System Implementation Exercise

A

asnavale

Well-Known Member
#441
#441
Dear Friends

Following are the trades on 15-03-2007 based on the signals generated on 14-03-2007

Code: 
[B]SELL:

[U]SYMBOL      QUANT   SELL Date    Sell Price    Net P/L   [/B]
_                        N I L                           [/U]
[B]BUY:

[U]SYMBOL      QUANT    BUY Date     BUY Price    STOP LOSS [/B]
__                       N I L                           [/U]
MABIUTS-HB system (With RSI Filter) has given the following signals based on EOD of 15-03-2007:

Code: 
[B]BUY:[/B]

NIL

[B]SELL:[/B]

NIL
PRESENT PORTFOLIO
Code: 
[B][U]SYMBOL      Buy Date    Price   STOPLOSS     CMP         P/L    [/U][/B]
 IDBI        31-01-07    103.30    98.15      73.95    -28.41%
 TTML        01-02-07     24.80    23.55      20.85    -15.93%
 RPL         06-02-07     69.25    65.80      68.90     -0.51%
 FINANTECH   08-02-07   1951.00  1853.45    1844.40     -5.46%
 WOCKPHARMA  28-02-07    343.70   326.50     368.70      7.27%  
[U] UTVSOF      09-03-07    301.00   285.95     296.00     -1.66%   [/U]
Cash in Hand: 339156.92

Regards

-Anant

***************** 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.

************************************​
 
R

rpc

Active Member
#442
#442
hi all

Owner : rpc , System : KAMA , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :
Code: 
[color=green]
Ticker       Qty   Cost      Stop Loss   
BIOCON       210   472.00    448.40
[/color]
Sells:
Code: 
[color=darkred]
RENUKA 280 @ 358.85 PROFIT 532.97(0.54%)
INDIABULLS 230 @ 422 LOSS 748.66(-0.77%)
EKC 120 @ 868.70 PROFIT 5134.75(5.22%)
[/color]
Based on signals generated and ranking criteria, picks for tomorrow

Code: 
[color=green]
ANSALHSG     CMC           GLENMARK
[/color]
Based on SL/TSL hit sells for tomorrow

Code: 
[color=darkred]
NONE
[/color]
Signals generated based on EOD of 15/03/07

Buy :
Code: 
[color=green]
ANSALHSG     CMC           GLENMARK      UTVSOF
[/color]
Sell :
Code: 
[color=darkred]
NONE
[/color]

DISCLAIMER
Code: 
[color=red]
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 responsiblefor his/her own acts.
[/color]
with best wishes
rpc
 
Last edited:
R

rpc

Active Member
#443
#443
hi all

Owner : rpc , System : KS , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :
Code: 
[color=green]
Ticker       Qty    Cost     Stop Loss   
NONE
[/color]
Sells:
Code: 
[color=darkred]
BAJAJHIND 540 @ 174.15 LOSS 5454.01(-5.52%)
ROLTA 280 @ 408 PROFIT 16621.08(17.16%)
UTVSOF 340 @ 297.80 PROFIT 3317.28(3.41%)
[/color]
Based on signals generated and ranking criteria, picks for tomorrow

Code: 
[color=green]
JAGRAN
[/color]

Based on SL/TSL hit sells for tomorrow

Code: 
[color=darkred]
NONE
[/color]


Signals generated based on EOD of 15/03/07

Buy :
Code: 
[color=green]
JAGRAN
[/color]

Sell :
Code: 
[color=darkred]
NONE
[/color]

DISCLAIMER
Code: 
[color=red]
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.
[/color]

with best wishes
rpc
 
A

asnavale

Well-Known Member
#444
#444
Dear Friends

Following are the trades on 16-03-2007 based on the signals generated on 15-03-2007

Code: 
[B]SELL:

[U]SYMBOL      QUANT   SELL Date    Sell Price    Net P/L   [/B]
_                        N I L                           [/U]
[B]BUY:

[U]SYMBOL      QUANT    BUY Date     BUY Price    STOP LOSS [/B]
__                       N I L                           [/U]
MABIUTS-HB system (With RSI Filter) has given the following signals based on EOD of 16-03-2007:

Code: 
[B]BUY:[/B]

NIL

[B]SELL:[/B]

BHARTIARTL     HCLTECH     ICICIBANK     INDIABULLS
PRESENT PORTFOLIO
Code: 
[B][U]SYMBOL      Buy Date    Price   STOPLOSS     CMP         P/L    [/U][/B]
 IDBI        31-01-07    103.30    98.15      73.45    -28.90%
 TTML        01-02-07     24.80    23.55      20.70    -16.53%
 RPL         06-02-07     69.25    65.80      68.05     -1.73%
 FINANTECH   08-02-07   1951.00  1853.45    1845.65     -5.40%
 WOCKPHARMA  28-02-07    343.70   326.50     364.25      5.98%  
[U] UTVSOF      09-03-07    301.00   285.95     296.10     -1.63%   [/U]
Cash in Hand: 339156.92

Regards

-Anant

***************** 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.

************************************​
 
A

asnavale

Well-Known Member
#445
#445
sandhuks said:
Hi Anant,

Tks for the reply, and results are not bad for this market and considering it is a trend following system.. will hv large drawdowns..in such markets..

