Nifty Futures Trading Part 2 (Positional)

[Czar]

hmm alex there was a speechless post which disappeared ??? is the vix so scarry

 

[orderflow13]

hmm alex there was a speechless post which disappeared ??? is the vix so scarry

lol u tj server or what ?.. well vix image link wasnt working so deleted n posted in edited nifty chart itself

 

[Czar]

lol u tj server or what ?.. well vix image link wasnt working so deleted n posted in edited nifty chart itself

now now , every one knows I live here in the TJ server server had a cold so absorbed your vicks I guess

 

[mitasatyajit]

 

[dumdum20008]

hi,

 

[dumdum20008]

Hi,
Sorry Czar I got late due to various weekend activities, here is simple, very simple junk(system) which is still under development/observation till date. Basic idea and strategy is regularly changing to get more profitable result from very initial stage to till date

Basic Idea and Initial Setup in MetaStock:

This consist of 2 SMA ( it may be EMA, WMA or TMA etc)
1)SMA of Highs of some bars ( given red color cause some sort of resistivity)
2)SMA of Lows of some bars (given green color cause some sort of supportivity)

In MS notion
1) High_av = Mov(H,OPT1,S)
Where OPT1 (optimization variable that replaces no. of bars for average, to get better result in backtesting)
initially taken 5 for daily bars.
1) Low_av = Mov(L,OPT2,S)
Where OPT2 initially taken same value 5 for daily bars.

Now, Buy/Exit-Buy and Short(Sell)/Exit-Short pair of conditions/signal are as

Buy : Cross(C,Mov(H,OPT1,S)) [ Close comes above High_av from below]
Exit-Buy : Cross(Mov(H,OPT1,S),C) [Close comes below High_av from above]

Short : Cross(Mov(L,OPT2,S),C) [Close comes below Low_av from above]
Exit-Short: Cross(C,Mov(L,OPT2,S)) [Close comes above Low_av from below]

OPT1 and OPT2 values:
When System backtested on 7 year Nifty Spot values( initially I had only spot data, but now im getting future also, will take time to complete), OPT1 and OPT2 (varying from 5 to 50, step=1) surprisingly took different values for best simulation. In most cases ratio stands OPT1/OPT2 = 0.47 (approx) Even on Nifty Future hourly bars in period 1 Aug 08 to 21 Nov 08 OPT1 comes 23/24 and OPT2 comes 50 for best simulation.

Not much stressing on these simulation, im considering these for simplicity
OPT1=10 and OPT2=20 for hourly bars
OPT1=5 and OPT2=10 for daily bars

Refinement and interpretation:
To refine above trade conditions, 2 bar sustainability is considered before completely reversing the positional trade. However the Exit rule should be follow before that.
As im a new learner, I cant fully interprete the system yet. Beside using as is, one of trading opportunity is of pullback, i.e. trade according to early signal generated by hourly bars, upto long/short levels on daily bars.

Ending shortly, system ( junkjunkkammy) is not a holy grail, need much work to refine, its one of ours, its one of traderji forum

 

[pkamalesh]

Great work dum dum...plzz keep us updated with the results and modifications...will keep a track as i use MS too...cheerz (yaar dont kill me by mentioning the JUNK yaar..plzzzzzzz)

 

[orderflow13]

Hi,
Sorry Czar I got late due to various weekend activities, here is simple, very simple junk(system) which is still under development/observation till date. Basic idea and strategy is regularly changing to get more profitable result from very initial stage to till date

Basic Idea and Initial Setup in MetaStock:

This consist of 2 SMA ( it may be EMA, WMA or TMA etc)
1)SMA of Highs of some bars ( given red color cause some sort of resistivity)
2)SMA of Lows of some bars (given green color cause some sort of supportivity)

In MS notion
1) High_av = Mov(H,OPT1,S)
Where OPT1 (optimization variable that replaces no. of bars for average, to get better result in backtesting)
initially taken 5 for daily bars.
1) Low_av = Mov(L,OPT2,S)
Where OPT2 initially taken same value 5 for daily bars.

Now, Buy/Exit-Buy and Short(Sell)/Exit-Short pair of conditions/signal are as


OPT1 and OPT2 values:
When System backtested on 7 year Nifty Spot values( initially I had only spot data, but now im getting future also, will take time to complete), OPT1 and OPT2 (varying from 5 to 50, step=1) surprisingly took different values for best simulation. In most cases ratio stands OPT1/OPT2 = 0.47 (approx) Even on Nifty Future hourly bars in period 1 Aug 08 to 21 Nov 08 OPT1 comes 23/24 and OPT2 comes 50 for best simulation.

Not much stressing on these simulation, im considering these for simplicity
OPT1=10 and OPT2=20 for hourly bars
OPT1=5 and OPT2=10 for daily bars

Refinement and interpretation:
To refine above trade conditions, 2 bar sustainability is considered before completely reversing the positional trade. However the Exit rule should be follow before that.
As im a new learner, I cant fully interprete the system yet. Beside using as is, one of trading opportunity is of pullback, i.e. trade according to early signal generated by hourly bars, upto long/short levels on daily bars.

Ending shortly, system ( junkjunkkammy) is not a holy grail, need much work to refine, its one of ours, its one of traderji forum

nice work dumdum, keep posting regularly here, hourly chart would be very very interesting with above stated system. By the way its not junk at all.
Have u seen gaps more than 50 points in NIFTY using this system? and what happened after gaps ? i am talking about hourly ? .. asking this because each bar itself is a average count.Hope i am rightly interpreting the bars.

 

[pkamalesh]

Dum dum....I really dint understand the interpretation of the two charts that u posted....PLzzzzz explain dude

 

[dumdum20008]

nice work dumdum, keep posting regularly here, hourly chart would be very very interesting with above stated system. By the way its not junk at all.
Have u seen gaps more than 50 points in NIFTY using this system? and what happened after gaps ? i am talking about hourly ? .. asking this because each bar itself is a average count.Hope i am rightly interpreting the bars.

yes alex, from day one i realize gap is real monster to any trading system,
and i have idea to fix it to some sort , but will throw here after coding and testing in MS.