Trading The Volatility

Hello Friends,

I warmly welcomes to all in this Thread to discuss and share opinions
regarding a strategy I am thinking about,

It is about Nifty Intraday Trading method using Daily volatility,

The daily volatility becomes very important factor When we think about
Intraday Trading

As per my understanding the daily volatility means: Probable difference
between High and Low.

And I think all type of analysis is running behind "PROBABILITY"...!!

We all knows that for trading we must have three points:
First-Entry , Second-Stop-loss , and Third-Targets

I am going to show the calculation here as real time for last three trading days

==> For Trading on Date 18-01-2012:

A: Daily Volatility = 66.19 (which I got from Nseindia.com after market closing On 17-01-2012)

B: After 15 Min At 9:30 on 18-01-2012 High = 4983 and Low = 4957.35

Now I Calculate using High (4983) for Sell Position and Low (4957.35) for Buy Position with Daily Volatility

=> For Sell Position :

1. 4983 - (66.19 * 0.45) = 4953.21 <-- Sell Trigger (Sell if Break)
2. 4983 - (66.19 * 0.60) = 4943.29 <-- Target 1
3. 4983 - (66.19 * 0.75) = 4933.36 <-- Target 2
4. 4983 - (66.19 * 0.90) = 4923.43 <-- Target 3

=> For Buy Position :

1. 4957.35 + (66.19 * 0.45) = 4987.14 <-- Buy Trigger (Buy if Break)
2. 4957.35 + (66.19 * 0.60) = 4997.06 <-- Target 1
3. 4957.35 + (66.19 * 0.75) = 5006.99 <-- Target 2
4. 4957.35 + (66.19 * 0.90) = 5016.92 <-- Target 3

=> For sell position Buy-Trigger is Stop-loss and for buy position Sell-Trigger is Stop-loss

Result: Sell Entry was triggered at 11:40 and Nifty made a Low of 4933.7 (Target 2)
From 4953 to 4933 = + 20 Points

Important: after 9:30 at every new High we have to calculate new levels for Sell position and after 9:30 at every new Low we have to calculate new levels for Buy position. That means with every new low If we are in sell position our stop-loss comes down and with every new high If we are in Buy position our stop-loss comes up..!!

=> All these calculation is very easy and takes few seconds with Microsoft Excel.

==> For Trading on Date 19-01-2012:

A: Daily Volatility = 63.95 (which I got from Nseindia.com after market closing On 18-01-2012)

B: After 15 Min At 9:30 on 19-01-2012 High = 5012.85 and Low = 4995

Now I Calculate using High (5012.85) for Sell Position and Low (4995) for Buy Position with Daily Volatility

=> For Sell Position :

1. 5012.85 - (63.95 * 0.45) = 4984.07 <-- Sell Trigger (Sell if Break)
2. 5012.85 - (63.95 * 0.60) = 4974.48 <-- Target 1
3. 5012.85 - (63.95 * 0.75) = 4964.89 <-- Target 2
4. 5012.85 - (63.95 * 0.90) = 4955.29 <-- Target 3

=> For Buy Position :

1. 4995 + (63.95 * 0.45) = 5023.78 <-- Buy Trigger (Buy if Break)
2. 4995 + (63.95 * 0.60) = 5033.37 <-- Target 1
3. 4995 + (63.95 * 0.75) = 5042.96 <-- Target 2
4. 4995 + (63.95 * 0.90) = 5052.56 <-- Target 3

No any trigger till 9:48 and Nifty made new Low of 4991 at 9:48
So our Levels for sell Position will remain same,But with new low we have to change the levels
for Buy Position as below:

=> For Sell Position (remain same):

1. 5012.85 - (63.95 * 0.45) = 4984.07 <-- Sell Trigger (Sell if Break)
2. 5012.85 - (63.95 * 0.60) = 4974.48 <-- Target 1
3. 5012.85 - (63.95 * 0.75) = 4964.89 <-- Target 2
4. 5012.85 - (63.95 * 0.90) = 4955.29 <-- Target 3

=> For Buy Position :

1. 4991 + (63.95 * 0.45) = 5019.78 <-- Buy Trigger (Buy if Break)
2. 4991 + (63.95 * 0.60) = 5029.37 <-- Target 1
3. 4991 + (63.95 * 0.75) = 5038.96 <-- Target 2
4. 4991 + (63.95 * 0.90) = 5048.56 <-- Target 3

**Result: Levels maintained till 2:30 and at that time buy Triggered at 5019.78 so nifty made new high 5027 and remain at higher level till close and It is nearer to our first target 5029..!!

==> For Trading on Date 20-01-2012:

A: Daily volatility = 64.78 (which I got from Nseindia.com after market closing On 19-01-2012)

B: After 15 Min At 9:30 on 20-01-2012 High = 5050.60 and Low = 5029

Now I Calculate using High (5050.6) for Sell Position and Low (5029) for Buy Position with Daily volatility

=> For Sell Position :

1. 5050.60 - (64.78 * 0.45) = 5021.45 <-- Sell Trigger (Sell if Break)
2. 5050.60 - (64.78 * 0.60) = 5011.73 <-- Target 1
3. 5050.60 - (64.78 * 0.75) = 5002.01 <-- Target 2
4. 5050.60 - (64.78 * 0.90) = 4992.29 <-- Target 3

=> For Buy Position :

