System Implementation Exercise

[rpc]

hi all
On the basis of signals generated on 8/12/06 follo is the position on 11/12/06 after investing at prices
prevailing around 10.20 am in the morning

BUY
SASKEN @ 490 SL @ 5 % of position 471.38

SL hit for JSTAINLESS on 11/12/06 on CREWBOS,PYRAMIDRET on 12/12/06
signal SELL for RELIANCE on 11/12/06

Extract from Trade Log
Invested Capital 397866.00
Balance Cash 602134.00

signals on 12/12/06 for 13/12/06
DISCLAIMER
The BUY and SELL signals are posted as a part of the System Implementation Education Exercise Only.
These are not to be construed as recommendations. Anybody acting on these would be solely responsible
for his/her own acts.

system : KAMA - Default settings

BUY

NONE


SELL
Ticker Close

ADLABSFILM 366.25
AFL 62.00
AIAENG 1329.00
DCB 52.10
ERACONS 452.75
GDL 163.75
HAVELLS 323.80
IGL 111.15
LT 1392.60
NITCO 233.20
SUBEX 614.10
TATAMOTORS 820.25

with best wishes
rpc

 

[asnavale]

Hi friends,

Todays trades:

BUY: NIL

SELL:

ABIRLANUVO 165 nos @ Rs. 1160.00
KOTAKBANK 500 nos @ Rs. 377.00
YESBANK 1400 nos @ Rs. 131.50

These were the prices when logged in to NSE website between 10:00AM and 10:05AM.

Out of the 5 securities bought 4 have been sold. Now holding only HCLTECH.


Regards

-Anant

 

[asnavale]

Hi all,

Congratulations to all participants. Today this thread has crossed century mark.

Regards

-Anant

 

[karthikmarar]

Hi Ananth

Yes Congratulation to all. And special congratulations to you, you have also reached a centuary in posts. Looking for to three figures from you...

warm regards

karthik

 

[murthymsr]

hi ananth,

congratulations to you for crossing the 100 posts mark. it was your first post on sytem testing that has given birth to this thread !

and this thread also has by coincidence crossed the landmark, in a short span of time. it is an effort in colloborative work, with large number of active participents.

me and karthik has earlier started a thread on AB database, but this has generated more interest among members on AB, TA and collaborative work.

congratulations to sanjay and all others who have contributed to reach this stage of member interest.

murthymsr

 

[karthikmarar]

Hi all

Trades for the day

Sold the following stocks which hit the stop loss

Tatamotors @ 851
Federal Bank @ 205.20

Also Bought Eastsilk 500@ 307.50

Signals for tomorrow from the system

However no trades planned for the rest of the week as I will be travelling and wil not find time to run the scan and report.


Ticker Trade Date Close
AFL Sell 12/12/2006 62
AIRDECCAN Sell 12/12/2006 119.1
BANKBARODA Short 12/12/2006 218.4
BIRLAJUTE Short 12/12/2006 319.3
BOMDYEING Sell 12/12/2006 644.9
CANBK Sell 12/12/2006 250.35
CESC Sell 12/12/2006 289.2
CREWBOS Buy 12/12/2006 197.35
DCMSRMCONS Buy 12/12/2006 103.7
DIVISLAB Short 12/12/2006 2487.6001
EDUCOMP Short 12/12/2006 606.05
FINANTECH Sell 12/12/2006 1789.9
GAMMONIND Sell 12/12/2006 409.35
GESCOCORP Sell 12/12/2006 911.05
HCLTECH Short 12/12/2006 588.1
HDFCBANK Short 12/12/2006 1028.15
ICICIBANK Short 12/12/2006 803.95
INDIABULLS Sell 12/12/2006 499.45
IOB Sell 12/12/2006 104.7
KESORAMIND Sell 12/12/2006 495.35
KLGSYSTEL Buy 12/12/2006 271.45
LLOYDELENG Sell 12/12/2006 134.95
M&M Sell 12/12/2006 769.5
MATRIXLABS Short 12/12/2006 250.2
MPHASISBFL Short 12/12/2006 231.7
NATIONALUM Short 12/12/2006 199.55
PENINLAND Cover 12/12/2006 665.9
PNB Sell 12/12/2006 486.45
POLARIS Buy 12/12/2006 132
ROLTA Sell 12/12/2006 234.6
SUNTV Sell 12/12/2006 1197.4
SUZLON Short 12/12/2006 1233.5
TECHM Sell 12/12/2006 1041.75
UNITECH Sell 12/12/2006 411.05
UTIBANK Short 12/12/2006 431.3

Warm regards

karthik

 

[SGM]

