Nifty 2 Day High/Low System

[rohitm]

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

 

[s0058350]

good strategy

 

[vaishraju71]

good strategy but looosing trades are higher than profitable trades

 

[vssoma]

good strategy but looosing trades are higher than profitable trades

dear.....never think in that way, just check winning percentage...if M
2M is in profit...who cares number of trades in loss....:rofl:

 

[trader.trends]

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

 

[rohitm]

it means 9400/- rs. monthly and 225% return yearly . are you use any other indicator to make your system more accurate ?

Nothing so far. Thats what I am looking for. If somebody could suggest some improvement, it can be a really profitable system.

 

[Smart_trade]

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

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

 

[rama_1000]

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

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.

 

[rohitm]

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

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??

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.

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.

 

[AW10]

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.