Conservative strategy

H

humble

Well-Known Member
#182
#182
humble said:
@all, I was curious to see how this strategy behaves for a longer time and wrote a program to backtest on BNF. Contrary to my belief, the strategy
produced exceptional results.

Following are the slightly modified rules I considered:
1. Use SupterTrend settings as suggested by Suri.
2. Use the entries as suggested by Suri.
3. When the stop is hit for the firstTrade, enter the next trade with (2 * lots) of the firstTrade. If the stop is hit again in this
trade, enter the next trade with (3 * lots). If the stop is hit again restart with the original lot size (1 * lots).
3. Do not enter when a trade is triggered in the same bar when a previous trade was closed.
4. No break in trades as suggested.

...........
Click to expand...
Folks, I was further verifying the trades as per the program output and found that there was an error in the way I was calculating the "Exit". I was considering the "Close" price for "StopHit" condition but was fixing [hard-coding] the exit price, which is wrong. For the above rules following is the result:

Total Points NF: 3130 with SL: 15 points and Target 30 points.
Number of Trades: 3570
Monthly average Points: 46
Monthly average number of trades: 52
Monthly average number of times stop hit: 28
Number of Losing months: 31
Number of Winning months: 37
Longest Losing streak: 14 ending on: 2013-09-17 13:14:59
Losing streak Drawdown: -459.0
Longest Winning streak: 8 ending on: 2016-02-15 11:34:59

Total Points BNF: 7693 with SL: 25 points and Target 75 points.
Number of Trades: 3944
Monthly average Points: 113
Monthly average number of trades: 58
Monthly average number of times stop hit: 39
Number of Losing months: 32
Number of Winning months: 36
Longest Losing streak: 18 ending on: 2016-04-26 10:34:59
Losing streak Drawdown: -1044.0
Longest Winning streak: 6 ending on: 2011-02-25 10:04:59

I am using the data for backtest from here: https://drive.google.com/open?id=0B8e3dtbFwQWUZ1I5dklCMmE5M2M

If you are interested all the trades for NF can be found here: https://docs.google.com/spreadsheets/d/1VRTeejY9vOVBfreqoI8k1a2ZeGuDaxSDq1VDm7-1i00/edit?usp=sharing

Apologies for false hopes :eek:.

However the concept of entry is strong and can be further strengthened by adding indicators like ema and filters. Not having a fixed target but only stop also significantly improves the profitability and equity curve.
 
L

lvgandhi

Well-Known Member
#185
#185
humble said:
Folks, I was further verifying the trades as per the program output and found that there was an error in the way I was calculating the "Exit". I was considering the "Close" price for "StopHit" condition but was fixing [hard-coding] the exit price, which is wrong. For the above rules following is the result:

Total Points NF: 3130 with SL: 15 points and Target 30 points.
Number of Trades: 3570
Monthly average Points: 46
Monthly average number of trades: 52
Monthly average number of times stop hit: 28
Number of Losing months: 31
Number of Winning months: 37
Longest Losing streak: 14 ending on: 2013-09-17 13:14:59
Losing streak Drawdown: -459.0
Longest Winning streak: 8 ending on: 2016-02-15 11:34:59

Total Points BNF: 7693 with SL: 25 points and Target 75 points.
Number of Trades: 3944
Monthly average Points: 113
Monthly average number of trades: 58
Monthly average number of times stop hit: 39
Number of Losing months: 32
Number of Winning months: 36
Longest Losing streak: 18 ending on: 2016-04-26 10:34:59
Losing streak Drawdown: -1044.0
Longest Winning streak: 6 ending on: 2011-02-25 10:04:59

I am using the data for backtest from here: https://drive.google.com/open?id=0B8e3dtbFwQWUZ1I5dklCMmE5M2M

If you are interested all the trades for NF can be found here: https://docs.google.com/spreadsheets/d/1VRTeejY9vOVBfreqoI8k1a2ZeGuDaxSDq1VDm7-1i00/edit?usp=sharing

Apologies for false hopes :eek:.

However the concept of entry is strong and can be further strengthened by adding indicators like ema and filters. Not having a fixed target but only stop also significantly improves the profitability and equity curve.
Click to expand...
Is there any list of BNF trades also?
 
suri112000

suri112000

Well-Known Member
#187
#187
Happy_Singh said:
Thanks Humble for your update . . . :thumb:




Hello Suri

What is the new sequence of position sizing in the above analysis?

Seems like it is 2, 3, 4 with a reset back to 2 on the first trade every new day.


Thanks

Happy :)
Click to expand...
yes. you are right.

@ humble,

please make the SL 10 points profit targets as 15, 20, 25, 30.
Further, each day starts with 2 lots, then 3 lots, then 4 lots if 1st and 2nd trades hit stop loss.
if 1st and 2nd trades hit profit target, then 2nd and 3rd trades are with 2 lots each.
increment in lots is only when previous trade hit SL.
while incrementing if any trade hit profit target, bring the lot size of next trade to 2 again.

In total 4 simulations. if it is not burden to you only.:)
 
Happy_Singh

Happy_Singh

Happy
#188
#188
suri112000 said:
yes. you are right.

@ humble,

please make the SL 10 points profit targets as 15, 20, 25, 30.
Further, each day starts with 2 lots, then 3 lots, then 4 lots if 1st and 2nd trades hit stop loss.
if 1st and 2nd trades hit profit target, then 2nd and 3rd trades are with 2 lots each.
increment in lots is only when previous trade hit SL.
while incrementing if any trade hit profit target, bring the lot size of next trade to 2 again.

In total 4 simulations. if it is not burden to you only.:)
Click to expand...
Maybe one more with no profit target, let it run till closing time for MIS positions (3:15 PM or there about). :)

@ Suri

He already had done this kind of testing but with different permutations using the previous sizing scheme, with this new sizing model the results should improve.

My feel is that letting the profitable position run till end should also introduce a significant improvement in performance.

Happy :)
 
suri112000

suri112000

Well-Known Member
#189
#189
humble said:
Apologies for false hopes :eek:.

.
Click to expand...
Never mind. Probably anything mechanical is not going to work here. Its only my attempt to devise if any such thing exits. As far as I know nobody has put their real money into this.

Because of rigidity of rules, there were massive moves missed. There is no specific rule to be in such trades. No trailing stop is talked about.

In my experience anything less than 20 points SL it is very hard to trade in Nifty. I mean initial stop should be atleast 20 points.

If you see nifty chart on any day, there will be hardly some days where every bull candle is not followed by a red candle vis a vis. It implies that direct exits work better than trailing stops. Trailing the stop comes with experience ie our initial SL should hit only in cannot but situations. Exiting the trade is more of an art than science. Risk reward is to be monitored dynamically.

Keep a SL of 20 points and profit taking target of 5 points....you will have a dramatic hit ratio. I feel that is how this is to be played though looks silly. You should always guard the trade against hitting deep SL. You should find a way to close the trade somewhere in the middle and most of the time tiny profit side.

Here, one can refer DSM guidelines which he posted somewhere in this thread itself.
 
Smart_trade

Smart_trade

Moderator
#190
#190
Suri, Kindly post the trade results for the full month....just to see how this strategy did.

ST
 
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