Trading NR7 setup

[rohangawale]

NR7 Stocks Triggered on 22 Dec:

[B]STOCK		HIGH		LOW[/B]
NIFTY		4997.3		4953.35
ABB		760.9		751
AXIS BANK	973.45		955.00
BHEL		2317		2276.2
CIPLA		349.4		343.15
DLF		358.7		352
GAIL		409.1		400.5
HDFC LTD	2589.85		2560
HIND UNILEVER	263.75		260.65
HDIL		347.95		341.1
ICICI BANK	829		816
L&T		1625		1610.1
LIC HOUSING FIN	780.65		770.65
MARUTI		1540		1523
PNB		894.9		885.3
RCOM		172.45		169.35
REL INFRA	1046		1031.35
RPOWER		144.95		143.25
SBI		2175.5		2155
UNITECH		80.4		78.55

 

[rkkarnani]

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

AW, In Nifty Spot May 2003 you have correctly pointed out that there are no NR7 bars!!! That is to say none are there in Calendar Month May 2003, however if we take a look at the Spot Data for the period of May futures which commenced on 25th April 2003 then 29th and 30th April 2003 have NR7 bars!!

 

[AW10]

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:

Thanks Sunil for sharing the seasonal tendency of NRx with NF data.
by the way, 2 simple questions
1) how do u adjust your NF data on expiry of one series to another. Say on day 1 of new series, u lookback at the range from current series.. or u look at the range of last 6 days of prev series and 7th day of current series.
(I guess, the range of two contracts should be very similar)

2) you are using range as % of opening price. Any special reason to use open price here. Generally I have seen most of analysis using close price for such % calculation.
I reality, it shdn't matter much in this case cause in 1 to 2% change in denominator will not change the effective %range number too much.

Just wanted to know your thought process..
Thanks again for showing the output.

Happy Trading

 

[rohangawale]

Though we got NR500++ on nifty fut, still we may not see big moves on nifty because VIX is below 20 which is 16 months low.
is it fair to judge nifty movement based on VIX??

 

[Sunil]

Thanks Sunil for sharing the seasonal tendency of NRx with NF data.
by the way, 2 simple questions
1) how do u adjust your NF data on expiry of one series to another. Say on day 1 of new series, u lookback at the range from current series.. or u look at the range of last 6 days of prev series and 7th day of current series.
(I guess, the range of two contracts should be very similar)

2) you are using range as % of opening price. Any special reason to use open price here. Generally I have seen most of analysis using close price for such % calculation.
I reality, it shdn't matter much in this case cause in 1 to 2% change in denominator will not change the effective %range number too much.

Just wanted to know your thought process..
Thanks again for showing the output.

Happy Trading

1. As learnt from Asish Da during my initial days, and after realising it myself, I have chosen only F-1 data till the last date of expriy.

(I guess, the range of two contracts should be very similar)

- same reason

2. I think somewhere in this thread I had come across a post which advised to look into % terms of the NF price (2009 has seen 2500 to 5000+) and not just the absolute difference between HOD & LOD. I think this was by you or "Lazytrader" - i m not sure.
From that day, I incorporated this % thing in my mechanical system excel file. I had initially decided to take as a % to the LOW price - then I thought that on big move days, this LOD may not provide a correct picture from intraday trading view (my bread-n-butter). Hence, I chose the OPEN price as base, as that provides a platform to rest of the day trading. Even a candlestick's colour is decided, not by High & low, but by Open & close.
Like yesterday, the OPEN was equal to LOW, and upmove just build itself with LOW as key support level.
Vice versa, when we have OPEN = HOD...
- this good observation was made by "nagendra_gb" :thumb: during my initial days.

In reality, it shouldn't matter much in this case cause in 1 to 2% change in denominator will not change the effective %range number too much.

 

[Sunil]

Though we got NR500++ on nifty fut, still we may not see big moves on nifty because VIX is below 20 which is 16 months low.
is it fair to judge nifty movement based on VIX??

yaar rohan, every december, Nifty suffers from bad cold - it requires a strong doze of Vicks (Vix) everyday...
ultimately, after some new year booze, it comes out of hangover and then sings - "talli main talli, main talli ho gaya"
:cheers:

bracing up for upcoming 4 days of holidays - friday to monday


AW10, I request you to inaugurate the 2010 calender, just like you did here in 2009.
Please, if possible, include holidays of Hong Kong (Hang Sang) and Europe.

 

[findvikas]

PT brother has done it already for Indian markets
http://www.traderji.com/day-trading/32562-trading-pt-style-272.html#post395594

 

[veekay304]

For those looking for a long list...(Sorry for posting late..)

http://img132.imageshack.us/img132/6922/22dec09nr4nr7.png


thanks
VK

 

[Sunil]

If it has not been for 49 point range on 17-Dec, spot would have also shown NR-13 today. Inspite of the X of NRx.. message of ongoing consolidation and lack of interest by biggies is loud clear.

As holiday season starts now, quite likely that we might have to wait till new year for real action. Though , I am not ruling out the probablity of window-dressing move at year end / quarter end triggered by Fund managers. If that happens, then likely that it might be more on upside then downside. Just my 6th sense partially supported by stats of analysis.. Lets see what mkt has to tell us..

Happy Trading

:clapping:

Say hello to WR-17...
check out open & LOD price

Hence, I chose the OPEN price as base, as that provides a platform to rest of the day trading. Even a candlestick's colour is decided, not by High & low, but by Open & close.
Like yesterday, the OPEN was equal to LOW, and upmove just build itself with LOW as key support level.
Vice versa, when we have OPEN = HOD...
- this good observation was made by "nagendra_gb" :thumb: during my initial days.

 

[hiteshsjoshi]

:clapping:

Say hello to WR-17...

Would love to see WR-33 :lol::lol: