Karthik's EOD Strategy...

[karthik_sri]

karhtik ji thanks a lot god bless you.Now profit/loss ratio is improved. we can blindly follow this set up
please tell me
1- why I can't use it in intraday ?
2- IS sequence (ema 3 crosses ema 10 then ema 30) is important or we can go long every time when crossing ema 3 ema 10 heppens above ema 30 ?
3-should we avoid going short if ema 3 crosses ema 10 from above and still ema 30 is below that crossing (means ema 30 is bullish)

I would request you not follow any system blindly. Pls analyse and take ur call.
You can try in Intraday also. But I have not tried yet.
The sequence and conditions are framed to avoid Whipsaws! These conditions are like filter which will try to minimise our entry in Whipsaws. When u apply this or backtest u will realise.

 

[karthik_sri]

BHARTIARTL futures chart to show the Filter. In the chart the 30EMA is used a Filter to see the price trend. Though the 3EMA & 10EMA crossedover and signal for Go Long/Buy with condition of ADX satisfied but both the EMA's were below 30EMA. So no long trade initiated and avoided the signal. If traded we would have had SL hit very sooner!

http://i.imgur.com/vIALeOi.png

 

[karthik_sri]

Same chart of Bharti Airtel after Whipsaw the price falls to the trend of 30EMA and flows in the trend. See the Arrow in chart where short should be initiated and we will ride the Trade.

http://i.imgur.com/tER60tU.png

Two long trades of Whipsaw avoided and two successful Short Trade after Whipsaw!!!

 

[Gaur_Krishna]

Karthik, thanks for nice corretion. I was guessing EMA 21, at best 25 but 30 is more conservative. Anyways, the builtin nature is quite aggressive (3&10), so 30 is welcome. :thumb: What are the back test results? HEre we clearly see that whipsaws are avoided, but can you provide back tested results for this for NIFTY or BANKNIFTY? I dont know how comfortable you are with AFL programming. If required, we can request Anant Sir to help us in this regard.

Regards,
Gaur_Krishna

I would request you not follow any system blindly. Pls analyse and take ur call.
You can try in Intraday also. But I have not tried yet.
The sequence and conditions are framed to avoid Whipsaws! These conditions are like filter which will try to minimise our entry in Whipsaws. When u apply this or backtest u will realise.

 

[karthik_sri]

Karthik, thanks for nice corretion. :thumb: What are the back test results? HEre we clearly see that whipsaws are avoided, but can you provide back tested results for this for NIFTY or BANKNIFTY? I dont know how comfortable you are with AFL programming. If required, we can request Anant Sir to help us in this regard.

Regards,
Gaur_Krishna

I have not done backtesting based on AFL. I dont know AFL programming, req Anant sir to help.

 

[shashank yadav]

I have not done backtesting based on AFL. I dont know AFL programming, req Anant sir to help.

anant sir plz help.

 

[karthik_sri]

See the big candle on 24.09.12 in Bharti Airtel. The scrip was in sideways and inside the candle range of 24th. The candle didnt breached the high/low of 24th candle from 25.09.12 to 12.11.12 and on 13.11.12 it breached the high. Though this is not related with this strategy but thought to share the same to avoid whipsaw! The ADX & EMA fulfilled the condition for long and made good high.

http://i.imgur.com/1io0edG.png

 

[prabhsingh]

Karthik,

Kindly can you confirm the rules for sell as follow:

a) EMA(3) < EMA(10) and EMA (30)
b) +DI< -DI

 

[rangarajan]

If this strategy is to be tried in 15TF, Hexaware is a Buy >82.75
And >84.05,Good move could be expected.

 

[PartTime_Trader]

I have tested adding another EMA of 30 period (EMA30) to filter the Noise

The rest of the rules remains same as it is mentioned in page 1 of this post. A little modification and just summarised for the benefit of all.

Setup:

EMA : 3, 10 & 30
ADX : 14

Entry:

for Long/Buy: EMA3 crossover EMA10 & EMA30
After crossover please see that the sequence is like EMA30 then EMA 10 and last EMA3
ADX: +DI > -DI

for Short/Sell: Vice versa of Buy setup

No Trade if any of the above condition is not met.

I have attached futures chart of ABB.

http://i.imgur.com/NTou06K.png

1). The 3EMA crossover on 10EMA happened on 19.10.12 & +DI > -DI
2). 22.10.12 the ADX crossover happened and -DI > +DI
3). But 3EMA crossover on 30EMA didnt happened
4). On 23.10.12 3EMA crossover on 30EMA happened.
5). The main condition of sequence didnt happened on 23.10.12 i.e 30, 10, 3 the values from Higher to Lower.
6). On 25.10.12 the same happened i.e EMA30 was above all the EMAS, EMA10 below EMA30 and above EMA3, and EMA3 was below the other two EMA's.
7). The low of 25.10.12 is 746.35 and we enter on low of 746.35

SL: we keep EMA30 as SL (which means the signal day)
Exit: Price not touching 3EMA or some fixed % according to the risk taking appetite

In the next few threads I will explain you how this filter has avoided Whipsaw with charts!

Karthik

_SECTION_BEGIN("Karthik's_EOD_System");
//SYSTEM
M3  	=	EMA(C, 3);
M10 	=	EMA(C,10);
M30 	=	EMA(C,30);

Long_Setup 	=	M3 > M30 AND M10 > M30;
Short_Setup	=	M3 < M30 AND M10 < M30;

Buy 	=	Long_Setup AND M3 > M10 AND PDI(14) > MDI(14);
Sell	=	M3 < M10 OR  PDI(14) < MDI(14);
Buy 	=	ExRem(Buy,Sell);
Sell	=	ExRem(Sell,Buy);

Short	=	Short_Setup AND M3 < M10 AND  PDI(14) < MDI(14);
Cover	=	M3 > M10 OR PDI(14) > MDI(14);
Short	=	ExRem(Short,Cover);
Cover	=	ExRem(Cover,Short);
SetPositionSize(1,4);

//Plots
Plot(M3, "M03",colorBlue, styleLine);
Plot(M10,"M10",colorRed,  styleLine);
Plot(M30,"M30",colorGreen,styleThick);
Plot(2,"",IIf(MDI(14) > PDI(14),colorRed,colorBlue), styleNoLabel | styleOwnScale | styleArea,-3,100);

PlotShapes(Buy   * shapeUpArrow,   colorBlue,0,L); 
PlotShapes(Short * shapeDownArrow, colorRed, 0,H); 
PlotShapes(Cover * shapeSmallUpTriangle,   colorBlue,0,L); 
PlotShapes(Sell  * shapeSmallDownTriangle, colorRed, 0,H); 
_SECTION_END();

_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorDefault ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); 
_SECTION_END();

Just quickly put it together, please check if the code matches your system.

Cheers
:thumb: