daSARa system

[augubhai]

Been (manually) backtesting positional Pin Bar systems since morning...

Here are the results for Nifty futures... (since this positional, i have tested for each series from around the middle of the previous month until expiry)

Costs have not been deducted.

Results when using only Pin Bar:
August 2013 series - 22/7 onwards; +78.9 points from 12 trades
september 2013 series - 16/8 onwards; +625.35 points from 14 trades
October 2013 series - 16/9 onwards; +135.1 points from 9 trades
November 2013 series - 15/10 onwards; +56.25 points from 12 trades
December 2013 series - 26/11 onwards; +89.3 points from 11 trades
January 2014 series - 16/12 onwards; +233.9 points from 10 trades
February 2014 series - 16/1 onwards; +148.05 points from 5 trades

But this system missed out a lot of moves that did not begin with a pin bar.

So, to make the system spicy, added 3 tablespoons of range bar logic to the pin bar logic. (Range bar logic similar to what is mentioned here http://www.traderji.com/trading-diary/88102-bakwaas-trading-7.html#post877024, and applying different rules to wide, medium and narrow bars)

Results with the new rules:
August 2013 series - 22/7 onwards; +381.8 points from 34 trades
september 2013 series - 16/8 onwards; +1005.75 points from 37 trades
October 2013 series - 16/9 onwards; +950.15 points from 37 trades
November 2013 series - 15/10 onwards; +130.8 points from 32 trades
December 2013 series - 26/11 onwards; -135.4 points from 26 trades
January 2014 series - 16/12 onwards; +426.4 points from 28 trades
February 2014 series - 16/1 onwards; +186.95 points from 15 trades

Being a manual backtest done in a hurry, I am sure there will be a bunch of typos, but I have verified all the big impact trades.

This was tested on 30 min chart, and I'll tell u one thing - Swing systems are easier than day trading system.

When I was testing September, it was like i owned the mint - shorting each high and buying each low, but December brought me down to earth.

Will I trade this system? I want to, but after some more backtests. i am scared of overnite gaps, and want to work out a way to hedge against gaps.

Choices that i was thinking of

1. Buy December2014 straddle, and balance again for every 1000 points move - but it's costly at ₹1000. Could have definitely gone for it if it was ₹500
   
2. Trade this system with ITM options having big delta. But liquidity of deep ITM's is an issue. and this system tested on futures, so where do I put my stops in options.
   
3. Circus method: Trade using ITM options, but entry/exit on futures. After entry, square-off future and buy ITM option. After exit square-off future and sell option. with this circus, I will have enough time to get a good price for option, without much slippage... just thinking.

 

[augubhai]

Bad series going on for me. 100% losing days.

ORB system: Gross -67 points from 6 trades
TV system: Gross -46 points from 15 trades (including typos)

Note: I have renamed the Volume Bar system to TV system, because the modified version is a Trend and Volume system.

 

[Trading4Living]

Been (manually) backtesting positional Pin Bar systems since morning...

Are there any rules that you are using to identify pin bars?

For e.g. the tails should be min twice the body etc or identifying them visually?

I'll tell u one thing - Swing systems are easier than day trading system.

Yes but as long as one can sit tight till the next signal arrives, else the erg to trade gets the . . . .


Thanks

 

[augubhai]

Are there any rules that you are using to identify pin bars?

For e.g. the tails should be min twice the body etc or identifying them visually?



Yes but as long as one can sit tight till the next signal arrives, else the erg to trade gets the . . . .


Thanks

All systems tested are 100% rule based. No room for ambiguity.

For pin bar, I am using this AFL

blpin = (((H-L)>6*(O-C)) AND ((C-L)/(.001+H-L)>0.6) AND ((O-L)/(.001+H-L)>0.6));
brpin = (((H-L)>6*(O-C)) AND ((H-C)/(.001+H-L)>0.7) AND ((H-O)/(.001+H-L)>0.7));

Source: http://www.traderji.com/amibroker/91774-pls-anybady-have-pin-bar-afl.html#post922648

 

[augubhai]

Are there any rules that you are using to identify pin bars?

For e.g. the tails should be min twice the body etc or identifying them visually?



Yes but as long as one can sit tight till the next signal arrives, else the erg to trade gets the . . . .


Thanks

One more thing. I checked pin bar in all time frames - from 1 min to 2 hours. They work better in higher timeframes.

 

[Trading4Living]

All systems tested are 100% rule based. No room for ambiguity.

