NF Swing Trading using Fractal AFL

[oldtrader]

Dear Friends,

I have backtested an AFL on past 9 years(from 2006 to 2015) of NF data. I am getting a monthly average of around 170 NF points. I have backtested on 7 min TF. Total trades 1115 in 108 months with an average of 10.3 trades per month. Please let's discuss the feasibility of this AFL in this thread. I will be posting the snapshot of the AFL in the subsequent posts.

 

[oldtrader]

Here is the latest snapshot of the AFL as of 19-02-2016. Later on I will be posting the trades executed in this year i.e., January and February 2016.

 

[oldtrader]

Posting a summary of trades from August 2015 to date. Trader friends please compare this with your known trading systems and let us discuss the positive and negative points of this system.

 

[oldtrader]

Below is the yearwise breakup of the profits. Does it look promising to trade this setup ?

 

[copypasteaee]

Posting a summary of trades from August 2015 to date. Trader friends please compare this with your known trading systems and let us discuss the positive and negative points of this system.

i really dont like negative months. try to backtest those manually &see if somehow these can be fixed.

 

[copypasteaee]

especially jan 2016 and feb 2016 have been huge months for most of the methods (assuming you have done typo in writing years of jan&feb)

 

[oldtrader]

i really dont like negative months. try to backtest those manually &see if somehow these can be fixed.

I have segregated the negative months into those > -250 pts and < -250 pts. I find that there have been only 8 months(out of 108 months test period) which went above -250 pts . So if we keep 250 pts Max SL for a month we will be risking around 19k per month. Keeping in mind that the expected avg monthly returns is 170 pts i.e. 13k. I think the R:R is not bad. Also note that those 8 months were never back to back.

 

[oldtrader]

especially jan 2016 and feb 2016 have been huge months for most of the methods (assuming you have done typo in writing years of jan&feb)

I totally agree with u regarding Jan and Feb 2016 being the most profitable of the recent past. But I have requested the boarders to compare with their known systems, to see whether this system is upto the standards or not.

Thanks for pointing the typo in the year, I will rectify it shortly.

 

[oldtrader]

The concept behind starting this thread was to find the best AFL for swing trading NF futures. All my trader friends please post any Amibroker systems you have, so that we can come up with the best.

 

[Smart_trade]

The results look ok for a mechanical trading system. On lowest year of 782 points and assuming we trade 75 Nifty ( one contract) conservatively for Rs 1,50,000 account, it still gives lowest annual return of 39 % which is not bad.

Doing swing trade on 7 min timeframe probably is increasing the number of trades..ideally in a month there should not be more than 5-7 trades.

Any idea of the total number of winning /losing trades, average winner/average loser for some years ( if you have worked it out ) . I am hoping that the profits are net of brokerage and all charges.The losing months is a concern as points lost are more..but for a totally mechanical system we have to take this in our stride.

The above are general comments without knowing the exact details of the system....so some of them may not be relevant to the system.

Finally as the system is making money, dont try to fine tune it with too many tweaks else it will loose its robustness.

Smart_trade