Nifty Pivot-based Mechanical Trading System coupled with 2 and 3 Day Swing Calls

[StockieSmile]

Thanks sunil for ur effort.

 

[Sunil]

i m not binding anyone to visit this thread just to verify the overall postion...

the excel file with all formulae is with you...
2Day & 3Day swing trades are self-explanatory...

ONE CAN WORK ON THE COMBINATION OF THESE 3 METHODS INDEPENDENTLY, without being dependent on me...
even back-testing result is in front of you, in the excel file..

my experience is that a combination of these 3 methods result in less frequent whipsaws
cant have any system without them... ;-)

 

[renu daga]

sunil

explian once again,,, now for today example.( though i was short at 3040 a sper my system,, and squared at 3000...and long agian at 3000 stop and reverse,,, and exited at 3020 when stop hit///and then again shorted at 3040...and carrying shorts with stop now 2980!!)
as per chart attched,,

now tell me,,, todays piovot was 3026( nifty spot)... how could u enter trade simply on that
short at 3026... or fresh long at 3026...with stop of yestetrdays high / low?

renu

 

[Sunil]

sunil

explian once again,,, now for today example.( though i was short at 3040 a sper my system,, and squared at 3000...and long agian at 3000 stop and reverse,,, and exited at 3020 when stop hit///and then again shorted at 3040...and carrying shorts with stop now 2980!!)
as per chart attched,,

now tell me,,, todays piovot was 3026( nifty spot)... how could u enter trade simply on that
short at 3026... or fresh long at 3026...with stop of yestetrdays high / low?

renu

u have asked about intraday trading using pivots...(topic which i deal every morning in our part1 NF trading thread)
dont confuse intraday pivot levels with this method....
infact, dont even look into the formulae please...
one is not supposed to do positional trading with everyday pivots & resis/support levels...
simply stick to the "summary" worksheet after entering O H L C values


how to use pivot levels for intraday trading has been explained in our library thread already

 

[renu daga]

thnks,,,

i was.. wondering that only...and getting confused

but when i looked teh summary in whole then realised,,, its positional... but one mor ething hwo and where is teh stop placed,,, or its just after 3/30 pm check the sheet

renu

 

[ThE HaMmEr]

thank u sunil fr all ur efforts...........

 

[pkamalesh]

Sunil bhai....thanks for your super extrordinary efforts.....hope to keep track and learn from every post of yours....cheerz and thanks again..

 

[Sunil]

thnks,,,

i was.. wondering that only...and getting confused

but when i looked teh summary in whole then realised,,, its positional... but one mor ething hwo and where is teh stop placed,,, or its just after 3/30 pm check the sheet

renu

BINGO...
now u got it..

THE COMBINATION OF THE 3 SETUPS WILL BASICALLY MEAN THAT WE ARE VIRTUALLY TRADING THE CLOSE PRICES...

and as mentioned in the 1st post itelf:

PLEASE NOTE THAT ONE WILL HAVE TO TAKE A NEW TRADING POSITION AS & WHEN A NEW TRADING CALL IS GENERATED
Now, you would ask, how can one take a position after end of day, and before start of new trading day
Well, theres no problem at all in case of OPEN value
High & Low values by 3:25pm remain the same even after 3:30pm (closing time) UNLESS WE HAVE THAT RARE SHARP VERTICAL MOVE GOING ON TILL THE VERY LAST MINUTE.

Now, regarding close well, I hope this is common knowledge that settlement price is actually a weighted average price of the trading price between 3:00pm and 3:30pm. By 3:25pm, those who have good screen time experience will have a rough idea about the possible closing settlement price in the next 5 minutes. So, one can enter this value in the Close column. Futures closing value can be derived from such tentative Spots settlement price estimate by adjusting the prevailing premium/discount to spot price.
All this may seem complicated dont worry we are just looking for the likely settlement price at 3:25pm to enter in the excel file, so that we get the call generated using the formulae. If the latest days call generated is same as that of the previous day, then we simply hold on to our previous trading position. But, if a different call is generated than the previous days call, then we have to SAR the previous trading position accordingly.