..do you hv a short summary of backtest results for how many years you tested -to give you confidence in the system..this data can be impt in sticking with a sys in downturn.
Some thoughts on the results-
-the ttl.drawdown ( of portfolio) is not clear ie.maxdrawdown over entire period
- I agree stops are not a good idea.
- I think drawdowns need to be addressed in any system foremost.profits will follow.
- increasing the number of trades can go a long way in ensuring more uniform performance rather than volatile perf.(even if larger no of loss making trades)

I've been working on developing a system and keep running into these issues. :)
Click to expand...
Hi Sandhu,

I have not stored the results of the backtest for present system. However, the results of backtest for earlier systems are available. The summary of those tests are given in the related thread "Experiments in Technical Analysis".

As far as the present results being posted daily, I have not calculated all the data you asked. However, the results are recorded in an Excel Workbook. I am attaching the same for you to go through.

Regards

-Anant
 
Last edited:
P

pshirurkar

Active Member
#446
#446
hi mr asnavale,
i have gone through all the pages in this thread and notice what a tremendous efforts the team members have taken on this thread since inseption
after going through your feelings on dat 7th and 11th of this month it seems you are some what worried about the . findings, but as i know market is ,running neither on ta nor on sentiments . it is running .on the combinations of so many factors including the above two, since last few days
let the dust inthe market setteled and you definately find your s/w very fruitfulland the efforts you and your team has taken will definately be appreciated .
i am very much positive on your s/w and the result so far generated

with regards.
 
R

rpc

Active Member
#447
#447
hi all

Owner : rpc , System : KAMA , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :
Code: 
[color=green]
Ticker       Qty   Cost      Stop Loss   
ANSALHSG     350   280.00     266.00
CMC           70  1308.00    1242.60  
GLENMARK     160   602.00     571.90 
[/color]
Sells:
Code: 
[color=darkred]
NONE
[/color]
Based on signals generated and ranking criteria, picks for tomorrow

Code: 
[color=green]
NONE
[/color]
Based on SL/TSL hit sells for tomorrow

Code: 
[color=darkred]
NONE
[/color]
Signals generated based on EOD of 16/03/07

Buy :
Code: 
[color=green]
NONE
[/color]
Sell :
Code: 
[color=darkred]
NONE
[/color]

DISCLAIMER
Code: 
[color=red]
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 responsiblefor his/her own acts.
[/color]
with best wishes
rpc
 
R

rpc

Active Member
#448
#448
hi all

Owner : rpc , System : KS , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :
Code: 
[color=green]
Ticker       Qty    Cost     Stop Loss   
JAGRAN       260    379.00   360.05
[/color]
Sells:
Code: 
[color=darkred]
NONE
[/color]
Based on signals generated and ranking criteria, picks for tomorrow

Code: 
[color=green]
NONE
[/color]

Based on SL/TSL hit sells for tomorrow

Code: 
[color=darkred]
NONE
[/color]


Signals generated based on EOD of 16/03/07

Buy :
Code: 
[color=green]
NONE
[/color]

Sell :
Code: 
[color=darkred]
NONE
[/color]

DISCLAIMER
Code: 
[color=red]
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.
[/color]

with best wishes
rpc
 
R

rpc

Active Member
#449
#449
hi all

Owner : rpc , System : KAMA , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :
Code: 
[color=green]
Ticker       Qty   Cost      Stop Loss   
NONE
[/color]
Sells:
Code: 
[color=darkred]
NONE
[/color]
Based on signals generated and ranking criteria, picks for tomorrow

Code: 
[color=green]
ORCHIDCHEM   MPHASIS
[/color]
Based on SL/TSL hit sells for tomorrow

Code: 
[color=darkred]
ANSALHSG
[/color]
Signals generated based on EOD of 19/03/07

Buy :
Code: 
[color=green]
ORCHIDCHEM   MPHASIS 
[/color]
Sell :
Code: 
[color=darkred]
ANSALHSG
[/color]

DISCLAIMER
Code: 
[color=red]
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 responsiblefor his/her own acts.
[/color]
with best wishes
rpc
 
R

rpc

Active Member
#450
#450
hi all

Owner : rpc , System : KS , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :
Code: 
[color=green]
Ticker       Qty    Cost     Stop Loss   
NONE
[/color]
Sells:
Code: 
[color=darkred]
NONE
[/color]
Based on signals generated and ranking criteria, picks for tomorrow

Code: 
[color=green]
NIITTECH
[/color]

Based on SL/TSL hit sells for tomorrow

Code: 
[color=darkred]
NONE
[/color]


Signals generated based on EOD of 19/03/07

Buy :
Code: 
[color=green]
NONE
[/color]

Sell :
Code: 
[color=darkred]
NONE
[/color]

DISCLAIMER
Code: 
[color=red]
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.
[/color]

with best wishes
rpc
 
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