Nifty 2 Day High/Low System

Discussion in 'Advanced Trading Strategies' started by rohitm, Jul 11, 2011.

  1. rohitm

    rohitm New Member

    Joined:
    Sep 15, 2010
    Messages:
    7
    Likes Received:
    9
    Trophy Points:
    3
    Dear fellow traders,

    I have been testing a strategy for catching swings in Nifty which is as follows:

    Check the high & low levels of previous 2 days. If today the Nifty crosses higher of the two highs, go long at that level and if it breaches the lower of the two lows, go short.

    Position is reversed when the direction changes i.e. if you are long, and market breaches lower low of the previous 2 days, close the long positions and go short. I tested this system for close to 4 years which includes 2 bull run & 1 bear run.

    The results were as under:

    Investment: Rs 50,000(for initial margin & M2M)

    Total No. of Trades: 231
    Profitable Trades: 113
    Loosing Trades: 118

    Total Profit(approx): Rs. 4,50,000(Excluding brokerages etc)

    Excel Sheet attached for your reference.

    In this system, you always have an open position and you exit a trade only when the direction reverses. However if we can find a way to get out of the trade before that, so as to identify the trend earlier, it will lead to much higher profits. Any suggestions how to do that???

    Thanks
     
  2. s0058350

    s0058350 New Member

    Joined:
    Jul 6, 2006
    Messages:
    12
    Likes Received:
    1
    Trophy Points:
    3
    good strategy
     
  3. vaishraju71

    vaishraju71 Active Member

    Joined:
    Jan 27, 2006
    Messages:
    178
    Likes Received:
    44
    Trophy Points:
    28
    good strategy but looosing trades are higher than profitable trades
     
  4. vssoma

    vssoma Well-Known Member

    Joined:
    Aug 8, 2009
    Messages:
    1,730
    Likes Received:
    1,302
    Trophy Points:
    113
    Location:
    Nizamabad, Telangana
    dear.....never think in that way, just check winning percentage...if M
    2M is in profit...who cares number of trades in loss....:rofl:
     
    DanPickUp and nileshshukla like this.
  5. trader.trends

    trader.trends Well-Known Member

    Joined:
    Aug 30, 2009
    Messages:
    1,050
    Likes Received:
    1,558
    Trophy Points:
    113
    Rohit, I had developed a similar system in the following link. You have not taken into account what you would do if the open is beyond SAR. Many of the figures in your excel sheet are theoretical entries, not actually possible as NF did not trade at that point. Nevertheless it is a good system with some refinements

    http://www.traderji.com/futures/36989-nf-sar-2dhl-sl-2-a.html
     
    nileshshukla and pav like this.
  6. rohitm

    rohitm New Member

    Joined:
    Sep 15, 2010
    Messages:
    7
    Likes Received:
    9
    Trophy Points:
    3
    Nothing so far. Thats what I am looking for. If somebody could suggest some improvement, it can be a really profitable system.
     
  7. Smart_trade

    Smart_trade Moderator

    Joined:
    Apr 15, 2008
    Messages:
    13,434
    Likes Received:
    74,274
    Trophy Points:
    113
    Location:
    On the internet
    Try using 1% of the entry price as your initial stoploss. So in current condition about 55 points stoploss for Nifty Futures. it should improve the results.

    Smart_trade
     
    rxvenk2, kvram, munde_77 and 7 others like this.
  8. rama_1000

    rama_1000 Member

    Joined:
    Jan 10, 2007
    Messages:
    37
    Likes Received:
    26
    Trophy Points:
    18
    Good effort. But please appreciate that in the real trading there would be unexpected stop-losses being hit and many whipsaws, since these things won't be visible in the dry historical figures that just mention the open-high-low-close figures. In actual reality, during trading, the price will go up and down several times during a day in unpredictable manner (leading to stop losses being hit and whipsaws) instead of directly going from low to high (or from open to high, etc.) in a straight line as is presumed here while looking at the historical figure.

    Moreover, just by looking at the historical figures, one cannot make out how many times one has to reverse the position within a single trading day itself, since that can be displayed only during trading (or may be if one looks at the intra-day charts for all relevant days of the historical period to see the actual price movement in a day). It may so happen that in a single day itself, the price may fluctuate around the point where shorts/longs have to be reversed to follow the given strategy. This has to be properly accounted for while calculating presumed profits.

    Of course, one should try to conduct dry test or trade actually for some days to see the actual results. The results may still be positive, but the question is how much? Will it give an appreciable positive upside vis-a-vis the other methods? If yes, then of course, this method could be followed. Otherwise, just by looking at historical figures, one always feels that it is possible to get good results, but that does not translate into reality.
     
    Last edited: Jul 12, 2011
    ashar and rohitm like this.
  9. rohitm

    rohitm New Member

    Joined:
    Sep 15, 2010
    Messages:
    7
    Likes Received:
    9
    Trophy Points:
    3
    Thanks ST. Will try to back test & let all know of the result. But my concern is wont there be a movement of 55 within a day, just to get you stoploss??

    Awesome post :clap: Thanks for the information. We are trying this system for some time. The result has been good but timing the exit is still a problem.
     
  10. AW10

    AW10 Well-Known Member

    Joined:
    Jan 8, 2007
    Messages:
    2,918
    Likes Received:
    8,037
    Trophy Points:
    113
    Rohit, good to see you testing an idea and trying to develop a system around it.
    My pointers will be
    - if you are not happy with 1% i.e 55 point stop, then you might consider 1 atr or 1.5 atr as initial stop. Some of your losses are as big as 400+ points, which is not practical to live with in real trading.
    - From your outcome, knockoff 2 big winners (800+ point ones) and see the outcome.
    These moves could be exception and may not fall in your lap during real trading. They will mislead you to more profitable system, whereas in real life you might have blown your acct before they really come to you.
    - Maybe you should use some kind of scale-in logic. i.e. when you get first 2 day range break, you start the position. On next 2day range breakout, you might like to add to the size.
    - To protect your profit, you might like to exit on x % drop from high.. say when price drops by more than 3% or 4% from recent high, you exit. This will save you from late exit on cases where last 2 days were really wide range days. Here it might be just profit exit, not a SAR. Your next entry will still be based on 2day range break.

    Hope these pointers help.
    All the best.
     
    rxvenk2, munde_77, pvs and 4 others like this.

Share This Page