Price movements in the same direction?

SavantGarde

Well-Known Member
#91
Feeling realy gratified as you wanted to share your code,however believe me i am really not interested in the formula but the result only,will wait for it.
Rather will look forward to the logic & the methodology ,that will be learning how to fish ,least interested in the fish.
Hi Ashish,

I have attached the File & it is updated, I hope it serves your purpose.

Data Date: From 8th Feb 2006 to 24th May 2007

BTW, Input Data is OHLCV.

Enjoy Yourself & I sincerely Hope You Find Answers To All That You Are Looking For....You Willllll........:)


SavantGarde
 
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uasish

Guest
#95
SavantGarde,

An intersting thing ovserved in Nifty Fut ;for Shorting i need a different Unit than Long ,means opp of Long does not work ,which it should ,as per the
density (sparsity) function of the quantile probability ,for tomorrow based on today.
May be missing some basic logic.
On the project but need more time.The long part's basic structure is ready ,but not confirming my own standard of tight Stop Loss.As this is specifically for Nifty Fut ,i doubt whether it will stand Monte Carlo on Portfolio simmulation & becoz of its exclusiveness (only for Nifty Fut) this indicator will go to archives (like many) unused.Will do the backtests to-night.

Asish
N.B. Used Quantile Probability becoz of it's exclussiveness.
 
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uasish

Guest
#98
kaizartrtr,

I am from old school & know only Metastock ,however Amibroker is used by many & being told to be very user friendly.

Asish
 
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uasish

Guest
#99
Hi,
At last could code an indicator projecting to-morrow's price based on to-day.
It is named as Mimi (my daughter's name) ,if today's close is greater than yesterday's Mimi (on mkt today have only yesterday's Mimi until to-day's EOD Data enters) then Long & Exit next day opening price(when today's close is > yesterday's mimi).This report is of Nifty Fut since 25th June '2003,done only on Metastock.
1st Col= Projected Close of to-morrow based on
a derivative of today's price(named 'Mimi'
my daughter's name);
2nd Col= If Mimi inside today's Range
then 1 ( Reason is: we cant enter if it is
outside the Day's High or Low);
3rd Col = Actual close.
4th Col= Strategy:
Long if today's Close > yesterday's mimi ,
Why yesterday's Mimi becoz until today closes
cant get EOD data hence my reference is yesterday's
Mimi,which again is today's Projection only.Here plz
note though the Entry price is reflected next day ,the
Entry conditions had been met earlier & entered then.
Reflecting later to show the Profit/ Loss in Col 5 only
on Closing basis.
5th Col= Difference of Today's close with yesterday's close.
6th Col = Exit Price ,here whenever Mimi > close today ,then
Exit Price is Next day's Open.
............................................................................
This is an experiment in Metastock only no other Software
used, & the Results are derived from Metastock Exploration.
Only to see whether alone Metastock can do backtesting
without the 'System Tester' of MS.

Started on 25th June 2003
After each Entry the 1st Exit is considered here.

As done in Metastock Exploration hence
had to do the Drawdown Manually.(Could do that also if MS 10
used ,becoz it has more exploration cols)

Drawdowns:
1st June 2004 1 contract (-) 53.00
17th Aug 2004 1 contract (-) 52.50
2nd Feb 2005 1 contract (-)1.64
26th Aug 2005 1 contract (-) 43.75
19th & 20th Jan 2006 2 contracts (-)0.25
17th May 2006 1 contract (-)78.00
21st July 2006 1 contract(-)126.00
27th Nov 2006 1 contract (-)5.46
15th Feb 2007 1 contract (-)21.00
14th May 2007 1 contract (-)9.73
http://www.4shared.com/file/16693732/f710bd39/Column_Details.html

No Stop Loss used.Going thru the report plz suggest what should be my SL % on closing basis.
As Drawdowns are calculated manually may be 1 or 2 missed plz correct me.The Exit is always on 1st Exit price after the Entry price.This is a Long only ,the Exit price can be used as Short Entry & in that case 1st Entry price as cover price.

Asish
 
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uasish

Guest
Thks to Ajay & SavantGrade for starting this brainstorming thread & for insisting me.
Now this is tested on the entire Futures stocks portfolio.
These are the Monte Carlo Backtest Reports & its Equity Curve
 
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