Experiments in Technical Analysis

[murthymsr]

Hello Friends

As suggested by Murthy, here is the agenda for the chat session

Date: 02-Dec-2006
Time: 9:00 PM to 11:00 PM(IST)
Place: Traderji.com, Chat Room: SYS-IMP

....................................

All the members of Traderji are invited to partcipate

Regards
Sanjay

dear sanjay,

thanks for the agenda. i will supplement before evening.
and to the invitation to all to join the exercise.

you may consider sending a pm to traderji also inviting him to join the chat, as his presence may give guidance in evolving the 'rules of the game' also.

hi all,

this is a very good oppurtunity to learn the trading and trading with a descipline and without emotions. and you are trading with paper money and others are there to guide you and to follow you.

all boarders may find it convinient to join the chat and in mock trading also.

regards.
murthymsr

 

[karthikmarar]

Hi Sanjay, murthy, Ananth and friends

It is good to see more people joining in.. Just to share a thought.. If we have more people then a particular system can be taken up by two or more people. Then the effect of the Trader's individuality can also be seen.
Of course this is not a competition.... just a learning exercise for all.

Friend, Dont worry, take part even if you consider yourself as a novice. All help will be provided by us. I am sure that it will be a great experience for you and will help you to take a few steps forward in your journey to become a better trader.

warm regards

Karthik

 

[rahulg77]

Hi,

I am so sorry but today i have a very close friends wedding function to attend. And I hate to miss this opporunity too. If someone can please save and post the chat so i can read through it and do a follow up and any queries I will then clear it.

Regards

Rahul

 

[asnavale]

Hi,

.............. I hate to miss this opporunity too. If someone can please save and post the chat so i can read through it and do a follow up and any queries I will then clear it.

Regards

Rahul

Dear friends,

I think Rahul has made a good point to consider. We should save the chat room proceedings not only for Rahul or any others not able to participate but also for all those who will be present in the chat room. This record will be useful for all of us in case of any doubt or if we later forget any issue. We can refer back to this record and get clarifications.

As suggested by Karthik, if more people are available, we can give a system to more than one person.

Would it be practicable if all the chart room members keep in touch by e-mail also after the session and throughout the test?

May be we can discuss some such issues in chat room.

Regards

-Anant

 

[murthymsr]

dear sanjay and others,

the points that come to my mind to be sorted out in the chat are:
1) the set of tradeable stocks:

* all stocks whose last close> 30 & last val> 30 k & last close*volume > 300,00,000; this will make a set of about 200 socks toplay with

* all nifty and all junior nifty stocks only ( this amkes 100)

* any other option.

2) the term of investment:

* short term ( 2 to 10 days)

* medium term ( 10 to 30 days)

* longer term ( 30 days and more.

3) buying may have to be made strictly as per buy signal generation of the selected system.

* however the selling may be done when the signal is generated or the trader's perception of stop-loss, profit target, n-bars sell.

* the selleing also is to be one strictly according to sell signal generation based on agreed settings.

* the trader may use his discretion based on consideration of other parameters of the stock & market.

4) portfolio management:

* about 70 % of funds be used for buying, keeping the balance in cash.

* stocks held is max 4 to 6; no min limit.

* stocks held is max 4 to 6; min is 2 to 4.

5) traders may give somebriefing on the system selected by them and their 'style' of trading so that new members may also follow the reporting and analyse easily. they may also join in the process to get a feel of trading.

6) minor modifications & change of parameters:

* traders may be permitted to make minor modifications to the system if the performance of the system is not upto the mark and re do the whole exercise from the begining.

7) review of the systems:
the review of each system may be done after a month. by that time, we must be able to get a feel of the system to ascertain it's utility.

and necessary modifications be thought over for the next month.

these are just some of my points for review in the chat session.

thanks for your time.

murthymsr

 

[kkseal]

Hi,

Best trading system :-

RULES :-

1) Anticipate a move with leading indicators (have more than one in your arsenal to make sure).

2) Buy/Sell when price/vol movement confirms.

SUB-RULES :-

1) Never trade against the main trend

2) Never ignore the Fundamentals no matter how good the Technicals look

Exception: If you are a very short term/intraday trader.


Just kidding ... lol

New to the forum So just saying Hi to everybody on the most popular thread.

Regards,
Kalyan.

 

[karthikmarar]

Hi friends

The system Implementation exercise co-ordinated by Sanjay had a formal kick-off on the 2nd of December in the chat room. I am sure this exercise will go a long way to go in our learning experience.

I have accepted to run an exercise on a system based on the R2 Indicator, which I had explained before in this thread.


I had just explained the Indicator and had not worked out a trading system based on this Indicator. Normally this indicator is a good complimentary indicator and can be used as confirmatory one like the ADX. Still I have worked out a system based this Indicator.

I will not go into the details of the Indicator. If required please refer the following link.

http://www.traderji.com/62470-post273.html

The system is as follows

Buy when the linear regression slope is positive. In addition the Trend reliability signal R2 should be above the critical value. In order avoid the whipsaws we will have a small filter. The filter would be as follows
Slope > 0.5
R2 > 2 times the critical value

(One can change these values, like usual I have provided controls like bass and treble… just kidding.. there are called “Fine Tune 1” and “Fine Tune 2”)

Sell when either the slope becomes negative or when the R2 goes below critical value.

Short when the slope is less than a filter value and the reliability Indicator is above the critical value. This will ensure that the downtrend is more reliable. The filter value is same as the one used for buying.

Cover when the slope becomes positive again.

To summarize

BUY = Slope>0.5 and R2> 2 x critical value (these are tunable)
SELL = slope<0 or R2< critical value
SHORT= slope< -0.5 and R2 > Critical value
Cover = Slope >0 (Cross above zero)

Note: the default period for slope calculation is set to 20.. one can experiment with other values. Value adjustable from parameter window.

I am enclosing the Image and the Afl. Feel free to post any doubts.

Happy experimenting and learning….

Warm regards

Karthik

 

[kkseal]

Hi karthik,

The system has two components - the linear regression & R-squared, right?

I'll go thru your previous posts ASAP.

Great Work Very interesting.

Warm regards,
Kalyan.

 

[karthikmarar]

Hi Kalyan

Yes.. It has two components Linear regression slope and R2.

I have addded the Link for the post detailing the Indicators..

Thanks..

regards

karthik

 

[kkseal]

Hi,
As far as i see what we are trying to test here is the Tushar Chande-Stanley Kroll method of using the LRS-RSq combo.
This method in all likelihood has already been tested & verified (by the inventors & others). So there's no point trying to reinvent the wheel (& the fine tuning will depend on the trader's time frame & risk appetite).

In my view a better (& perhaps newer) method to try out would be using the LRS of a Moving Average i.e. using an EMA price points over n-periods as the input dataset rather than the raw prices.
The use of RSq remains the same.
This should yield surer results though the lag will be more. Testing would confirm whether the gain in reliability at the cost of greater lag is worthwhile, acceptable or not.

Thanks,
Kalyan.

P.S. To begin with we can keep the time period(n) for the EMA & Regression line same and later try out different values.