System Implementation Exercise

[SGM]

Hello Uma,

I will try to answer your queries.

Several things are unclear. I would specifically want the following explained:
1. Karthik's MABIUTS-K gives consecutive Buy or Sell signals without the opposite in between. How are you dealing with them?

The first Buy / Sell signal is executed and all the consecutive Buy or Sell signals without the opposite in between are treated as continuation signals.
As soon as the first opposite signal is triggered the position is squared or reversed as the case maybe.

2. What is the stoploss? For example if a stock is purchased for Rs. 100 and its price gradually falls to say 90 or even 85, when do you sell?
3. What does position sizing mean? How it is implemented?

The money management rules put a constrain on the system where the traders cannot take a trade if initial stop loss is more than 5% of the position size or it is more than 1% of the entire equity. So in your example above if the SL is estimated below 95 the trade will not be taken. Even if the initial SL is above 95 the position size should be such that it will be less than 20% of the entire equity.

4. What is leverage? Is it applicable to cash segment?

Leverage is available when the trade is taken in FnO. Few brokers finance for cash segment also, but the terms are not at all favorable for the trader. In this implementation we will not consider leverage to be available for Cash Segment. We have limited the leverage for FnO trades to 3 times (or 33% Margin)

5. When you start implementing and the first signal you get is sell. What would you do?

We sell, what else .Well, in cash segment one cannot short, but if the traders are using FnO, they are allowed to take the short trade.

6. When you make profit do you reinvest all the profit or keep a portion aside?

The initial equity available to trade will be fixed to 10,00,000/-. We will evaluate the performance at end of a month. The position size for cash segment will be limited to 10L and that in FnO to 30L minus any drawdowns.

7. If you sell on hitting a stoploss and later you get a buy signal will you re-enter?

Yes, preferably all the signals will be traded. Only if the account is fully invested / leveraged the trade cannot be taken

8. What are the settings you would use in AmiBroker for these tests?

We will be implementing the systems and no back testing’s are involved, AB will be used to run the explorations of the AFLs (already uploaded) and maintain EoD data.

If you have any more queries plz feel free to ask.

Regards
Sanjay

 

[karthikmarar]

1. Karthik's MABIUTS-K gives consecutive Buy or Sell signals without the opposite in between. How are you dealing with them?

Hi Uma

This consecutive Buy or Sell signals could be easily suppressed by just added two lines to the afl.

I just prefer to keep them to look at pyramiding (adding on) oppurtunities or for a second Entry chance if the first one was missed.

As far as this exercise is concerned the second consecutive BUY signal could provide a entry oppurtunity as many stocks are already in a uptrend.

regards

Karthik

 

[rahulg77]

Hi Sanjay and Karthik.

How are u both doing? Best of luck on the start of implementation process. I regret that I am not being able to participate as I had planned. I am running a business and am single handed and hence looking after all aspects such as accounts, marketing production. Plus the season this year has not picked up yet and hence am busy running arond trying to procure orders.

It would be a great learning experince and I will try to learn as much by staying on the sidelines though implementing it would have taught me far more than what I will learn now.

Please accept my apologies.

Regards

Rahul

 

[sharantaka]

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.




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.




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

Hello Sanjay,
I was just going through the thread 'Systm Experimenting Exercise" started by some senior members. It seems the thread mainly is applicable to Amibroker T.A. software. I have recently downloaded the evaluation version but I have not been able to update any historical data into it, because i don't know how to do it. In this situation please advise if at all i am able to import historical data in to Amibroker, minimum howmany months historical data is required to be loaded in to Amibroker, if I want to experiment with the AFLs given in this thread. If this experimenting can be done with Metastock software, then I have last two years data with me. How do I use these AFLs in Metastock?
Thanking you
sharantaka

 

[karthikmarar]

Hi sanjay

Like you said we will start on thursday. Now the stage is set for the launch.

Myself, You , Murthy and Ananth have confirmed our readiness. What about the others?

We have not heard from Siva, the man who sort of triggered all this with his backest results.


regards

karthik

 

[sivavkm]

Hi sanjay

Like you said we will start on thursday. Now the stage is set for the launch.

Myself, You , Murthy and Ananth have confirmed our readiness. What about the others?

We have not heard from Siva, the man who sort of triggered all this with his backest results.


regards

karthik

All the 5 systems are taken ... so i was searching for the holygrail (again!!!).. Now thinking of traderji's 3-13-39 crossover and vish's 3-5 crossover systems.. any other systems ???

Regards
Siva

 

[SGM]

Hi Sanjay and Karthik.

How are u both doing? Best of luck on the start of implementation process. I regret that I am not being able to participate as I had planned. I am running a business and am single handed and hence looking after all aspects such as accounts, marketing production. Plus the season this year has not picked up yet and hence am busy running arond trying to procure orders.

It would be a great learning experince and I will try to learn as much by staying on the sidelines though implementing it would have taught me far more than what I will learn now.

Please accept my apologies.

Regards

Rahul

Hello Rahul

We all understand the compulsions. You have to go by your priorities, maybe you can join in at a later date.

Warm regards
Sanjay

All the 5 systems are taken ... so i was searching for the holygrail (again!!!).. Now thinking of traderji's 3-13-39 crossover and vish's 3-5 crossover systems.. any other systems ???

Regards
Siva

Hello Siva

We need some one to take up the AMA system. Do let us know if you can.

Warm Regards
Sanjay

 

[sivavkm]

Dear sanjay,

Ok.. done.
I will take AMA system, will post the details & parameters tomorrow...
Hopefully, i will get my hands on futures with this exercise...

Regards
Siva

 

[rpc]

hi all
please comment upon my follo queries/suggestions
* Cell H2 should contain formula "1%*C3/H3" meaning we are risking max 1% of total trading capital per trade
If it is so then what happens to shares which cost less than 100.What should be SL ? see next point

* how does max drawdown figure in this ? Will not SL take care of it ? Or Risk(cell H2) should be less than 5% of cell H3
If so then formula in H2 should be modified accordingly.

* If less than 5 signals then we stay with cash ? If more than 5 signals generated then which stocks to select ?

* For every Buy signal we would input Open Price of next day of share in cell H3 to get no of shares.

* Any Profits/Losses will be reinvested so Starting Equity figure will change with every sell. Is my interpretation correct ?


* Add one more row in Position Sizing showing Stop Loss Price to facilitate its entry in "Stop"(Col I23)

* Brokerage and other expences should be how much ? I feel it should be same for all.

* what does "VK","TL" and "TLM" stand for in murthymsr's 200 stk selection afl ?

* when I ran Mabiuts AMA(after including murthy's afl) even shares with Close < 10 got selected.
I got total 24 buy signals.which are attached.How do we ensure the exploration is run on stocks
given out by murthymsr's 200 stocks list ?

thanks
with best wishes
rpc

 

[rpc]

hi
sorry forgot to attach the file it is attached now
with best wishes
rpc