System Implementation Exercise

[rpc]

hi all
Owner : rpc , System : KAMA , Settings : Default
Trade details (based on signals on 04/01/07)

Buy : None - since fully invested

Sell : None - No signal,No SL hit

Signals generated based on EOD of 05/01/07
Buy : (arranged in preferntial order of 5 day ROC of 5 day EMA of Volume)
NONE

Sell :
PATNI
BRFL
RCOM
HEXAWARE
HCLTECH
NITCO

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.

with best wishes
rpc

 

[rpc]

Hi all
This is a sincere request.I am in the process of changing my ISP and do not know if I will be able to do it by tomorrow(our scheduled meeting time).I therefore request someone to *pls* *pls* keep transcript of chat session and post on this thread later.
TIA
with best wishes
rpc
ps : I think we can use Ctrl+A & Ctrl+C to copy the transcript on notepad.We have to repeatedly copy the chat
as the earlier portion will disappear as new chat gets added

 

[asnavale]

Hello Friends,

Following are today's (05-Jan-2007) trades based on signals of 04-Jan-2007:

SELL:

PIONEEREMB 700 nos @ 272.00 Net Profit 4.30%
SHIV-VANI 750 nos @ 326.00 Net Profit 28.18%

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

NIITLTD 370 nos @ 538.00 SL 511.10
SUBEX 280 nos @ 710.00 SL 674.50

*******************************

MABIUTS-HB System has given following signals based on EOD of 05-Jan-2007:

BUY:

APIL ................. BHEL ................ DCMSRMCONS ... GRASIM
HDFC ............... HINDLEVER ....... ICICIBANK ......... TATATEA .... TTML
------------------
SELL:

ADLABSFILM ..... ASHOKLEY ......... BAJAJHIND ........ BALRAMCHIN
BANKINDIA ...... BHARATFORG ..... BHARTIAIRTL ..... DISHMAN
DRREDDY ......... ERACONS ........... FEDERALBANK ... GESCOCORP
GUJAMBCEM ..... HINDALC0 .......... HTMT ................. INFOSYSTCH
INFOTECENT ..... IPCL .................. JSWSTEEL .......... M&M
MARUTI ............ NIITTECH .......... PRITHVI .............. PUNJLLOYD
RPL .................. SATYAMCOMP ..... SUNPHARMA ....... TATAPOWER
WIPRO
***************************

PRESENT PORTFOLIO POSITION (Based on Closing Prices of 05-01-2007):

MOSERBAER .... bought on 14-12-06 Present profit 27.74%
DISHMAN ........ bought on 21-12-06 Present profit 8.81%
ALLCARGO ....... bought on 02-01-07 Present profit 18.87%
EDUCOMP ........ bought on 02-01-07 Present profit 5.74%
NIITLTD ........... bought on 05-01-07 Present profit -0.46%
SUBEX ............. bought on 05-01-07 Present profit -1.51%

******************************
DISHMAN has given SELL signal today. It will be sold on Monday at Opening price.

***************** DISCLAIMER *****************​

THESE ARE NOT ANY RECOMMENDATIONS TO BUY OR SELL. THESE ARE SIGNALS GENERATED BY THE SYSTEM BEING TESTED UNDER SYSTEM IMPLEMENTATION EDUCATION EXCERCISE. ANYBODY ACTING ON THESE WILL BE SOLELY RESPONSIBLE FOR THEIR ACTIONS.

************************************​

 

[karthikmarar]

Dear Karthik,

Thanks for the clarification. I agree that trying to post historical signals and trades would be biased. So, you are right in avoiding the futile excercise and wasting time on that. Starting afresh after tomorrow's meeting is a better option. Meanwhile, you may go through (if you have not already done so) my post regarding changes needed in MABIUTS-HB system and give your opinion, either post here or suggest in tomorrow's meeting.

Are you planning any changes/refinements in your R2 system? I was toying with some idea with respect to linear regression of the prices to determine the trend/change in trend. I have done some work manually in Excel. But I am not able to translate that into AmiBroker AFL. I will try a bit more and post if it seems to work.

