SH's Intraday Strategy - ELH5

[alokdaga]

OK guys - maybe imageshack is where I will upload the charts and post the links here.

Coming back to intraday strategy, the AIM of this strategy is to

1. Get 2-10 trades per day
2. Profit target is 20 points and stop loss is also 20 points per trade (1:1 risk reward ratio)
3. To have 70% success ratio i.e if we get 100 trades per month ... 70 successful trades giving 1400 points profit and 30 losing trades giving 600 points loss ... Net profit of 800 points per month.

Above is the aim of this strategy - lets see if we are able to achieve it over the next one month or not .....

What do we need on our charts

1. We need 5 minutes Nifty futures real time charts
2. We need to plot 5 EMA (high) and 5 EMA (low) on these charts.

Thats it !!!

Entry rules

Wait for the trigger - The trigger is when we have 2 consecutive candle closes above 5 EMA (high) for BUY or 2 consecutive candle closes below 5 EMA (low) for SELL

Actual Entry - When we get one of the above triggers.... we wait for a small pullback and then jump in ... in case of BUY trigger, we enter longs when the price falls and gets close to 5 EMA (low)... in case of a SELL trigger, we enter shorts when prices rises and gets close to 5 EMA (high).

Exit rules

Simple ... 20 point profit and we exit ... similarly 20 point SL.

I am attaching yesterdays 5 mins charts with triggers... entries and exits.

Please check the same and post any queries. WE got 3 winning trades yesterday and one losing trade with only 5-10 point loss. Overall 40-50 points profits.

http://img340.imageshack.us/img340/4528/screenhunter01dec010947.gif

Enjoy!

Cheers
SH

Brokerage for 100 trades comes to around 400-600 Rs - so in the end we are left with 200-300 pts - is it?

 

[akrsrivastava]

Can some one post the chart with the possible trades for today?
Thanks,
Amit

 

[jayan12]

Brokerage for 100 trades comes to around 400-600 Rs - so in the end we are left with 200-300 pts - is it?

400-600 rs for 100 trades??? Who is offering such a cheap service

 

[akrsrivastava]

Two queries:

1.Suppose,after a trigger, I enter a buy trade after the candle touches EMAL. If after a few candles, there are two closes below EMAL, we consider this a reversal signal, exit our positions and wait for a EMAH pullback to enter a short trade. Suppose the next few candles close below the EMAL and then there is a pullback and touch of EMAH. In such scenarios , couldnt this be a signal for a trend reversal to the upside and instead we have already committed ourselves to a short trade and hence probably another SL? Is there a way to identify a trend reversal from a trend continuation? Could we possibly ,in such scenarios wait for fresh trigger signs after EMAH reversal?

2. Do we consider the candle which we exit after meeting a SL or Target as part of the next trigger?

Thanks,
Amit

 

[linkon7]

I am very impressed with this system. I always believed that if u plan to do big volumes, u need a mechanical method as the pressure of big lots gets to everyone.

It is a momentum based method needs a method to filter pure sideways days. Two losses in a row is a good filter, but why pay the market to know when not to trade. A filter will remove a few positive trades but will get rid of many bad ones. If we can get the strike rate to above 60..then the RR ratio of 1:2 will take care of the over all profit.

I tried coding the basic system and am searching for a good filter...! I am a bit surprised that there are fewer post in the past few days. I wonder if the all the discussion / improvement have shifted to the chat room.

/////SH Intraday Statregy - ELH5/////////////////
_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 ) ) ));
GraphXSpace = 10;

eh = EMA(H,5); 
el = EMA(L,5);

Plot(eh,"",colorYellow);
Plot(el,"",colorYellow);


Buytrigger = C > eh+1 AND Ref(C,-1) > Ref(eh, -1)+1;
selltrigger = C < el-1 AND Ref(C,-1) < Ref(el, -1)-1;
Buytrigger=ExRem(Buytrigger,Selltrigger);
selltrigger=ExRem(selltrigger,buytrigger);

Col = IIf(BarsSince(Buytrigger) > BarsSince(selltrigger),colorRed,colorGreen);


Plot( C, "Close", Col, styleBar );
Buy = Cross(eL,L) AND Col==colorGreen;
PlotShapes(Buy*shapeUpArrow,colorBrightGreen,0,L);
Sell = Cross(H,eh) AND Col==colorRed;
PlotShapes(Sell*shapeDownArrow,colorRed,0,H);

BuyPrice = ValueWhen(Buy,el,1);
SellPrice = ValueWhen(Sell,eh,1);
sl_buy = BuyPrice-20;
tgt_buy = BuyPrice+20;
sl_sell = SellPrice+20;
tgt_sell = SellPrice-20;


Long=Flip(Buy,Sell);
Shrt=Flip(Sell,Buy );
Plot(IIf(Long AND NOT Buy AND Ref(L,-1) > sl_buy,sl_buy,Null),"",colorWhite,styleThick);
Plot(IIf(Long AND NOT Buy AND Ref(L,-1) > sl_buy ,tgt_buy,Null),"",colorBrightGreen,styleThick);
Plot(IIf(shrt AND NOT Sell AND Ref(H,-1) < sl_sell,sl_sell,Null),"",colorWhite,styleThick);
Plot(IIf(shrt AND NOT Sell AND Ref(H,-1) < sl_sell,tgt_sell,Null),"",colorRed,styleThick); 

