Day Trade Nifty with Sheroune...!

linkon7

linkon7

Well-Known Member
#1
#1
Sheroune is my 3 yr old daughter. I always challenged myself to develop a system that even she can trade. Its trend following. Its mechanical. Needs least amount of brain work and Its effective.

Like any trend following system, it has a strike rate of just 55-60%. The RR ratio is just above 2. I am in the process of back testing it and will publish the results by next week.

All one has to do is follow the set of rules and things should work out well.
 
linkon7

linkon7

Well-Known Member
#2
#2
Profitable trend trading is 99% mental. If one can conquer their mind and quell the inevitable inner dialogue that screams "Whoa! Looks like price is going against your position! The trend must be ending - SELL NOW!!" and keep their eyes on the long term, they stand an excellent chance at being a successful, happy and stress-free trend trader. However, if they cannot turn off this inner dialogue or at least ignore it and keep their focus on the long-term, then they are in for a very short, very bumpy ride.

As a rule :

* NEVER attempt to predict where the market will go
* NEVER attempt to pick "tops" and "bottoms" of price action
* ALWAYS respect the trend and align their trades accordingly
* Let the market tell them when the trend is finished, not their "intuition"
* Realize that they will necessarily sacrifice some pips at the beginning and end of a trend as they wait for confirmation that the trend beginning and end are authentic
* Look at price action from a long-term perspective and don't get shaken by volatility
* Understand that they will go through some potentially significant but temporary periods of drawdown as the trend matures
* Understand that trend trading can lead to large gains but also equally large losses
* Understand that trends can take place on multiple time frames
 
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linkon7

linkon7

Well-Known Member
#3
#3
Overview of the system : Method 1


This is a pure trend following system. Initially, we place entry for both long trade and short trade and when one trade hits, we place a reversal at the level indicated. We keep trailing the price till reversal is hit.

Trade Management : We initiate with one lot and as and when the red line is broken (for longs), we add to our existing positions. This process of add on continues till our reversal is hit. Reversal is basically squaring off exiting trades and initiating fresh reversal with only 1 lot of NF...

Recommended Time Frame : Hourly



Code: 
_SECTION_BEGIN("sheroune"); 
Col = IIf(C > O,colorGreen,colorRed); 
Plot(C,"",col,styleBar+styleThick);

_SECTION_END();

_SECTION_BEGIN("Support-Resistance");
SupRes=ParamToggle("Sup-Res","No|Yes",1);
SupResA = Param("Sup-Res A Period",20,0,100,1); 
SupResB = Param("Sup-Res B Period",25,0,100,1);

Res1 = ParamColor("Resistance High", colorRed );
Res2 = ParamColor("Resistance Low", colorDarkRed );
Sup1 = ParamColor("Support High", colorDarkGreen );
Sup2 = ParamColor("Support Low", colorBrightGreen );
if(SupRes)
{
MaxGraph = 12;
BuyOffSet = SupResA;//Optimize("BuyOffSet",18,15,20,1);
SellOffset = BuyOffSet;//Optimize("SellOffset",2,2,14,2);
RegLength = 5;//Optimize("RegLength",5, 2,11,2);
BuyATRPeriod = 2;//Optimize("BuyATRPeriod",2,2,5,1);
SellATRPeriod = BuyATRPeriod;//Optimize("SellATRPeriod",4,2,11,2);
ATRMultiplier = 0.5;//Optimize("ATRMultiplier",1,0.7,1.25,.05);
SuppA = HHV(H-ATRMultiplier*ATR(BuyATRPeriod),BuyOffset); /* RED */
RessB = LLV(L+ATRMultiplier*ATR(SellATRPeriod),SellOffset); /* GREEN */
Plot(SuppA,"",sup1,ParamStyle("Sup-Res A Style", styleDashed|styleNoTitle) );
Plot(RessB,"",res2,ParamStyle("Sup-Res A Style", styleDashed|styleNoTitle) ); 

nn=SupResB;
mmm=100;
TYP=(High + Low + 2*Close)/4;
CI=(TYP-MA(TYP,14))/(0.015*StDev(TYP,14));
CCCI=EMA(CI,5)+mmm;
Hh=HHV(H,nn);
Ll=LLV(L,nn);
MM=(Hh+Ll)/2;
CCCC=EMA(CCCI*(Hh-Ll)/(2*mmm)+Ll,5);
Plot(Hh,"",Res1, ParamStyle("Sup-Res B Style", styleThick|styleNoTitle) );
Plot(Ll,"",Sup2, ParamStyle("Sup-Res B Style", styleThick|styleNoTitle) ) ;
}
_SECTION_END();


Buy = Cross(H,Ref(Hh,-1));
Short = Cross (Ref(Ll,-1),L);
Cover = Buy;
Sell = Short;
PlotShapes(shapeUpArrow*Buy,colorWhite);
PlotShapes(shapeDownArrow*Short,colorWhite);

/* ****************************************
// -- Done with discovering and plotting pivots 
***************************************** */ 
Title = EncodeColor(colorWhite)+ "SHEROUNE ka SYSTEM" + " - " +  Name() + " - " + EncodeColor(colorRed)+ Interval(2) + EncodeColor(colorWhite) +
 "  - " + Date() +" - "+
"\n"+
WriteIf(H > Ref(H,-1),EncodeColor(colorGreen),EncodeColor(colorRed))+"              Hi "+H+"\n"+ 
EncodeColor(colorWhite)+"Op "+O+EncodeColor(colorAqua)+" Cl : " +C+"\n"+
WriteIf(L < Ref(L,-1),EncodeColor(colorRed),EncodeColor(colorGreen))+"              Lo "+L
+"\n"+"\n"+
EncodeColor(colorBrightGreen)+"Place Reversal for Short at :  "+Hh
+"\n"+
EncodeColor(colorRed)+"Place Reversal for Long at :  "+Ll
;
Method - I


Rules :
1. Place Entry trigger for for both long and short at opening bell at the red line ( for long) and green line (for short).
2. As soon as one leg gets hit, use the other leg as a reversal.
3. Every time the pivot in our direction break..we add one lot...
4. keep trailing the reversal order till it hits...