Regards

-Anant

Dear Ananth

I did go through your post. i too agree with your idea for refinement. You can try the same in the next round of SIE.

I have been tryig some refinements for the R2 system. i was particularly inteested in the strength of a particular move in order to avoid take small moves. Was toying with coupling with RSI. If the rsi is decreasing then dont take that particular signals ..etc. But Inverse Fisher transform of the stochastic seem to help better. A long term and short term of IFT of stochastic combined could provided a good indication of the strength... still experimenting..

If you post your ideas , may be I can try to c onvert into afl. or you can mail me also..

kind regards

karthik

 

[asnavale]

Hello Friends,

Following are today's (08-Jan-2007) trades based on signals of 05-Jan-2007:

SELL:

DISHMAN 800 nos @ 240.00 Net Profit 4.96%

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

APIL 200 nos @ 460.00 SL 437.00
TTML 4800 nos @ 20.60 SL 19.60

*******************************

MABIUTS-HB System has given following signals based on EOD of 08-Jan-2007:

BUY:

ADLABSFILM ..... EKC .................. SUNPHARMA ...... TATAPOWER
------------------
SELL:

ABIRLANUVO ..... APTECHT ........... BAJAJAUTO ........ BANKBARODA
BHUSANSTL ....... BOMDYEING ...... CIPLA ................ CORPBANK
DABUR .............. DIVISLAB .......... EDUCOMP .......... GHCL
GLAXO .............. GRASIM ............. GTL ................... HDFC
IDBI .................. IDFC ................. INDIAINFO ....... IVRCLINFRA
JETAIRWAYS ...... LT ..................... MAHASEAMLES .. NIITLTD
POLARIS ............ REL ................... RELIANCE .......... SUNPHARMA
RIIL .................. RNRL
***************************

PRESENT PORTFOLIO POSITION (Based on Closing Prices of 08-01-2007):

MOSERBAER .... bought on 14-12-06 Present profit 23.65%
DISHMAN ........ bought on 21-12-06 sold for a profit of 4.96%
ALLCARGO ....... bought on 02-01-07 Present profit 18.44%
EDUCOMP ........ bought on 02-01-07 Present profit 5.99%
NIITLTD ........... bought on 05-01-07 Present profit -2.47%
SUBEX ............. bought on 05-01-07 Present profit -1.45%

******************************
EDUCOMP bought on 02-01-2007 and NIITLTD bought on 05-01-2007 have given SELL signal today. They will be sold on Tuesday at Opening price.

***************** DISCLAIMER *****************​

THESE ARE NOT ANY RECOMMENDATIONS TO BUY OR SELL. THESE ARE SIGNALS GENERATED BY THE SYSTEM BEING TESTED UNDER SYSTEM IMPLEMENTATION EDUCATION EXCERCISE. ANYBODY ACTING ON THESE WILL BE SOLELY RESPONSIBLE FOR THEIR ACTIONS.

************************************​

 

[asnavale]

Hello Friends,

Following are today's (09-Jan-2007) trades based on signals of 08-Jan-2007:

SELL:

EDUCOMP 100 nos @ 1042.00 Net Profit 6.15%

NIITLTD 370 nos @ 535.00 Net Loss 1.26%

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

ADLABSFILM 220 nos @ 462.00 SL 438.90
EKC 130 nos @ 787.70 SL 748.30

*******************************

MABIUTS-HB System has given following signals based on EOD of 09-Jan-2007:

BUY:

FEDERALBANK ..... J&KBANK ....... SASKEN

------------------
SELL:

BHEL ................ CROMPTGREAV ... FOURSOFT ......... HCC
HCL-INSYS ....... INDUSINDBK ...... KLGSYSTEL ........ KOTAKBANK
MID-DAY .......... MOSERBAER ....... NAGARCONST .... NTPC
ORIENTBANK .... ORIENTPPR ......... GTL ................... PATELENG
PNB .................. RELCAPITAL ........ INDIAINFO ........ RENUKA
SUZLON ............ SYNDIBANK ........ UNIONBANK
***************************

PRESENT PORTFOLIO POSITION (Based on Closing Prices of 09-01-2007):

MOSERBAER .... bought on 14-12-06 Present profit 20.39%
ALLCARGO ....... bought on 02-01-07 Present profit 17.58%
EDUCOMP ........ bought on 02-01-07 sold for a net profit of 6.15%
NIITLTD ........... bought on 05-01-07 sold for a net loss of 1.26%
SUBEX ............. bought on 05-01-07 Present profit -0.31%
TTML ................ bought on 08-01-07 Present profit -1.74%
APIL ................. bought on 08-01-07 Present profit 2.68%

******************************
MOSERBAER bought on 14-12-2006 has given SELL signal today. It will be sold on Wednesday at Opening price.

