Parabolic SAR System with Futures

suri112000 · Feb 2, 2015

What can be expected of this system?

Fear of loosing earned profits is more powerful than fear of loosing a trade. This system is designed in such a way that some profitable trades may turn into a loosing trades. We should control our desire to book early profits except as envisaged by the system. The system takes care of earning profits at the end of the month despite many loosing trades. Trade with confidence and most importantly with every signal it generates in all five scrips. Money management is the crucial factor in the system. If you donot have the required capital outlay in the trading account, trading this system proves suicidal.

Not even a single loosing month is the goal!!!!!!!!!

Wish you all the best.

BNFTrader · Feb 2, 2015

Hello Suri

Thanks for the detailed system.

I was trying to understand it properly by applying to the hourly chart of BNF.

Some observations.

1. In Amibroker the last PSAR point is dynamic i.e if the bar closes below the PSAR it will flip to upside and show the new STOP/SAR. for e.g on Jan 28 1400 hrs bar started with PSAR at 20563 and as the price fell below it it flipped to upside to 20934, this can be seen with bar replay, but the chart will show only the new PSAR value, the close was 20510 so using the exit rules of this system we should capture these extra 50 point

2. To check if the high/low triggers the trade but the SAR Flips back I wrote this following filter

Code:

Filter = C > PSAR AND L < PSAR OR C < PSAR AND H > PSAR;

This showed only 1 instance where this happens which tells us that something must be wrong with the code

,
and obviously it was because of Ambroker changes the PSAR value on the reversals bars. So wrote another multi-time frame code.

Code:

TimeFrameSet(inHourly);
PSAR1 = SAR(0.02,0.2);
UP1 = C > PSAR1; 
DN1 = C < PSAR1;
TimeFrameRestore();
PSAR = TimeFrameExpand(PSAR1,inHourly,expandLast);
UP = TimeFrameExpand(UP1,inHourly,expandLast);
DN = TimeFrameExpand(DN1,inHourly,expandLast);
UW = UP AND L < PSAR; 
DW = DN AND H > PSAR;
Plot(PSAR,"PSAR",colorWhite,styleNoLine|styleDots);
PlotShapes(UW*-2,colorWhite,0,H);
PlotShapes(DW*-1,colorWhite,0,L);

When we use the above on a lower time frame chart say 15/30 minutes we can see the old values of the PSAR even on the reversal bars,
using this maybe useful to understand the system exits on historical data without having to use bar replay.

Thanks

suri112000 · Feb 2, 2015

Axis Bank

Short below 1:15 PM bar @ 592.95 on 30.1.15
Exit the trade on hit of PSAR 602.50 on 2.2.15
Result = - 9.55 points
No Fresh entry

HCL Tech

Long above 1:15 pm bar @ 1796.05 on 30.1.15
Still the trade is on as on 2.2.15

TataMotors

Long above 1:15 pm bar @ 590.25 on 30.1.15
Exited the trade at EOD on flipping of PSAR @ 590.90

Result = +0.65

Short below 11:15 bar @ 588.95 on 2.2.15
Trade is still ON.

SunPharma

Long above 12:15 bar @ 923.05 on 30.1.15
Trade is still ON.

Nifty

Short below 1:15 bar @ 8885 on 30.1.15
Trade is still ON.
==============================================================================

Net result in respect of closed trades = Rs.4450 loss (add taxes, brokerage etc)

Nostradamuss · Feb 2, 2015

suri112000 said:

Parabolic SAR is a simple indicator and is available with many trading softwares. The system is explained in three to four phases. They are :-

1. Entry Rules
2. Exit Rules
3. Re-entry Rules
4. Money Management and Instruments to be traded.

Until, one gets clarify on all the four without any ambiguity donot jump to implement it.

Firstly,

Rules for entry.

TIMEFRAME : 1 HOUR CHARTS (It is very tough to trade, below 1 hour charts under this system)

1. When Parabolic SAR is formed below price, look for long entries. and viceversa for shorts.
2. Once first condition is met, for longs, look for a bar which has lower high than previous bar. Let it be called trigger bar. Entry will be on break of high of this bar.
3. If the trade is not triggered on the very next bar, and this new bar makes a new low high, then treat this bar as trigger bar and cancel earlier orders.
4. Chase the price on new lower high bars, until the trade is triggered.
5. Once in trade, put the initial Stop Loss at the Parabolic SAR formed below the entry bar.

Some charts with examples for clarity.

This system working for me in trend market,in a flat market I am confused.I have been looking at trading a trending market when the parabolic touches the 55 ema which i have on my chart with the 8 and 21 ema but it sometimes gives a late trading signal.

suri112000 · Feb 3, 2015

Nostradamuss said:

PSAR system works very well in trending markets but whipsaws in sideways market. This weakness can be overcome by diversifying your trading stocks. I suggested 5 scrips all of which we must trade. The precise entry, trend and to some extent modified exit rules constitute the edge in this system. Judge overall performance of this system at a fairy long periods ie a month or so.

suri112000 · Feb 3, 2015

Axis Bank

Short below 2:15 bar @ 591.65
Trade is still ON.

HCL Tech

Still the trade is on

TataMotors

Exited the trade on flipping of PSAR (Gap against PSAR) at the end of first hour @ 605.70

Result = -18.80

Long above 11:15 bar @ 608.15
Trade is still ON.

SunPharma

Trade is still ON.

Nifty

Exit the trade at the end of first hour on flipping of PSAR @ 8859.50

Result = + 25.5 points

Long above 11:15 bar @ 8896.25
Exit the trade on hit of PSAR @ 8807.50

Result = -88.75 points

Short below 3:15 bar @ 8812.30
Trade still ON.

================================================== ============================

Net result in respect of closed trades (cumulative)= Rs.18597 loss (add taxes, brokerage etc)

suri112000 · Feb 5, 2015

Axis Bank

Trade is still ON.

HCL Tech

Still the trade is on

TataMotors

Long above 11:15 bar @ 608.15
exit at 599.05
loss = - -7.10 points

short at 598.30
Trade is still ON.

SunPharma

Trade is still ON.

Nifty

Short below 3:15 bar @ 8812.30
exit @ 8878

loss = - 66 points
no fresh trade

================================================== ============================

Net result in respect of closed trades (cumulative)= Rs.28097 loss (add taxes, brokerage etc)[/QUOTE]

suri112000 · Feb 6, 2015

Axis Bank

Trade closed on flip of SAR. Gain = +17 points = 8,500
Short @ 560.70

HCL Tech

Trade closed on hit of SAR. Gain = +165 points = 20,625
Short @ 1957

TataMotors

Trade is still ON.

SunPharma

Trade closed on hit of PSAR. Gain = +28.95 = 7237.50
Nifty

Short @ 8720.50

================================================== ============================

Net result in respect of closed trades (cumulative)= Rs.8,265 profit (deduct taxes, brokerage etc)

amsin21 · Feb 8, 2015

Dear Bro,

From the trade transactions you have posted, the win:loss ratio is really bad. Any further strategy optimization in mind?

suri112000 · Feb 9, 2015

amsin21 said:

No plans of optimization as of now. Profit only matters brother.

Greater hit ratio is not possible with this system. If not comfortable with it, donot trade it.

Will review the system after one month if it is doing good or not.

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Parabolic SAR System with Futures

suri112000

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BNFTrader

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