Do & Dont's

1. Do follow the system blindly.
2. Dont try to second guess the system.
3. Adds provide the profitability to the system...

Time frame : 60 min
 
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linkon7

linkon7

Well-Known Member
#4
#4
Method - I

If One would just trade One lot of NF... from Jan to till date his trades would be as follows :

Code: 
Ticker		Trade	Date		Price	Ex. date	Ex. Price% chg	Profit	% Profit:Shares	Position value	Cum. Profit	# bars	Profit/bar	MAE	MFE	Scale In/Out
NIFTY_F1	Long	1/4/2010 9:00	5226.3	1/8/2010 15:00	5258	0.61%	1485	0.57%	50	261314.99	1485	35	42.43	-0.31%	1.47%	0/0
NIFTY_F1	Short	1/8/2010 15:00	5258	1/18/2010 10:00	5276.55	0.35%	-1027.5	-0.39%	50	262900	457.5	38	-27.04	-0.70%	1.56%	0/0
NIFTY_F1	Long	1/18/2010 10:00	5276.55	1/19/2010 14:00	5226.95	-0.94%	-2580	-0.98%	50	263827.49	-2122.5	12	-215	-0.94%	0.25%	0/0
NIFTY_F1	Short	1/19/2010 14:00	5226.95	2/2/2010 9:00	4905.6	-6.15%	15967.5	6.11%	50	261347.51	13845	59	270.64	-0.46%	8.97%	0/0
NIFTY_F1	Long	2/2/2010 9:00	4905.6	2/5/2010 11:00	4731.8	-3.54%	-8790	-3.58%	50	245280	5055	22	-399.55	-3.56%	0.90%	0/0
NIFTY_F1	Short	2/5/2010 11:00	4731.8	2/10/2010 13:00	4805	1.55%	-3760	-1.59%	50	236589.99	1295	26	-144.62	-1.86%	1.36%	0/0
NIFTY_F1	Long	2/10/2010 13:00	4805	4/8/2010 13:00	5316.2	10.64%	25460	10.60%	50	240250	26755	260	97.92	-1.35%	12.34%	0/0
NIFTY_F1	Short	4/8/2010 13:00	5316.2	4/22/2010 11:00	5289.35	-0.51%	1242.5	0.47%	50	265810.01	27997.5	62	20.04	-1.37%	2.89%	0/0
NIFTY_F1	Long	4/22/2010 11:00	5289.35	4/23/2010 15:00	5313.3	0.45%	1097.5	0.41%	50	264467.5	29095	13	84.42	-1.01%	0.99%	0/0
Out of 9 trades, 4 ended with loss, 5 in profit, giving us a Strike rate of of 55%
But the risk reward ratio is 22.28..which is awsome
 
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linkon7

linkon7

Well-Known Member
#6
#6
Method 2:
This is the method i trade. Its slightly more complicated since its a combination of many systems but it works for me. It gives about 6-10 trades on a sideways day and very few trades on a trending day.

The basic premise of this system is it has a different set of rules for trending days and a separate set of rules for sideways market.

On a sideways market we attempt to buy the bottom and sell the top...

On a trending market we wait to buy the correction in a uptrend and sell the rallies in a down trend....
 
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linkon7

linkon7

Well-Known Member
#7
#7
How to trade this system ?

How to trade this system ?

When market opens at 9.00 AM in the morning we have no idea if we are going to have a trending day or a sideways coma kind of market.

WE can have a gap up/down or we can open flat.

Flat Opening
If we open flat then the previous day's candle can be used and trades taken as per system.

But if we gap up / down then borrowing the previous day's candle will only lead to bad signals.
Understanding how the indicators give the signal and what they read is the backbone to any indicator based system. Since we are using CCI(14), it means that it needs 14 bars to stabilise after a gap up. If we are using 5 min TF, then we need 14 x 5 min = 1 hr 10 min, for the cci to be reliable. Too much time to wait for the first trade, alternately, we can shift to lower time frames like 1 min or 3R (range bars).

During Gap up. We note the high on the first 1 min and observe if its broken in the next 4 min. The High of the first 5 min has to be broken as a rule to initate a long. If the High of the first 5 min is not broken then we wait for 38% retracement from the high. meaning

(the high of first 5 min minus the previous close) x 38% = retracement.

Now we wait near this retracement level and search for a cci hook in 1 min tf or 3R ) to take our first trade in the long direction.

If the retracement is more than 50%, then chances are we will fill the gap.
 
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linkon7

linkon7

Well-Known Member
#8
#8
reserved for method 2
 
Last edited:
linkon7

linkon7

Well-Known Member
#9
#9
8. reserved for more charts
 
linkon7

linkon7

Well-Known Member
#10
#10
9. reserved
 
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