***************** DISCLAIMER *****************​

THESE ARE NOT ANY RECOMMENDATIONS TO BUY OR SELL. THESE ARE SIGNALS GENERATED BY THE SYSTEM BEING TESTED UNDER SYSTEM IMPLEMENTATION EDUCATION EXCERCISE. ANYBODY ACTING ON THESE WILL BE SOLELY RESPONSIBLE FOR THEIR ACTIONS.

************************************​

 

[asnavale]

MINUTES OF THE MEETING HELD ON 06 JAN, 2007
**************************************************************
​

Hello friends,

The participants of SYSTEM IMPLEMENTATION EXCERCISE met on Jan 06, 2007 to discuss the progress so far. Anant, Karthik, Murthy, Rpc and Siva were present. Sanjay has been away and did not attend. The meeting started at 9:55PM IST. Siva recorded the discussions and Rpc kept a backup. Following are the minutes of the meeting:

Anant summarised the progress made since the beginning of the excercise on 06-12-2006. Initially all the six participants were active and posted their results daily. In the later half of the month Karthik, Sanjay and Murthy had to go out of station and could not continue. Only Anant, Rpc and Siva continued the excercise. Anant was using MABIUTS-HB system while both Rpc and Siva used MABIUTS-KAMA system. Rpc was using default settings and Siva had fine-tuned the parameters. Karthik said effectively only two systems were being tested. Karthik after his return had said that posting the backlog did not serve any purpose as some bias may be there after the market performance is known. Murthy also felt the same and both decided to continue after the review meeting. As Sanjay was not there and there was no informtion about him, Karthik felt that sombody else may take Sanjay's system and start afresh. Rpc volunteered to take it up along with his present system.

After the summary presented, the discussions began with the first item regarding ranking of signals. In the previous meeting Murthy had suggested taking ROC of volume to rank the signals. Karthik commented that his R2 system was slow in responding to fast moves. So by taking ROC in his case would introduce further delay. Murthy asked whether each system can be set to the same short period of 5-10 days. But Karthik pointed out that different systems use different periods and can not be set to same period. Karthik suggested OBV to rank the system while Anant suggested Accumulation Distribution ratio. Karthik said he had tried Acc./Dist. but was not much effective. Also, it involved some extra calculations. So, he opined that something simpler should be used to rank the signals. Murthy suggested it need not be codable, even visual inspection can be used.Karthik suggested cross over of short and long term simple MA of volume with short MA going above ang continue to increase. Rpc said visual inspection would be difficult if signals are more. Murthy suggested fine tuning the system to generate less signal. Anant said that may exclude some good signals. After some more discussion the MA periods were agreed upon as 5d and 20d.

The next point discussed was number of max stocks held and max trades per day. After discussing in some detail 20 stocks was decided as maximum number to be held at any time. number of stocks to be bought on a single day was discussed. Though max was suggested as 2, later it was decided to leave it to the individual choice. The subject of allowing the system to generate multiple consecutive signals (to use ExRem or not to use it)was discussed and it was felt that for signal generation it may be omited as per individual choice but for drawing charts it may be included to keep the charts less crowded.

Next point was about Stop Loss. The discussion was whether initial SL or technical SL is to be followed. As expected this topic brought ou a number of various points and counter points. After a somewhat lengthy discussion it was decided the a meeting be held on next day (07-01-2007) to continue the topic.

Anant asked whether the system can be changed/modified as per his post. It was suggested that it can be done. From the next round of SIE the modified code can be used. It was also suggested that till all the people start afresh, the existing code may be continued and the trades and signals be posted regularly.

