11 min read

Chapter 2: Engine One: Index Trend Following on Nifty and Bank Nifty Futures

4 Lessons

Anatomy of the Trend Model: Signals, Lookbacks and Volatility Scaled Position Sizing12 min read

Rolling Futures on NSE: Calendar Roll Costs, Basis and the Monthly Expiry Cycle11 min read

Backtest Discipline: Walk-Forward Windows, Cost Models and the Overfitting Traps12 min read

Case: Demonetisation Week, November 2016, and the First Real Drawdown11 min read

Chapter 3: Engine Two: Statistical Arbitrage in NSE Cash and Futures

4 Lessons

Why Stat Arb Was the Second Engine: Low Correlation to Trend and a Different Time Horizon10 min read

Pairs and Baskets: Cointegration Tests, Half-Life and Spread Construction on Nifty 50 Stocks12 min read

Execution Realities: Borrow Constraints, SLB, Impact Cost and Why Futures Replaced Cash Shorts12 min read

Case: The 2018 IL&FS Shock and the NBFC Pairs That Stopped Mean Reverting11 min read

Chapter 4: Engine Three: Harvesting the Volatility Risk Premium

4 Lessons

The Vol Premium on Nifty and Bank Nifty: India VIX Against Realized Volatility, 2015 to 201912 min read

The Core Structure: Delta Hedged Short Strangles, Hedging Cadence and Greeks Limits12 min read

Sizing a Short Gamma Book Inside a Multi Strategy Portfolio: Vega Budget and Tail Reserve11 min read

Case: March 2020, the Circuit Breaker Day and the Tail Hedge That Paid for Itself12 min read

Chapter 5: Engine Four: Calendar, Expiry and Event Strategies

4 Lessons

Structural Edges on NSE: Expiry Day Pinning, Weekly Options Cycles and Month End Flows11 min read

Scheduled Event Playbooks: Union Budget, RBI Policy, Quarterly Results and Index Rebalances12 min read

Small Capacity, High Sharpe: Why Event Strategies Stayed Deliberately Small10 min read

Case: The June 2024 Election Result Gap and a Playbook That Was Built for It12 min read

Chapter 6: Combining the Engines: Allocation and Portfolio Construction

4 Lessons

The Correlation Matrix That Justified the Book: Measuring Strategy Level Diversification11 min read

Allocation Methods Compared: Equal Risk, Volatility Targeting and Fractional Kelly12 min read

Rebalancing Capital Between Strategies Without Chasing the Last Quarter11 min read

Case: The 2021 Allocation Review That Cut the Trend Sleeve and Doubled Stat Arb11 min read

Chapter 7: Risk Management at the Book Level

4 Lessons

Drawdown Rules That Actually Trigger: Strategy Level, Book Level and the Kill Switch12 min read

Margin as a Shared Resource: SPAN, Exposure Margin, Peak Margin and Allocating It Across Engines12 min read

Stress Grids Across Strategies: When Every Engine Loses at Once11 min read

Case: The 2022 Rate Hike Year, Four Engines and a Nine Month Flat Book11 min read

Chapter 8: Infrastructure and Team Across the Decade

4 Lessons

From Excel to Python: The Research Stack, Data Vendors and the Cost of Clean NSE Data11 min read

Execution Evolution: Broker APIs, Direct Market Access, Colocation and Order Tagging12 min read

Hiring in Sequence: Trader, Quant, Developer, Risk and Operations, and What Each Cost11 min read

Case: The Data Outage of 2019 and Why the Risk Function Got Its Own Feed10 min read

Chapter 9: Entity, Regulation and Tax Over Ten Years

4 Lessons

Partnership to LLP to Category III AIF: Why the Entity Changed and What Each Step Cost12 min read

SEBI Rule Changes the Desk Lived Through: Peak Margin, Expiry Rationalisation, Lot Sizes and Algo Approvals12 min read

Taxation of a Prop Book: Business Income, F&O Turnover, Tax Audit, STT and Section 43(5)12 min read

Case: The November 2024 F&O Measures and the Engines That Had to Be Rebuilt11 min read

Chapter 10: The Decade in Review: Attribution, Decay and the Next Ten Years

4 Lessons

Ten Years of P&L Attribution by Strategy, Year and Regime12 min read

Detecting Strategy Decay: Rolling Sharpe, Signal Half-Life and When to Retire an Engine11 min read

The Desk's Five Biggest Mistakes and What Each One Cost in Crore11 min read

Putting It All Together: Your Own Multi Strategy Blueprint12 min read