Trading NR7 setup

[Purushotham]

Please find below the backtest report for TATA STEEL from 2006 to 2014.

The success ratio is comparatively high when you include this additional filter, in fact just plain NR7 setup failed in long run resulting in negative returns for the period of 2006 to 2014.

However, only 50 trades were executed with additional filter which not only increased the winning %, also the total points gained in 155 with 72% success rate.

Cubt sir,

Thanks for the setup.

what abt the target?? is it 1R, 2R or EOD.

 

[Cubt]

Please find below the backtest report for TATA STEEL from 2006 to 2014.

The success ratio is comparatively high when you include this additional filter, in fact just plain NR7 setup failed in long run resulting in negative returns for the period of 2006 to 2014.

However, only 50 trades were executed with additional filter which not only increased the winning %, also the total points gained in 155 with 72% success rate.

Sorry, wrongly calculated the total points. The correct total is
Total Points 338.1 20.3

 

[Cubt]

Cubt sir,

Thanks for the setup.

what abt the target?? is it 1R, 2R or EOD.

Its calculated based on the close price - EOD.

 

[Cubt]

I have downloaded 14 years of EOD data for all stocks from NSE. Trying to backtest specific stocks like TCS, TATASTEEL and other liquid stocks. Let me know if i need to backtest on any specific stocks, i shall update the results here

 

[augubhai]

Sorry, wrongly calculated the total points. The correct total is
Total Points 338.1 20.3

Hi Cubt,

These results are with 2 filters
(1) NR7 (2) O=H/O=L

How is the performance if u remove the NR7 filter?

 

[amitrandive]

I have downloaded 14 years of EOD data for all stocks from NSE. Trying to backtest specific stocks like TCS, TATASTEEL and other liquid stocks. Let me know if i need to backtest on any specific stocks, i shall update the results here

Cubt

I would just like to add that , we need to differentiate between periods of back testing.

Pre-2010 where Algo trading was not present and post-2010 where scrips and indices fall and rise rapidly by Algorithmic trading and High Frequency trading.

Obviously we cannot compare Apples and Oranges

 

[drsambu123]

Open=low meansopening is lower than previous close¿?.or previous low?

 

[Cubt]

Hi Cubt,





These results are with 2 filters


(1) NR7 (2) O=H/O=L





How is the performance if u remove the NR7 filter?

draw down is higher n returns were less when filter was removed

 

[Cubt]

Open=low meansopening is lower than previous close¿?.or previous low?

it means day open = days low

 

[drsambu123]

day open= day low

how do we know the open value is low or high for that day.. until market closes?
i dont get the seconnd filter...Pl somebody explain??