The meeting concluded with a resolution to continue the next day to discuss the remaining issues.

 

[asnavale]

MINUTES OF THE MEETING HELD ON 07 JAN, 2007
**************************************************************
​

Hello friends,

The participants of SYSTEM IMPLEMENTATION EXCERCISE continued the meeting on Jan 07, 2007. Anant, Karthik, Murthy, Rpc and Siva were present. Sanjay has been away and did not attend. The meeting started at 10:05PM IST. Siva recorded the discussions. Following are the minutes of the meeting:

Anant opened the debate by giving a summary of previous day's discussions on Stop Loss. It was felt that we can have a trade start SL of 5% on buy price subject to a maximum of 1% of total equity. Once the prices move favourably a Trailing SL should be introduced. The point to be decided was the trailing SL. Murthy suggested 95% of Highest Close price AFTER Buying. Anant sgeested a Fib ratio 0.38 of Diff between the highest Close (after Buying ) and the pervious immediate lowest Close (or Buy price whichever is low). But it requires a bit more calculations so it was decided to make it a simpler trailing Stop Loss. Also, it was clarified that the Stop Loss should be calculated on Closing Price only and NOT on intra-day low. If Stop Loss is hit the Selling should be on next day's opening and NOT on same day.

Karthik was in favour of a percentage based on accrued profit while Murthy was for a percentage based on Highest Close after Buying. After a lengthy discussion it was unanimously decided to apply Stop Loss as follows:
Initial Stoploss 5% subject to max of 1% of equity OR a Trailing Stop Loss of 95% of Highest Close AFTER Buying whichever comes first. In case there is a SELL signal before either of these then simply SELL next day. The issue will be reviewed after two weeks.

The maximum trades criteria was again brought up by Siva and Karthik asked whether one can skip all trades on a particular day. After discussing it was felt that skipping trades can be allowed if reasons are given. Similarly the number trades on a day need not be restricted. It was also decided that all available cash including realised profits can be invested.

Siva brought out an interesting feature about ranking signals based on MA of Volume cross-over. He pointed out that for NIFTY stocks presently the short MA is below long MA and so they get eliminated. Murthy suggested ratio of EMA(V,5)/MA(V,20) to rank the signals so that the stocks with short MA below long MA are not eliminated.

It was decided to discuss this issue in another meeting to be held on Wednesday night at 9:30pm IST.


The meeting concluded with a resolution to continue on Wednesday (10-01-2007) to discuss the remaining issues.

 

[asnavale]

Hello Friends,

Following are today's (10-Jan-2007) trades based on signals of 09-Jan-2007:

SELL:

MOSERBAER 750 nos @ 320.00 Net Profit 19.62%

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

NIL as this round is concluding and new round will start. Therefore, closing all positions and not entering new ones.
*******************************

MABIUTS-HB System has given following signals based on EOD of 10-Jan-2007:

BUY:

CESC ............... FNANTECH ......... IDBI ................. JETAIRWAYS
MAHABANK ...... PRITHVI ............. RADICO ............ RPL
TULIP ............... ZEETELE

------------------
SELL:

3IINFOTECH ..... ABAN ................. ADLABSFILM ...... ANSLAINFRA
APIL ................ BPCL ................... BSELINFRA ........ CANBK
EKC ................. GEOMETRIC ......... HIMACHLFUT ..... HINDLEVER
HINDPETRO ...... ICICIBANK .......... IOC ................... ONGC
ORCHIDCHEM ... RAINCALCIN ........ RANBAXY ........... ROLTA
SAKHTISUG ...... SASKEN ............... SINTEX ............. SRF
SUNPHARMA ..... SUNTV ................. TATAPOWER ...... TTML
UNITY ............... VSNL ................... WEKGUJ

***************************

PRESENT PORTFOLIO POSITION (Based on Closing Prices of 10-01-2007):

MOSERBAER .... bought on 14-12-06 sold today for a net profit of 19.62%
ALLCARGO ....... bought on 02-01-07 Present profit 17.69%
SUBEX ............. bought on 05-01-07 Present profit 0.35%
TTML ................ bought on 08-01-07 Present profit -3.64%
APIL ................. bought on 08-01-07 Present profit -0.68%
ADLABSFILM ..... bought on 09-01-07 Present profit -4.15%
EKC .................. bought on 09-01-07 Present profit -6.60%
******************************
APIL and TTML bought on 08-01-2007 and ADLABSFILM and EKC bought on 09-01-07 have given SELL signal today. They will be sold on Thursday at Opening price.
EKC has gone below SL as well as given SELL signal.

