random mind

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dell

Well-Known Member
#1
thought process of mine :

initial balance : 4 lakhs
only one script: bnf-1
motto:remain consistent and relax in adverse condition also.
positionsize: 5 lots maximum
last trade : when our equity becames 2 lakh , close trading and go home without questioning.
hope:earn from here and invest in other scripts and withdraw 10% as expenses and 30% as service charge..
time frame :minimum 1 year


thinking :
why we trade one system always , we have to diversify to markets, to timeframe ,to systems , here my capital is less so will do diversify in timeframe and in systems .
why we diversify : because in trend time all sys are making money so in win conditions out of 5 ,4 makes money ,while in sideways if 2 makes money and three gets failed than also we not loose more money , we are in 60:40 condition ............

timeframe to diversify:
3m , 15m

system diversify:
1)trend following in 15m.
2)trade with trend (mini) in 3m
3)orb in 15m with a trailing sl.
4)range trading
5)contra trend trading but trend in trend in 15m


here , as my capital is less so will give 1 lots for each method ,
system1 and system2 are complete , will share all details here , as time permitts , also share trades , reports .....

for system3 , we have an orb specialist mr. augubhai and myamit, we can take guidence from them .

for system4 and system 5 , i have theme but not fully prepared , may be in a week time , i will be do my proper research and share result here ....


currently , my thinking about using system1,system2 and system3 is that in trending time all these three makes money , so when we win all three gets winners , but in sideways phase when our 15m sys looses small money it will backup by 3m system and orb will take care of upand downs ........

so have given weigtage wise currently 2 lots for system1 and 2lots for system2 and 1 lot for orb .
after doing full work will diversify these weitage to 1,1,1,1,1 respectively .....

writing and opening ofthis thread to collect all my work at one place and also to get guidence from specialist and senior's here ......


main idea :
5 systems all mechanical systems ........no second thought of a discretionary approach .....
meanwhile create a sytem which use scaleinout concept with multitf concepts....
where for each scalein we give conditions of our 5 systems and for each scaleout we give our exit conditions of our each 5 systems ......
work is under construction , will share all details , but it takes soem time untill it finished ....

suggestions and help needed from all members here .................

p.s.: thread is only for keeping a record and collection of joint efforts and purely for learning purpose , no money transistion or idea behind this only sharing of idea's and new learning is main motto here .....

delltraderji2013 at the rate of yahoo dot com
 
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dell

Well-Known Member
#2
this is system no. 2 report on 4 yrs , with an initial capital of 4 lakhs , purely 3min sys, testing is completed ...no future looking , no repainting of signals , no discretionary apporach , just take signals , so it qualify for our main system





main thing is to worry here , about winning % and drawdown , i tried , but if it get reduce than other things like netprofit , sharpe ratio , trades no . gets affected , so i finalize with these limitation 's..........i also have get systems with 30 lakh ,45 lakh bechmark net profit on using combination of 15m . 3m and hourly but i am not get comfortable with that , instead , i here happy by small returns incomparison of high benchmark systems ...after testing , i know it is vital truth , u have to live with drawdowns , lossess, u can't remove it , u have to bear with with confidence than only u will survive ..after testing of nearly about 50 systems only for 3m , i choose this one for it's simplicity and consistency.will post monthly , daily and yearly detail soon as time permitts....

2010




2011




2012




2013



2014

 
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dell

Well-Known Member
#4
Hi Dell,

Can u tell how the following values are calculated by Amibroker?
- Avg. Profit/Loss %, Avg. Profit %, Avg. Loss %
honestly , i don't know , how it is calcualte in ami , i previously do backtesting and calculations by bar to bars on excel , after that i learnt from tj forum and seniors how to do backtest in ami .
i crosscheck by all methods , either u say bar replay , bar to bar , farward backward scrolling , etc , randomly check , out of data check ......
i as of my knowledge can say these reports are correct ...
in techinal terms and mechanical terma and experience , i am far behind u ........as u are pure mechanical trader , i saw ur posts , will try to became same as u ......but it takes lot of patience and time..
 
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dell

Well-Known Member
#5
this is system report of system no. 1
on 4 yrs , with an initial capital of 4 lakhs , purely 15min sys, testing is completed ...no future looking , no repainting of signals , no discretionary apporach , just take signals , so it qualify for our main system .
here also we get benchmark of 38 lakhs , but i left it , not want to go in complex mode , just think that simplicity and consistency will remain green forever ......

4 yrs backtest report.



equity report



2010 report


2011



2012



2013



2014




here , u may see some drawdowns in some years , we may reduce them , by using some filters , but they are act as a discretionary approach , so i am not touching any thing here ,
we can also use to book profit at fixed threshold limit but why to make it complex for getting a more 5-6 lakh i net profit ?as market is dynamic , how we catch an elephant by say a 500,1000 lines code ........
all thing here used is simple thing , no complex or say algorithm used
main intend here us , to discover 5 systems which works efficiently in last 4-5 yrs ,
cubbing of all systems , in form of one system using scalein out theme
and by using proper MM and DISCLIPINE ,remains in markets and earns constitently .

be free to post critism , comments , flaws , i post it here to know all ur comments .....if u all thinks any more thing to add so to substract , plz share ur valuable suggestions.........
 
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dell

Well-Known Member
#6
so 2 systems get completed , now it is turn of an orb system ,
will start hunting afl's , idea's , material to get the whole theme properly , as i am a non programming background so , it takes some time to me to get and catch all things , but lets try , what will we get ,

request from senior's and orb experts plz suggest some better things on orb .

what i have till knowledge :
1)look for nr4,nr7,nr21 and inside days , take trade on second day as orb trades with trailing sl and initial sl
2)look for bollinger and ketlener squueze{when bb is under kt } , can take trade on breakouts
3)look for candlestick patterns(hammer,inside bar) at key support lvls like 200sma ,50sma, prev . swing high lows .historical support area's
4)look for pause in trend
5)look for pattern's , inside pattern if near breakout point any inside bar or nr bar happens , just grab on second day as orb trades
6) after a huge day , movement is less expected so can trade by low quantity

orb is itself a great trade opportunity , if we take market structure in mind , ya there will be drawdowns , false trade but have to be disclipined ......

how to code above ponts in afl , i don't know , so how to make orb as a totally mechanical ?

senior's comments plz
 
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avny

Well-Known Member
#7

augubhai

Well-Known Member
#8
Hi Dell,

I am trading mechanically now. i had tried discretionary/gut feel trading last year and was not too successful. Even the mechanical systems that I tried without backtesting last year were not very successful. This year, at least so far, I have decided to stick to backtested mechanical systems.

I have posted the afl for ORB here: http://www.traderji.com/amibroker/52959-augubhais-orb-system-2.html#post541621
In this code, u can optimize the following 5 params and check the results:
Entry Buffer %
SL %
Target %
Entry Time Start (Minutes)
Entry Time End (Minutes)

Please check if this works for you. I am not very sure of this code quality - because i used it mainly as a visual tool, and did not backtest too much with it. The current version of ORB that I am using was backtested manually.
 

dell

Well-Known Member
#9
yes i see it , and grapse the theme , thanks avny, a special thanks to augubhai for having a wonderful thread on orb , initially i tried orb available afl's and material and i get this report on backtesting , will try to improve it tommorow ...
need some reference afl's to grasp fully ,request to senior's plz help me in getting afl's as reference purpose ......

but whatever i have currently , by that





p.s.: will check authentity of trades tommorow and update here
 
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