Taiki's Swing-Trading Journal

[Taiki]

Taiki,

From where we can we get average price of last trading days "High".

Hey Prabh,

That you need to calculate manually.

 

[PartTime_Trader]

Hello Taiki

Review the use of Trailing stop loss with fixed points, it gives us a disadvantage statistically (i.e. more loss / less profit)

Maybe will post some data to show you how.

TSL can be used at technical significant points (i.e. your defined trend reversals)

Cheers
:thumb:

 

[Taiki]

Hello Taiki

Review the use of Trailing stop loss with fixed points, it gives us a disadvantage statistically (i.e. more loss / less profit)

Maybe will post some data to show you how.

TSL can be used at technical significant points (i.e. your defined trend reversals)

Cheers
:thumb:

It was not initially in plan, but I introduced it for the below reason.
Suppose you got a SELL call @ 5300, booked 1st lot profit at 5280. Next day market fell to 5210, at which it took support and started upward movement. Our stop loss has been moved only once to Sell Price itself when we booked the 1st profit. Now if market touched 5300 on that day itself, then the profit for 2nd lot would be simple 0, where you were in a profit of 90 point once.

So to avoid this I tried this one..
And can you please tell with some example how this would result in more loss/ less profit. I am getting at this point. Once I get the clear picture we can change it somehow to make the situation in our favour.

Thanks
Taiki

 

[PartTime_Trader]

Hi
will try to post data/results (nifty spot) after the markets

a simple afl should illustrate all of it to us :thumb:

 

[Taiki]

SELL @5956, SL @5976, Target 1 @5936.

Today Nifty had made a high of 5977, and fell from that level, If it crosses 5977, Sell should be closed.

For today, fresh buy is above 6015 and Sell is below 5948.

 

[Taiki]

Taiki,

From where we can we get average price of last trading days "High".

I will try to create a google spreadsheet application to avoid the daily pain of calculation.

 

[PartTime_Trader]

Considering only Swing Partof the System with SL Previous Day Low/High for back test

1: Back test for with Nifty Future Jan 2010 to Dec 2012 with Trailing SL of 20 Points, total profit 1120 points no cost or slippage considered

Ticker	Trade	Date	Price	Ex. date	Ex. Price	% chg	Profit	% Profit	Shares	Position value	Cum. Profit	# bars	Profit/bar	MAE	MFE	Scale In/Out	
[LIST=1]
[*] 1
[/LIST]

 

[PartTime_Trader]

2: Back test for with Nifty Future Jan 2010 to Dec 2012 without Trailing SL of 20 Points, total profit 4110 points no cost or slippage considered

Ticker	Trade	Date	Price	Ex. date	Ex. Price	% chg	Profit	% Profit	Shares	Position value	Cum. Profit	# bars	Profit/bar	MAE	MFE	Scale In/Out	
[LIST=1]
[*] 1
[/LIST]

 

[PartTime_Trader]

The above tests done on NF data, spot data will have slightly different results (and a bit better also, as no variation on premium will be present)

Yes and the AFL for the system :lol:

_SECTION_BEGIN("Taiki's Swing System"); 

H1	=	TimeFrameGetPrice("H",inDaily,-1); //  High Day -1
H2	=	TimeFrameGetPrice("H",inDaily,-2); //  High Day -2
H3	=	TimeFrameGetPrice("H",inDaily,-3); //  High Day -3
L1	=	TimeFrameGetPrice("L",inDaily,-1); //  Low  Day -1
L2	=	TimeFrameGetPrice("L",inDaily,-2); //  Low  Day -2
L3	=	TimeFrameGetPrice("L",inDaily,-3); //  Low  Day -3

Hi	=	(H1 + H2 + H3)/3;
Lo	=	(L1 + L2 + L3)/3;

Buy 	=	Cross(H,Hi);  // Price crosses 3 Day Avg of High
Sell	=	Cross(L1,L);  // Price crosses previous day Low
Short	=	Cross(Lo,L);  // Price crosses 3 Day Avg of Low
Cover	=	Cross(H,H1);  // Price crosses previous day High

Buy 	=	ExRem(Buy,Sell);
Sell	=	ExRem(Sell,Buy);

Short	=	ExRem(Short,Cover);
Cover	=	ExRem(Cover,Short);

BuyPrice	=	Hi;
SellPrice	=	L1;
ShortPrice	=	Lo;
SellPrice	=	H1;

SetPositionSize(1,4);// testing for 1 share only ( to get profit/loss value in number of points)

Plot(Hi,"Avg3H",colorGreen,styleStaircase);
//Plot(Hi-20,"BuySL",colorGreen,styleStaircase|styleDashed);
Plot(Lo,"Avg3L",colorRed,styleStaircase);
//Plot(Lo+20,"ShortSL",colorRed,styleStaircase|styleDashed);

_SECTION_END();

Enjoy
:thumb:

 

[Taiki]

Today Nifty had made a high of 5977, and fell from that level, If it crosses 5977, Sell should be closed.

For today, fresh buy is above 6015 and Sell is below 5948.

Stop loss triggered.