For example, in the attached excel file with data entered till Friday 12-Dec-08, call is of LONG position since closing of 4-Dec-08s closing of Fut 2796.
Now, on next trading day, Monday 15-Dec-08, at 3:25pm, we simply enter the Open, High & Low values till that time. For close value, as aforesaid, a rough estimate/judgement price will have to be entered. If the resulting call for 15-Dec is still LONG, then we do nothing and continue our position.
But, if resulting call is of SELL, then we wait for 2 more minutes to confirm our estimated closing price, and if still its coming as SELL, then we close our LONG position and switch to SELL position before market ends at 3:30pm.
At 4pm, enter the exact levels as derived from market-watch window or NSEs website, and confirm the call generated. 99% of times there would be no trouble in all this.


So, in short, at around 3:25pm, just before closing, one will have to enter these O, H, L, C figures of both Spot & Fut, and simply check out the SUMMARY worksheet to verify whether the old positional call continues or there is a change, and act accordingly before 3:30pm.

the 3:25pm "hiccup" thing mentioned in the 1st post, is only for those who want to trade as per the pivot-based mechanical system only....
they will have to take the trouble of estimating the settlement close by max 3:28pm and taking position accordingly...
10-15 points here-n-there does not make that much difference to the excel file system

even if one enters the current price around 3:25-3:27pm, end result is most likely to be the same, as with the EXACT settlement close price available officially after 3:35pm by max 3:40pm

whatever positions taken/mentioned in the Excel file are all as per FUTURE CLOSING PRICES...

 

[Sunil]

Hi Sunil,
Thanks for coming out with new system based on floor pivot point. Appreciate the effort that you have put in developing this (quite clearly seen thru the excel sheet).

When I analysed the trade result, I had few observations on this..(not sure if you have observed this or not)
Total trades = 74, winning trade 32, loosing trade =42
% of winning trade =43, % of lossing trade = 57
Averag Win size = 229 pts, avrg loss size = - 129 pts
Expectancy = %win trade* avrg win size - %loose trade* avrg loss size = +25 pts.
Max win = 904 pts, max loss = -384 pts.

If I become conservative, and remove that big winning trade of 904 pts, then Avrg win size reduces to 207 pts, and expectnacy comes down to 13pts.

Just wanted to share my observations with you hence this PM.
Please keep up the great work on the forum.
See you there with more valuable posts.

A friend / co-member even took the pain to statistically analyse the system for me...

First of all, a BIG THANKS to him for the efforts on his part...



Just wanted to repeat here that I am the biggest critic of this floor-trading pivot system because of its tendency of more whipsaws (like in case of any mechanical system)..
mentioned this in the first post itself:

It seems that this system is full of flaws no prior knowledge of stops, no position sizing, chances of frequent whipsaws, etc.
But, as aforesaid, the purpose of this mechanical system is just to indicate directional bias. One may chose to trade on it, or may use it for second confirmation. Also, one may exit (partly or fully) his position as whatever suitable price target.
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But yes, personal experience says that if we combine 2 Day & 3Day swing trades, and go with the majority of these 3 opnions, then whipsaws is quite less & direction remains focussed...
my purpose is to present another form of non-TA method where one can have an idea about the directional bias about the market by cutting down some "noises"

which requires NO chartical / technical knowledge at all...
Meant to give an overall directional clue, which may be used as a supplement to one's existing positional trading method

 

[Sunil]

infact, one may even use options to cut down on losses...
but not deep OTM options (like some of dear friends in the forum do) and feel upset that the "big" downfall did nothin in their option's price movement...

a max 100 point difference in the LTP and strike price is a good balance i feel, as a conservative approach
(one cannot afford to be over conservative with options, knowing the effect of time on its price)

for example, if a sell call is generated and LTP is 3000,
then one may buy 2900 Put option

similiarly, if a buy call is generated and LTP is 3000,
then one may buy 3100 Call option.

Obviously, ATM (at-the-money) options are better for realising "full" value of rise/fall.
ie buying options with strike prices = LTP (rounding off to nearest 50 multiple)