System Implementation Exercise

[SGM]

Hello Friends

This thread has been started to record the implementation of Trading Systems. Initially the systems discussed in the thread by Karthik "Experiments in Technical Analysis" will be taken up.

In the next few posts i will give details of the various variants of MABITUS system that will be taken up for implementation.

Regards
Sanjay

 

[SGM]

Hello

Initially these are the 5 systems we are taking up for implementation

1. Mabitus - H (Histogram)
2. R2 Slope
3. Mabitus KS (Original with Short)
4. Mabitus - K1 (Ravi/ADX)
5. MABITUS - A (AMA)

I will upload the AFLs of last 3. The first two will be uploaded by Anant and Karthik.

To discuss the implementation of the systems we had organized a chat session.

Date: 02-Dec-2006
Time: 9:00 PM to 11:30 PM

Agenda
Introductions
List of Systems Available
Formal allocation of portfolio owners for all systems
Discussing (In Brief) about systems (one at a time)
- Parameters
- Any special conditions etc.
- AB settings
- Queries by systems implementers

Money Management Rules
- Funds Available
- Leverage Available
- Stop loss
- Position Sizing

Finalizing the Lists of stocks available to trade
Deciding about the min duration for which the implementation should run.
Formats/Template for reporting Signals/Trades
Criteria for comparison

Additional to the agenda following points were listed by Murthy:

1) The set of tradable stocks:

* all stocks whose last close> 30 & last val> 30 k & last close*volume > 300,00,000; this will make a set of about 200 socks toplay with

* all nifty and all junior nifty stocks only ( this amkes 100)

* any other option.

2) The term of investment:

* short term ( 2 to 10 days)

* medium term ( 10 to 30 days)

* longer term ( 30 days and more.

3) Buying may have to be made strictly as per buy signal generation of the selected system.

* However the selling may be done when the signal is generated or the trader's perception of stop-loss, profit target, n-bars sell.

* The selling also is to be one strictly according to sell signal generation based on agreed settings.

* The trader may use his discretion based on consideration of other parameters of the stock & market.

4) Portfolio management:

* about 70 % of funds be used for buying, keeping the balance in cash.

* Stocks held is max 4 to 6; no min limit.

* Stocks held is max 4 to 6; min is 2 to 4.

5) Traders may give some briefing on the system selected by them and their 'style' of trading so that new members may also follow the reporting and analyze easily. They may also join in the process to get a feel of trading.

6) minor modifications & change of parameters:

* traders may be permitted to make minor modifications to the system if the performance of the system is not upto the mark and re do the whole exercise from the beginning.

7) Review of the systems:
the review of each system may be done after a month. by that time, we must be able to get a feel of the system to ascertain it's utility.

Necessary modifications to be thought over for the next month

The transcripts of the chat session have been kept by Ashish (ACATrader) I will request him to upload them here.

I also request Murthy to upload the list of stocks to trade and Karthik and Anant to upload final versions of their systems.

Regards
Sanjay

 

[aca_trader]

Here is the chart transcript. Around 5 minutes of chat is missing but it is not much important.

Best Regards,
--Ashish

 

[aca_trader]

Hello

Initially these are the 5 systems we are taking up for implementation

1. Mabitus - H (Histogram)
2. R2 Slope
3. Mabitus KS (Original with Short)
4. Mabitus - K1 (Ravi/ADX)
5. MABITUS - A (AMA)

Regards
Sanjay

Can we have a brief outline of all the 5 systems comprising Entry, Exit and Position Sizing rules?

Best Regards,
--Ashish

 

[murthymsr]

dear sanjay and others,

i have scanned all the stocks traded on NSE to arrive at the list of about 200 tradeable stocks. i have considered NIFTY 50, Junior NIIFTY 50 & also the stocks in the futures and options. there is a vide variation of volumes (turnover) among the stocks. some of them are so thinly traded even over long periods of time, it may not be worth investing in them as long as volumes
are so low.

so, i have gone by the AFL route of auto selection. this has the added advantage of the stocks being automatically included when their volumes increase to modest levels. the selection criteria envisages last close price > Rs 10 AND the last traded volume > 30,000 AND the last Turnover >
Rs 300 Lakhs AND the 100 day EMA of the Turnover > Rs 100 Lakhs. ( all values are very modest and meaningful too.)

however, as the volumes of a stock increase, they will be automatically included in the set. the AFL for the selection of stocks is included. this AFL selects on an average about 200 stocks. (checked over different past periods). you may add the 'INCLUDE' variable into the AFL you are
testing so that your AFL directly generates the buy/sell signals ONLY on stocks meeting the specified conditions.

the AFL and the stocks selected by it on 01-12-2006 are attached. the selected stocks include all the nifty stocks (except GAIL), 34 out of the 50 Junior stocks and most of the FnO stocks.

if you have any comments, you may post immediately so that necessary chages may be made to the AFL.

regaards.

murthymsr

 

[karthikmarar]

Hi All

I am uploading my system.