***************** DISCLAIMER *****************​

THESE ARE NOT ANY RECOMMENDATIONS TO BUY OR SELL. THESE ARE SIGNALS GENERATED BY THE SYSTEM BEING TESTED UNDER SYSTEM IMPLEMENTATION EDUCATION EXCERCISE. ANYBODY ACTING ON THESE WILL BE SOLELY RESPONSIBLE FOR THEIR ACTIONS.

************************************​

 

[sivavkm]

Kama System, (Parameters 8,2,3,1)​

Dear friends,

Accept my apologies for not posting last 3 days, here it is...

[U][B]Trades on 8-jan-2007[/B][/U]
Buy:
IVRCLINFRA	@ 396.95	SL @ 381.71 
HINDPETRO	@ 288.75	SL @ 281.20 
AMARAJABAT	@ 420.25	SL @ 399.24 

[B]Sell:[/B]
HCLTECH 	@ 615.00 (open price)
BHARTISHIP	@ 380.52 (SL)
BAJAJAUTO 	@ 2701.80 (SL)

[U][B]Singals based on eod 8-jan-2007 [/B][/U]
Buy:
GITANJALI	ASTRAMICRO	VAKRANSOFT
[B]Sell:[/B]
M&M	MARUTI	HINDALC0	JPASSOCIAT	PUNJLLOYD	GUJAMBCEM
GDL	CIPLA	PATNI		COLGATE

[U][B]Trades on 9-jan-2007[/B][/U]
[B]Buy:[/B] 
GITANJALI	@ 263.70	SL @ 250.52
ASTRAMICRO	@ 172.50	SL @ 163.88
VAKRANSOFT	@ 285.00 	SL @ 270.75

[B]Sell:[/B]
GITANJALI	@ 250.52 (SL)
ULTRACEMCO 	@ 1073.50 (SL)

[U][B]Singals based on eod 9-jan-2007 [/B][/U]
Buy:
NAHARSPG
[B]Sell:[/B]
SATYAMCOMP	UNITECH		LT	BANKINDIA
IPCL		NIITTECH	M&MFIN	GVKPIL
AZTECSOFT

[U][B]Trades on 10-jan-2007[/B][/U]
Buy:
NAHARSPG	@ 281.00 	SL @ 266.95 

[B]Sell:[/B]
DRREDDY 	@ 786.70 (SL)
IVRCLINFRA 	@ 381.71 (SL)
ASTRAMICRO 	@ 163.88 (SL)
VAKRANSOFT 	@ 270.75 (SL)

[U][B]Singals based on eod 10-jan-2007 [/B][/U]
Buy:
DCHL

[B]Sell:[/B]
TATAMOTORS	IVRCLINFRA	RELCAPITAL
TATASTEEL	BAJAJAUTO	DRREDDY
DIVISLAB	GLENMARK	KLGSYSTEL
KTKBANK		ULTRACEMCO	CAMBRIDGE
TRIVENI		BIOCON		JINDALSTEL
VIVIMEDLAB	CEAT		THERMAX
TATAELXSI	PLETHICO	BANKBEES

Current Portfolio

[U]QTY	TICKER		DATE		PRICE	SL	CMP	P/L[/U]
350	TULIP 		20-12-2006 	510.05	522.88	572.6	12.27% 
225	HINDPETRO	08-01-2007	296	281.2	283.9	-4.09% 
160	AMARAJABAT	08-01-2007	416.9	399.24	414.1	-0.68% 
700	NAHARSPG	10-01-2007	281	266.95	274.6	-2.28%

Invested Capital 508,521.50
Balance Cash 491,478.50
Total P&L (24,840.46)

Regards
Siva