Trading NR7 setup

[AW10]

my bad. i took the excel posted as an examle in prev posts, i didnt realize they are spot prices. howver i took futures charts to compare the trades.

now where do i get futures data O, H, L,C? yahoo gives only SPOT. I need as a flat file. also where can i get historical intraday charts for nifty (i use investbulls free charts, but i cant get them by date, i get eveything from NOW till back date)

OHLC Data of futures is available in the sheet that is attach on a post by Sunil in another thread. He gave the link to that post in this thread (post # 46).

 

[AW10]

coupl of issues with nifty futures. premium fluctuates and sometimes goes into discount , this may result in 'false' NR7. In my view we shoul also check spot and if both confirm NR7 then it gives us more confidence

how do u handle the expiry? we approach the expiry, cuent month and next month may have some variations, the premium o curent month would be neaing zero whereas prem of next month would be at highest.

i think this may work well for some strong nifty scipts like SBI, RIL since cash price will not have above issues. but problem is we cant carry cash positions to next day(s) unless you take delivey

i like suunil's idea of opeing long/short stradle/strangle on the formation day

Bandlab, Your doubt is valid regarding getting uniform futures chart where contract expires and positions shift from one contract to next.
There are different methods to create continuous future chart like taking weighted average price of all futures contracts and calculate new prices etc .. (but lets skip that complex topic here).
Because we use futures data to make actual trade, hence we shd look at taking the latest price of futures contract. Even if there is prem/disount on price, the range variation should be more or less same.

In real trading, If SPOT and futures gives same signals then certainly they are rightly aligned, but if there is difference (i.e. one is indicating NR7 but not other), then we need to look deeper and see what is going on. Probably this difference is only by few points plus or minus /near expiry / large gaps etc.

In my view, it is better to make reasonable assumptions for backtesting and going forward, rather then looking for 100% perfection and going nowhere.

I also agree with the idea of opening a direction neutral position on NR7 day as mentioned by Sunil. That is something that I placed on my 3rd post of this thread as well.

Happy Trading

 

[AW10]

No Bala,
Fut's premium/discount is irrelevant for this topic.
BTW, this is the same subject which we were discussing on YM last weekend with Dhiraj for 2652.
Only addition is this:

Sunil,
As you look for 2 NR4 setup, which is nothing by NR5 day.
It is logical that NR7 day is also a NR6 / NR5/NR4 day.
In my trading, I keep it simple by giving strength to NR days. Higher the number, stronger the signal. Number less then 4 are quite normal so I just ignore them.

Happy Trading

 

[Sunil]

NR4-2 on its second occurrence is obviously NR5, but going through the backtest of NF, I have realised the enhanced potential of NR4-2 vs NR4. (I fully agree with your views on ignoring anything less than NR4)
It's like a range contraction for two consecutive days - not to mention of what happened in the intraday chart - a SOLID RECTANGLE.

 

[Sunil]

I guess this thread will not have to wait more for some "live" action.
Got NR4 today and expiry day is nearing....

 

[Sunil]

For putting figures to what AW10 has been trying hard to explain:

NR7 Excel file

Go through the attached EXCEL file, which has backtest of Nifty Future data since Nov 2007. Study the effect.
If you don't find it satisfying, leave it there & then.

One will have to manually update the file from tomorrow...

 

[bandlab2]

Bandlab, Your doubt is valid regarding getting uniform futures chart where contract expires and positions shift from one contract to next.
There are different methods to create continuous future chart like taking weighted average price of all futures contracts and calculate new prices etc .. (but lets skip that complex topic here).
Because we use futures data to make actual trade, hence we shd look at taking the latest price of futures contract. Even if there is prem/disount on price, the range variation should be more or less same.

In real trading, If SPOT and futures gives same signals then certainly they are rightly aligned, but if there is difference (i.e. one is indicating NR7 but not other), then we need to look deeper and see what is going on. Probably this difference is only by few points plus or minus /near expiry / large gaps etc.

In my view, it is better to make reasonable assumptions for backtesting and going forward, rather then looking for 100% perfection and going nowhere.

I also agree with the idea of opening a direction neutral position on NR7 day as mentioned by Sunil. That is something that I placed on my 3rd post of this thread as well.

Happy Trading

Hi AW10,

Yes i got the futures data from sunil's excel (thanks sunil), i still have the problem to search the chart by date. i have TTAdvance terminal they dont have historical intraday charts. investbulls has a free site and it has historical intraday charts for nifty futures, but they have a range from today till day x, so the chart becomes tiny as i go back in the past, cant read the chart at all.

anyone has any resource on this ? if a give a date range, it should give me the chart for that range

 

[MurAtt]

Hi AW10,

Yes i got the futures data from sunil's excel (thanks sunil), i still have the problem to search the chart by date. i have TTAdvance terminal they dont have historical intraday charts. investbulls has a free site and it has historical intraday charts for nifty futures, but they have a range from today till day x, so the chart becomes tiny as i go back in the past, cant read the chart at all.

anyone has any resource on this ? if a give a date range, it should give me the chart for that range

Try icharts.in -- they give date range chart BUT data cannot be downloaded in CSV, Excel etc. Am not sure abt Futures chart, spot is easily available.

 

[MurAtt]

Maybe a Stupid Query

For putting figures to what AW10 has been trying hard to explain:

NR7 Excel file

Go through the attached EXCEL file, which has backtest of Nifty Future data since Nov 2007. Study the effect.
If you don't find it satisfying, leave it there & then.

One will have to manually update the file from tomorrow...

Just a small - very insignificant, maybe stupid too - query.
Close is adjusted or LTP. Same problem I am facing in calculating Camarilla Pivots too. What should one use?

 

[Sunil]

Re: Maybe a Stupid Query

Just a small - very insignificant, maybe stupid too - query.
Close is adjusted or LTP. Same problem I am facing in calculating Camarilla Pivots too. What should one use?

Close is Settlement/adjusted Close, and not LTP.

PS: Close Value has no relevance in NR computation