Trading NR7 setup

[veekay304]

..............................

 

[rohangawale]

NR7 Stocks Triggered on 21 Dec:

[B]STOCK		HIGH		LOW[/B]
ACC		864.9		851.5
BPCL		598.00		587.00
HDFC BANK	1671.2		1647.05
HDFC LTD	2600		2555
HIND UNILEVER	264.75		261.25
ICICI BANK	818.9		809.35
IDEA		57.8		56.95
POWERGRID	104.9		103.8
PNB		890		878.2
REL INFRA	1036.5		1021
RPOWER		144.55		142.4
SIEMENS		554.85		546.1
SBI		2166.9		2135.1

 

[rohangawale]

NR7 Stocks Triggered on 21 Dec:

[B]STOCK		HIGH		LOW[/B]
ACC		864.9		851.5
BPCL		598.00		587.00
HDFC BANK	1671.2		1647.05
HDFC LTD	2600		2555
HIND UNILEVER	264.75		261.25
ICICI BANK	818.9		809.35
IDEA		57.8		56.95
POWERGRID	104.9		103.8
PNB		890		878.2
REL INFRA	1036.5		1021
RPOWER		144.55		142.4
SIEMENS		554.85		546.1
SBI		2166.9		2135.1

NR7 Close on 22nd Dec:

		[B]21-Dec			22-Dec	
STOCK		HIGH	LOW		Close	Trigger[/B]
ACC		864.9	851.5		837.40	Down Break
BPCL		598.00	587.00		608.10	Up Break
HDFC BANK	1671.2	1647.05		1646.55	Down Break
HDFC LTD	2600	2555		2562.80	No Breakout
HIND UNILEVER	264.75	261.25		261.30	No Breakout
ICICI BANK	818.9	809.35		825.70	Up Break
IDEA		57.8	56.95		58.35	Up Break
POWERGRID	104.9	103.8		106.50	Up Break
PNB		890	878.2		889.20	No Breakout
REL INFRA	1036.5	1021		1035.70	No Breakout
RPOWER		144.55	142.4		144.00	No Breakout
SIEMENS		554.85	546.1		550.25	No Breakout
SBI		2166.9	2135.1		2165.95	No Breakout

 

[rohangawale]

NR24 day on nifty spot today.

 

[hiteshsjoshi]

In Futures, the range for the day was mere 32.80 points. Could not locate a single day post Nov 2007, when the range for Futures was less then 32 points.

So, what we have, a NR 500+....:thumb:

 

[Sunil]

In Futures, the range for the day was mere 32.80 points. Could not locate a single day post Nov 2007, when the range for Futures was less then 32 points.

So, what we have, a NR 500+....:thumb:

27-Dec-2007 came very close, in terms of % of Range to Opening Price.
It was 0.68% on that day, but still today's 0.66% is the lowest in the data I have maintained since 1-Nov-2007

I'll have to study in the 3 years data that I have, which month has the (dis)credit of having so many NR7+ days....

 

[AW10]

In Futures, the range for the day was mere 32.80 points. Could not locate a single day post Nov 2007, when the range for Futures was less then 32 points.

So, what we have, a NR 500+....:thumb:

Yes Hitesh, you can say that NR500+ day.. but for us what is important is to see the right side of the chart.. As Sunil highlighted that dec 07 also had 0.66% range day.. so it looks to me like a December phenomena where biggies are missing from the market.

Let me do some number crunching on my database and see what more I find.

Happy Trading

 

[AW10]

I'll have to study in the 3 years data that I have, which month has the (dis)credit of having so many NR7+ days....

Stealing the idea give by Sunil regarding monthly analysis to find out the freq of NR7, I analysed my NIFTY SPOT database for it. And here are the results.

Here is my Summary of findings -
1) Dec/Feb/Aug = seems to have higher frequency of NR7 days. Indicating typical
2) Jan /May/ Sept = are pretty wide range day. and shows less number of NR days.
3) Surpised to find that May-03 had not even a single NR7 day. I did manual check to find that max was NR6 in this month.

4) We have got 305 NR7 days in last 1990 days.. i.e. roughly evey 7th day we have a NR7 day.

Hope you enjoy the findings..

Sunil - I don't have NF data.. and to me it seems that near expiry, it gets a bit tricky to get the NR7 flag for first 6 days of new contract...or atleast it needs bit more excel processsing then usual. If you spend some time on it then plz share the findings with us.

Happy Trading

 

[Sunil]

Here you go, my friend AW10 (I too was working on it after lunch siesta)

For NR setup, I only trust FUT data, and hence I have worked on calculations only with FUT data, which I have from Nov 2007.

The months with NARROWEST daily ranges (as % to open price) are:
AUGUST, SEPTEMBER & DECEMBER

The months with WIDEST daily ranges (as % to open price) are:
OCTOBER, NOVEMBER & JANUARY

In short, in line with the principles of the MARKET CYCLE, after droughts in August & September, we have a bumper October & November. (yeah yeah HAPPY DIWALI )

And after FIIs enjoy their Christmas while bringing dullness during December, they open their cash bags during January.

I am uploading the working excel file, in case someone wants to do more R&D...

Here's the link to the file...

:thumb:

 

[Sunil]

AW10,

our little research atleast matches & concludes August & December as culprit months, and January as a rewarding month...


problem with my research is that I have only 2 years of data, and thus questionable.