The system is as follows

Buy when the linear regression slope is positive. In addition the Trend reliability signal R2 should be above the critical value. In order avoid the whipsaws we will have a small filter. The filter would be as follows
Slope > 0.5
R2 > 2 times the critical value


Sell when either the slope becomes negative or when the R2 goes below critical value.

Short when the slope is less than a filter value and the reliability Indicator is above the critical value. This will ensure that the downtrend is more reliable. The filter value is same as the one used for buying.

Cover when the slope becomes positive again.

To summarize

BUY = Slope>0.5 and R2> 2 x critical value (these are tunable)
SELL = slope<0 or R2< critical value
SHORT= slope< -0.5 and R2 > Critical value
Cover = Slope >0 (Cross above zero)

I have posted a detailed description of the system in the thread Experiments as that thread has details of all the systems we are considering

http://www.traderji.com/67686-post480.html

Afl attached..

Warm regards

Karthik

 

[rpc]

hi all
I have downloaded the afls.I have also included murthymsr's afl in mabiutsK1 afl .Now advice what is to be done next
thanks
with best wishes
rpc

 

[SGM]

Hello Friends

I am uploading the AFLs of the 3 systems

1. MABITUS - KS
2. MABITUS - K1
3. MABITUS - AMA

All the above systems are the same as presented by Karthik in the original thread.

Can we have a brief outline of all the 5 systems comprising Entry, Exit and Position Sizing rules?

Best Regards,
--Ashish

Hello Ashish
Thanks for uploading the transcripts. I was planning to do that during the week end but other things caught up.


Hello Rahul

Do you use AB or is it possible for you to install AB? I will send you the AFLs required for implementing the AMA system. I am not familiar with MS.

hi all
I have downloaded the afls.I have also included murthymsr's afl in mabiutsK1 afl .Now advice what is to be done next
thanks
with best wishes
rpc

Hello RPC

You are now ready to start. This is what you would do

1. Download the EoD data
2. Updated the data in AB
3. Run the afl as scan/exploration, to give you possible candidates for buy/sell.
4. Decide the outer limit of the SL for the script by applying the risk management rules.
5. Decide the quantity for buying by applying Position Sizing Rules.
   
6. Buy/Sell accordingly @ Next Day's Opening.
   
7. Report the day's trades and new signals generated if any in a single post in the evening.

I will list out all the rules in a seperate post. Better still we will try to incorporate them in the afls so that implementation becomes easier.


Regards
Sanjay

 

[ragh_ash]

hi Sanjay/ Karthik,
just for my info:
a) what do u mean by buy /sell trading signal?. do u mean record trade on excel sheet and then post next day close and then it will be reviewed.
b) what abt data of FNO. (most of us use free data thru downloader of Pankaj or srisara).
c) as we use free data(these do sometimes have spikes) which might distort the signal.
pl reply as i am following these posts very keenly, though i am not a active participant.
Presently i am using Soumya's clean database and further appeneded with free NSE data.
regards

 

[SGM]

hi Sanjay/ Karthik,
just for my info:
a) what do u mean by buy /sell trading signal?. do u mean record trade on excel sheet and then post next day close and then it will be reviewed.
b) what abt data of FNO. (most of us use free data thru downloader of Pankaj or srisara).
c) as we use free data(these do sometimes have spikes) which might distort the signal.
pl reply as i am following these posts very keenly, though i am not a active participant.
Presently i am using Soumya's clean database and further appeneded with free NSE data.
regards

Hello

The Buy and Sell signals are generated by the various systems we are implementing. The code is attached in posts above, the logic is discussed in Karthik's thread.

To make things simpler in the first implementation exercise we are not using intraday signals. The signals are genrated based on EoD data and the (Mock)trades are to be executed next day in the market at prices available at opening (it may not be the exact open recorded by the exchage, we take actual available price)

All the trades taken this way will be recorded by the trader/implementor (we call him/her Foilio Owner) and every folio owner will make (minimum) one post recording the day's trades (if any) and also the new signals that are genrated, which have to be acted upon next day.

We are leaving the choice of Cash/FnO to the folio owner.

The data has to be maintained by the folio owner at their end.

All the AFLs with the systems and explorations are/will be shared in the forum. Most of them have been programmed by Karthik, and one by Anant.

I agree with you that using free data and trying to maintain it ourself may result in minor distortions.

But with help from people like Soumya who painstakely uploads the data on daily basis. Pankaj and Satya who has given us excellent software to seamlessly update our data, things have become much easier. We can't thank them enough.

Please feel free to ask any further queries you may have, will do my best to answer them

Warm Regards
Sanjay