Conservative strategy

Suri,

Here's my thinking.... Supertrend is good for catching trends. The market or the biggies are good for triggering SL. So how if the same idea is used for entry? Bullish Supertrend signal -20 points or -10 points (limit entry) with a SL of further 10 points. Super trend will align us with the trend... but our entry is cautious, and SL level close to give a good RR ratio. Some trades may be missed (we cannot have it all) I guess 60-70% of the days the entry can be taken, as the market does trends only 20-30% of the time... The SL is conservative, and should make money for a disciplined trader.... Just my view...

Edit : I guess most indicator based or pivot based strategies can be tweaked for a better return.

Superb idea..i tried it too, not with ST but with other trend system ..It will just increase RR very much...1:1.5 now..it may increase to 1:4 too...

The strategy of this thread is showing negative results.

I have worked out your idea with following parameters.
1. Data of Aug series
2. Took 1 lot on first entry. If after 1st lot entry hits 20 points profit, i booked it.
3. If after 1st entry, market reverses then i take 2nd entry at -20 points from initial entry keeping SL -10 points from seond entry for both lots.
In case this trade does not work, we are going to loose total 40 points plus brokerage.
4. If market moves favourably, i book at average 20 points profits on both lots. In case this trade works, we gain 40 points.
5. if after adding 2nd lot, the signal flips, i simply wait for SL hit.
6. if market already moved significantly when SL hits, since the fresh entry is already late, no fresh entry is taken.
7. supertrend has a tendency to continue the trend to next day as well.
So, i initiated first entry on completion of 5 min bar as per existing trend.

Total =130 points made (deduct brokerage, taxes)

Suri, for Target: 15, 20, 25 it gave -ve results. It turned positive for 30. I can post/upload the trades if you wish to have a look at them.

Happy, inaddition to the earlier rules, I introduced EMA(100) for "Entry" condition and a filter of 8 points i.e (latest -ve candles high + 8) for longs and opposite for shorts. And there is no target specified. I have not yet verified the trades, so again results to be taken with a pinch of salt. In my tests I have seen that filter does play an important role and the results don't change much when it is > 8. EMA helps in reducing the number of trades.

Total Points: 28750 SL: 15 points. Changing it to 10 has only marginal impact. Changing to max 3 lots from 2 lot also increases the profitability but only marginally.
Number of Trades: 1941
Number of Months: 68
Monthly average Points: 422
Monthly average number of trades: 28
Monthly average number of times stop hit: 13
Number of Losing months: 1
Number of Winning months: 67
Longest Losing streak: 9 ending on: 2011-08-04 12:14:59
Losing streak Drawdown: -181.1
Longest Winning streak: 8 ending on: 2011-07-27 09:49:59

Trades are available for verification here: https://docs.google.com/spreadsheets/d/1eou_Ost1rBmvZm38uSXN5AES70xoM7oFnAZ_6G2k2oc/edit?usp=sharing

Following is the equity curve with points on Y-axis and trades on X-axis:


Suri, do let know if you want me to post these in a different thread, I prefer not to clutter your thread with tangential ideas.

Another generic question, why you experienced people prefer NF over BNF?

Excellent work :clapping:

With whatever back testing work I have done, this is a generic conclusion as we introduce a profit stop in a mechanical system
the over all profit potential of the system will reduce. Profit stops maybe very much needed for psychological reasons.
Trad-ability of a system is most important, just having better numbers on paper won't do.

We all trade BNF, but with BNF slippage is always there, and with weekly options the spikes have just increased,
but it has great volatility so a good trading instrument, i personally prefer to swing trade BNF.

With NF, what you test is what you get
We get easy fills so very low on slippage, can scale up to any number
also options on NF are very liquid, even wings

Happy

@ humble

As per excell sheet 3rd aug 9:40 short, but as per the rules short not triggered or I am missing something.

attached the image as ref.

screen grab

Any body knows the calculation behind the super trend indicator.


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Go through this LINK

Thanks for your link , but their method is slightly different from the method which used in this thread. Okay I just asked whether here (this thread) any body knows the calculation behind the Indicator. Because understanding the system better gives edge in trading, than calculating the profit/loss with different SL ,TGT points and martingale multipliers. Optimizing the points to maximize the profit with past datas is called Curve Fitting. The market dynamics wont remain constant to value our optimized points.

So my point is maximize the output by understanding the method better.


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You asked about indicator calculation and it is same, only thing is multiplier it depends on the customer and his needs and thread is in search of system from this indicator !!! this is what i understood from the posts of this thread starter