For pin bar, I am using this AFL

blpin = (((H-L)>6*(O-C)) AND ((C-L)/(.001+H-L)>0.6) AND ((O-L)/(.001+H-L)>0.6));
brpin = (((H-L)>6*(O-C)) AND ((H-C)/(.001+H-L)>0.7) AND ((H-O)/(.001+H-L)>0.7));

Source: http://www.traderji.com/amibroker/91774-pls-anybady-have-pin-bar-afl.html#post922648

Thanks

I will try to add it on my chart and see it

I tried the code from previous link that you have posted above to identify low range bars/candles, but it seems to pick up more than 60/70 % of the bars as having range less than average range (yellow color candle)

Don't know if I was doing something wrong . . .




BTW, Thanks for the ideas, was not looking at these kind of thing when trying to define the rules for my swing trading

 

[augubhai]

Thanks

I will try to add it on my chart and see it

I tried the code from previous link that you have posted above to identify low range bars/candles, but it seems to pick up more than 60/70 % of the bars as having range less than average range (yellow color candle)

Don't know if I was doing something wrong . . .

Thanks

Nothing wrong. That code is just a snippet to identify narrow range bars. It is up to you decide how to use that info in ur system.

 

[augubhai]

Been (manually) backtesting positional Pin Bar systems since morning...

Here are the results for Nifty futures... (since this positional, i have tested for each series from around the middle of the previous month until expiry)

Costs have not been deducted.

Results when using only Pin Bar:
August 2013 series - 22/7 onwards; +78.9 points from 12 trades
september 2013 series - 16/8 onwards; +625.35 points from 14 trades
October 2013 series - 16/9 onwards; +135.1 points from 9 trades
November 2013 series - 15/10 onwards; +56.25 points from 12 trades
December 2013 series - 26/11 onwards; +89.3 points from 11 trades
January 2014 series - 16/12 onwards; +233.9 points from 10 trades
February 2014 series - 16/1 onwards; +148.05 points from 5 trades

But this system missed out a lot of moves that did not begin with a pin bar.

So, to make the system spicy, added 3 tablespoons of range bar logic to the pin bar logic. (Range bar logic similar to what is mentioned here http://www.traderji.com/trading-diary/88102-bakwaas-trading-7.html#post877024, and applying different rules to wide, medium and narrow bars)

Results with the new rules:
August 2013 series - 22/7 onwards; +381.8 points from 34 trades
september 2013 series - 16/8 onwards; +1005.75 points from 37 trades
October 2013 series - 16/9 onwards; +950.15 points from 37 trades
November 2013 series - 15/10 onwards; +130.8 points from 32 trades
December 2013 series - 26/11 onwards; -135.4 points from 26 trades
January 2014 series - 16/12 onwards; +426.4 points from 28 trades
February 2014 series - 16/1 onwards; +186.95 points from 15 trades

Being a manual backtest done in a hurry, I am sure there will be a bunch of typos, but I have verified all the big impact trades.

This was tested on 30 min chart, and I'll tell u one thing - Swing systems are easier than day trading system.

A rough comparison this system with the ORB system (http://www.traderji.com/trading-diary/90116-dasara-system-49.html#post918162) and TV system (http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879)...

This system averages gross 306 from 21.5 trades monthly
ORB system: average gross 342 points from 20.5 trades monthly
TV system: average gross 269 points from 29 trades monthly

There is no point in incurring the extra risk of overnight gaps by trading this system. To take that extra risk a swing system should outperform an intraday system by an order of magnitude, which is not the case here. And if I find such a good swing system, I should just be able to trade by just going long OTM options

One thing I noticed was that the system returned high values when the IndiaVIX was high. So, there could be a correlation there....

 

[augubhai]

Good news from Zerodha:

Trading on India VIX futures starting on 26th Feb, Trade with Zero brokerage until June 01 2014. All that you need to know to get started: https://zerodha.com/z-connect/queries/stock-and-fo-queries/trading-india-vix-simplified

One of the tests that I had run was to play Vega using Option straddles. I used a custom method for calculating volatility of Nifty (standard volatility, not implied volatility), and buy straddles when the value was low, and sell when high. Did not work out with the near month options because of high theta, and would not work with far month options due to low liquidity.

Now, there is hope for that strategy. Hope that India VIX is liquid enough. Annual high of India VIX is double the low. So the VIX of India VIX would be very high - close to an option without theta.

 

[augubhai]

Good day. +101 points in ORB, +72 points in TV system. Month turned +ve in both.

Yesterday would have been a losa day, but I could not trade. Lucky me