Trading NR7 setup

Shailu, I felt the need to clarify this a bit more.. so I have added this answer to first post. Plz recheck and let me know if it is still not clear.

Happy Trading.

This is great topic. A well developed system used to trade the expansion/contraction principle of the market is sure to be profitable. I too have been working on a similar system.

For those who use Amibroker for stock charting I have attached a formula for plotting several types of expansion/contraction indicators on a daily chart. All indicators were taken directly from Toby Crabel's book written back in 1989. The fact that these principles are still valid and profitable tells me this method is based on the unchanging, and fundamental principles of how markets work.

I have contributed most of my knowledge on this topic in the flowing traderji post:
Opening Range Breakout
Thanks to Bollis for starting that thread which inspired me to write the code and start building a system based on Toby Crabel's work.

I also look forward to seeing this thread develop and am eager to see what other methods are created to profit from these principles.

Dry

Dear AW10, pl verify th attache test results of 3 trades in nifty, just want to make sure i am going in corect diection

Bandlab2, you are going in perfectly right way.
It seems, u are taking nifty spot price for the trading. I don't see it as a problem as long as we accept the assumption that "Nifty future follows the movement of nifty spot".
Otherwise, use of nifty futures data would be more appropriate.
In my view, it will not make much of difference in backtesting.

Happy Trading

Dry,
Thanks for posting Ami code for many more setups given by Toby Crabel.

I was following your ORB thread.
Nice to meet another Toby Crabel fan on this forum.
Looking forward for your contribution here as well.

Happy Trading

AW10,
Good to see that our small discussion about NRs & IB has taken a form of a full-fledged thread.

I am trading NR4/7/IB concept in NF since a long time, but only for intraday basis. (may carry forward them for max 2-3 days).
Recently, I have noticed that NF has a tendency of giving a false breakout after range contraction.
I had incorporated this NR4/7/IB study in my mechanical pivot excel file in this thread Post #3
The resulting effect of such range contraction days can be easily since in this excel file which has Nifty Spot & Fut data from Jan 2008.



Usually, this range contraction happens ahead of an important news event, and most of the times, I have noticed that the breakout happens in form of a big gap open. Thus, not much "juice" is left on the following breakout day.
Hence, I usually buy Option Straddles or Strangles when such possibility of NR4-2 or NR7 comes up by 3:15pm.
By 3:30pm, I take suitable straddle/strangle position, and I am already in the trade on the following breakout day.

I am strongly AGAINST using Nifty Spot data for such NR concept. I think, by now, everyone knows about the reliability (or, unreliability) of Spot's High & Low (especially, on big gap open days).
For example, in case of a gap up, the recorded Low of spot would be (99% of times) very close to prev. close, and which will not correlate with Nifty Future's Low.

So, I focus ONLY on Nifty Future's High & Low for such setup. I just confirm with SPot's data to confirm the prevalence of similiar NR4-2 or NR7 or IB.



By the way, as on 19-June-09's close, we have NR4 as per Nifty SPot, but nothing as per NIfty Future.
As aforementioned, this is due to big gap down opens on 15th & 16th and flat open on 18th, which renders Spot data calculation inaccurate.

I have also found a similar disconnect (in the U.S. markets) between the S&P cash index and the S&P E-mini futures contract. I get more reliable signals from the E-min futures contract than I do using the $SPX, or SPY. Seems to me this indicates the futures markets are driving the equities. Very interesting...

Dry

I modified a afl got from afl library in ami site to get NR4 and NR7 days/stocks having that status on the last trading day. I wanted to get it from intraday data> hence I used timeframeset function as below.
TimeFrameSet(inDaily);

NR1_Scan = ParamToggle("Scan NR1?", "No|Yes", 1);
NR4_Scan = ParamToggle("Scan NR4?", "No|Yes", 1);
NR7_Scan = ParamToggle("Scan NR7?", "No|Yes", 1);

/*MinVR = Param("Min Volatility_Ratio", 0.5, 0.1, 1, 0.1);*/

NR1 = Inside() OR (Ref(H, -1)==H AND Ref(L, -1)<L) OR (Ref(H, -1)>H AND Ref(L, -1)==L);
NR4 = (H - L) < Ref(LLV(H-L,3),-1);
NR7 = (H - L) < Ref(LLV(H-L,6),-1);

/*Volatility_Ratio = StDev(log(C/Ref(C,-1)),5)/StDev(log(C/Ref(C,-1)),99);*/



/**********************************
The Explorer
- Run the Analysis
***********************************/
/*Filter = Volatility_Ratio>=MinVR AND (NR7 OR NR4 OR NR1);*/
Filter = (NR7 OR NR4 OR NR1);
Buy = Filter;
if (NR1_Scan) AddTextColumn(WriteIf(NR1, "Yes", "No"), "NR1", 1.0, colorDefault,colorDefault, 80);
if (NR4_Scan) AddTextColumn(WriteIf(NR4, "Yes", "No"), "NR4", 1.0, colorDefault,colorDefault, 80);
if (NR7_Scan) AddTextColumn(WriteIf(NR7, "Yes", "No"), "NR7", 1.0, colorDefault,colorDefault, 80);
/*AddColumn( Volatility_Ratio, "Vol Ratio",1.4, colorDefault,colorDefault, 80 );*/
TimeFrameRestore();

But what I get for last day trading is given in pic below. Any suggestion is welcome for this.

Without examining the output of the exploration I do have some comments in regards to the modification you made. Adding the TimeFrameSet(inDaily); statement may not give you accurate results if your intraday data includes trades which occur outside of market hours. When you set the time frame to daily from within an intraday database, the code does not know when the market opens or closes and simply uses the values available in the entire 24 hour period of each day. While this may be what you intend, I have not found anyone using data outside of regular market hours to calculate NR's of any type, nor pivots.

Does this help explain the results you are getting with this modified code?

Dry