1. 5029 + (64.78 * 0.45) = 5058.15 <-- Buy Trigger (Buy if Break)
2. 5029 + (64.78 * 0.60) = 5067.87 <-- Target 1
3. 5029 + (64.78 * 0.75) = 5077.59 <-- Target 2
4. 5029 + (64.78 * 0.90) = 5087.31 <-- Target 3

Now Nifty made new Low of 5024.80 at 9:35 so we have to change our Levels for Buy Position as below:

=> For Sell Position(Remain Same) :

1. 5050.60 - (64.78 * 0.45) = 5021.45 <-- Sell Trigger (Sell if Break)
2. 5050.60 - (64.78 * 0.60) = 5011.73 <-- Target 1
3. 5050.60 - (64.78 * 0.75) = 5002.01 <-- Target 2
4. 5050.60 - (64.78 * 0.90) = 4992.29 <-- Target 3

=> For Buy Position :

1. 5024.80 + (64.78 * 0.45) = 5053.95 <-- Buy Trigger (Buy if Break)
2. 5024.80 + (64.78 * 0.60) = 5063.67 <-- Target 1
3. 5024.80 + (64.78 * 0.75) = 5073.39 <-- Target 2
4. 5024.80 + (64.78 * 0.90) = 5083.11 <-- Target 3

amazing...Nifty made new high of 5053 at 11:12 but not triggered for Buy Position, But we have to change our Levels for Sell Position with New High as Below:

=> For Sell Position :

1. 5053 - (64.78 * 0.45) = 5023.85 <-- Sell Trigger (Sell if Break)
2. 5053 - (64.78 * 0.60) = 5014.13 <-- Target 1
3. 5053 - (64.78 * 0.75) = 5004.41 <-- Target 2
4. 5053 - (64.78 * 0.90) = 4994.69 <-- Target 3

=> For Buy Position (Remain Same):

1. 5024.80 + (64.78 * 0.45) = 5053.95 <-- Buy Trigger (Buy if Break)
2. 5024.80 + (64.78 * 0.60) = 5063.67 <-- Target 1
3. 5024.80 + (64.78 * 0.75) = 5073.39 <-- Target 2
4. 5024.80 + (64.78 * 0.90) = 5083.11 <-- Target 3

Sell Position was triggered at 2:16 and Nifty Made the Low of 5006.35 and it is almost our second Target 5004.41 so from 5023 to 5006 + 17

Now Let us look The levels for new Buy Position with this new low of 5006.35

=> For Sell Position (Remain Same):

1. 5053 - (64.78 * 0.45) = 5023.85 <-- Sell Trigger (Sell if Break)
2. 5053 - (64.78 * 0.60) = 5014.13 <-- Target 1
3. 5053 - (64.78 * 0.75) = 5004.41 <-- Target 2
4. 5053 - (64.78 * 0.90) = 4994.69 <-- Target 3

=> For Buy Position :

1. 5006.35 + (64.78 * 0.45) = 5035.50 <-- Buy Trigger (Buy if Break)
2. 5006.35 + (64.78 * 0.60) = 5045.22 <-- Target 1
3. 5006.35 + (64.78 * 0.75) = 5054.94 <-- Target 2
4. 5006.35 + (64.78 * 0.90) = 5064.66 <-- Target 3

After these new levels Buy Position Triggered at 3:04 and Nifty gone up to 5064.80 and It is our
Third Target 5064.66,So 5035 to 5064 +29 Points Total for the Day 17 + 29 = 46 points......!!
================================================================================================

So this is the end of my real time presentation,

Very Great and senior persons are here to guide new comers like me...

Please share your views,opinions....
And let us make some Profitable things together...


RealWork

Good initiative. Will take time to digest this (bahot lamba hai). Keep it updated, regardless of the replies (or even if there are no replies).

thank you.
where in nseindia.com did you get this 66.19, its not vix, nor is the figure in Nifty future quote screen [i see daily volatility around 1.21; ].

thanks agian.

Hi

I did expand your post with some comments, as your comments are very limited. Even my expanded comments can be expanded.

What you show is nothing else then standard deviation calculations on a certain time frame.

This knowledge is as old as any grand pa.

If vola goes up, std will expand and if it goes down, stdv will reduce.

The same will happen to any levels you show here compare to this vola.

As simple as that. Any Stdv calculator will do this work.

You also can do this calculation with pivot points or Fibo or Gann. If vola is high, the levels will change compare to when vola is low.


Most important: You recognized the changes :thumb:, but it is a very old dog.


Any way: Old is not old , but please do not show of with it as if it would be some thing new.

Thank you

DanPickUp

good work. go ahead. pls post excel sheet to calculate if u have

thanks

buy above 5063&sell below 5029 as per volatality

Real work
Nice thread initiation and people are joining new idea...
Good going,
Keep it up,
Happy trading ahead,
Darshan

Here is the link to Get Volatility:

http://www.nseindia.com/archives/nsccl/volt/FOVOLT_23012012.csv

Change the Date at Last whichever you want for the day

RealWork

Have you seen the result....

Our buy trigger as per Low at 9:30 (5034) was 5062.62 and Nifty made the high of 5062.30 and Sell Trigger as per High at 9:30 (5053.70) was 5025 and as per new high at 9:46 (5057.95) was 5029.28...

No triggered at any side and Nifty moved within the Range.....Strange...!!


RealWork

I warmly welcome critics also...!!!!
Because we can learn much more from them,

Realwork