Hello

Signals for today

Ticker Trade Date Close
GNFC Short 12/12/2006 93.00
SAIL Short 12/12/2006 82.90
IDBI Short 12/12/2006 72.40
TATATEA Short 12/12/2006 695.10
ALOKTEXT Short 12/12/2006 66.15
HCLTECH Short 12/12/2006 588.10
RELCAPITAL Short 12/12/2006 540.90
PNB Short 12/12/2006 486.45
MAHSEAMLES Short 12/12/2006 418.60
ASHOKLEY Short 12/12/2006 39.15
PATNI Short 12/12/2006 385.45
VSNL Short 12/12/2006 381.80
MRPL Short 12/12/2006 37.35
CESC Short 12/12/2006 289.20
BAJAJAUTO Short 12/12/2006 2527.75
CUMMINSIND Short 12/12/2006 250.50
HINDLEVER Short 12/12/2006 223.30
ORIENTBANK Short 12/12/2006 213.20
NDTV Short 12/12/2006 191.95
INDIACEM Short 12/12/2006 190.60
ITC Short 12/12/2006 173.40
HINDALC0 Short 12/12/2006 167.60
SCI Short 12/12/2006 154.35
SUZLON Short 12/12/2006 1233.50
NAGARFERT Short 12/12/2006 11.00
GLAXO Short 12/12/2006 1096.90
KTKBANK Short 12/12/2006 107.30
IOB Short 12/12/2006 104.70
ACC Sell 12/12/2006 968.50
ICICIBANK Sell 12/12/2006 803.95
M&M Sell 12/12/2006 769.50
TATATEA Sell 12/12/2006 695.10
RELCAPITAL Sell 12/12/2006 540.90
PNB Sell 12/12/2006 486.45
MAHSEAMLES Sell 12/12/2006 418.60
INDUSINDBK Sell 12/12/2006 39.25
^NSEI Sell 12/12/2006 3716.90
MRPL Sell 12/12/2006 37.35
GAIL Sell 12/12/2006 253.90
CUMMINSIND Sell 12/12/2006 250.50
CANBK Sell 12/12/2006 250.35
MPHASISBFL Sell 12/12/2006 231.70
FEDERALBNK Sell 12/12/2006 194.30
INDIACEM Sell 12/12/2006 190.60
BANKINDIA Sell 12/12/2006 164.35
KTKBANK Sell 12/12/2006 107.30
HDFCBANK Sell 12/12/2006 1028.15

No signal on long side, also only the shorts in portfolio have survived.

Regards
Sanjay

 

[karthikmarar]

Hi Friends,

Like Murthy pointed out, this has been a fantastic collaborative effort, which I have not come across in any other forum.

Like Sanjay pointed out we started the exercise in the right time. If the market had continued to be bullish then everybody would have been sitting on good profits and everybody would have been happy and the systems would have been lauded as great ones.

Now many weaknesses of the systems are being brought out nicely. Yes, it is a little too early to judge the weakness but the sudden drop in the market has brought out some salient points.

1.Weakness to the systems to handle huge drops. I noticed this with the R2 system. The system is too slow to react to such sudden moves. This throws open a nice investigation / experiments to find out one can make the systems reacts to fast moves in the market..

2.In Many systems including the R2 the stoploss (1% of equity in case of R2 system) has been hit but the technical stops have not come. This brings the Hot discussion about stop loss or only Technical stops to the fore front. For example the R2 system lost 16K (futures) in Tatamotors and still the technical stops have not occurred. This brings to question the system itself as well as the concept of having only a technical stop.

Food for thought! I would love to hear your views on these.

Warm regards

karthik

 

[asnavale]

Hello friends,

The signals generated by MABIUTS-HB based on EOD data of 12-12-2006 are as follows:

----------
BUY:

MAHABANK
----------
SELL:

ADNANIENT
AUROPHARMA
BATAINDIA
DCMSRMCONS
DHAMPURSUG
EASTSILK
FLEX
KLGSYSTEL
MID-DAY
POLARIS
SONATASOFTW
----------

HCLTECH which was bought on 7-12-2006 with a SL of 600.20 has gone below the SL today. It will be sold tomorrow at the prevailing price.

HCLTECH should have given a SELL signal before hitting SL but it did not. On closer examination of the AFL code and the MABIUTS Histogram it is found that the BUY/SELL conditions prescribed in the AFL are not sufficient. I have already worked out the solution, but it will be implemented with the permission of the members during the next chat session. Till then I will carry on with the present set up.

Regards

-Anant

 

[asnavale]

Thank you Murthy, Karthik and other members for your kind words of encouragement. It is with your support and help I started the back test excercise and all that followed is the collective effort of all the members. Thank you all.

-Anant