Title = EncodeColor(colorWhite)+ "SH's EH5 " + " - " +  Name() + " - " +  EncodeColor(colorRed)+ Interval(2)+ EncodeColor(colorWhite) +
 "  - " + Date() +

"\n"+
WriteIf(Ref(H,-1) > Ref(H,-2),EncodeColor(colorBrightGreen),EncodeColor(colorRed))+"ex  "+Ref(H,-1)+WriteIf(H > Ref(H,-1),EncodeColor(colorBrightGreen),EncodeColor(colorRed))+" Hi "+H+
EncodeColor(colorYellow)+
"\n"+ 
EncodeColor(colorWhite)+"Op "+O+WriteIf(C > O, EncodeColor(colorBrightGreen),EncodeColor(colorRed))+" Cl : " +C+
EncodeColor(colorYellow)+

"\n"+
WriteIf(Ref(L,-1) < Ref(L,-2),EncodeColor(colorRed),EncodeColor(colorBrightGreen))+"ex  "+Ref(L,-1)+WriteIf(L < Ref(L,-1),EncodeColor(colorRed),EncodeColor(colorBrightGreen))+" Lo "+L+
"\n"+"\n"+
EncodeColor(colorYellow)+"TRADE : "+

WriteIf(Col==colorGreen,EncodeColor (colorBrightGreen)+"Long triggered.","")+
WriteIf(Col==colorGreen AND BarsSince(Buytrigger)==0,"\nExit Short @ "+ C,"")+
WriteIf(Col==colorRed,EncodeColor (colorRed)+"short triggered.","")+
WriteIf(Col==colorRed AND BarsSince(Selltrigger)==0,"\nExit long @ "+C,"")+
"\n"+
WriteIf(Buy,EncodeColor(colorBrightGreen)+"Buy  triggered @ "+BuyPrice+ "\n Sl @ "+sl_buy+ " tgt @ "+tgt_buy,"")+
WriteIf(Sell,EncodeColor(colorRed)+"sell triggered @ "+SellPrice+ "\n Sl @ "+sl_sell+ " tgt @ "+tgt_sell,"")+
WriteIf(Long AND NOT Buy AND Col==colorGreen,EncodeColor(colorBrightGreen)+"Buy  triggered @ "+BuyPrice+ "\n Sl @ "+sl_buy+ " tgt @ "+tgt_buy,"")+
WriteIf(shrt AND NOT Sell AND Col==colorRed,EncodeColor(colorRed)+"sell triggered @ "+SellPrice+ "\n Sl @ "+sl_sell+ " tgt @ "+tgt_sell,"")+


"\n"+"\n"+

EncodeColor(colorBrightGreen)+"EMAH : "+ eh+
"\n"+
EncodeColor(colorRed)+
"EMAL  : "+ el+
"\n"+
"\n"
;

 

[linkon7]

since the entry is always after second cycle confirmation of the trend.. we can afford to use adx as a filter.


if adx(14) is below MDI(14) and adx(14) is below PDI(14) and adx is below 25 then there is no momentum in the market. This is exactly the scenario we try to avoid since market is directionless and will drift in either direction.

on a typical sideways day, we get 5 trades by the system. out of the 5 trades, 2 hit tgt other 3 hit sl...

filter removed 4 trades and gave us only 1 winner.

Since SH is the creator of this system, he will be the best judge.

 

[Visualize]

I am very impressed with this system. I always believed that if u plan to do big volumes, u need a mechanical method as the pressure of big lots gets to everyone.

It is a momentum based method needs a method to filter pure sideways days. Two losses in a row is a good filter, but why pay the market to know when not to trade. A filter will remove a few positive trades but will get rid of many bad ones. If we can get the strike rate to above 60..then the RR ratio of 1:2 will take care of the over all profit.

I tried coding the basic system and am searching for a good filter...! I am a bit surprised that there are fewer post in the past few days. I wonder if the all the discussion / improvement have shifted to the chat room.

Hey have you modified the strategy because entry rules say that 2 consecutive candle closes above 5 EMA (high) for BUY or 2 consecutive candle closes below 5 EMA (low) for SELL.

Thanks for the code its really great.

 

[linkon7]

Hey have you modified the strategy because entry rules say that 2 consecutive candle closes above 5 EMA (high) for BUY or 2 consecutive candle closes below 5 EMA (low) for SELL.

Thanks for the code its really great.

rule says 2 consecutive close above the emah establishes the upward bias... retracement to the emal is the buy... I have added a 1 point filter to get rid of the borderline cases...


In the code 2 consecutive close above emah will give u a green color bar... green arrow will come when the emal is touched by the low... 20 points from the emal is the tgt and 20 point is the sl...

this is just the skeleton of the code.. will dress it up only after SH feels any modification is needed.

 

[Visualize]

^ Please add any symbol to the trigger(get ready candle) it will give a good consciousness towards initial entry

You know one can blindly trade the signals from this afl once satisfied with the backtest.

 

[kcsusha]

Hi,
Is there any free web site to configure the above set-up?