This is the way to Trade Nifty Futures
- Thread starter suri112000
- Start date
Thanks Suri for taking pain to share the ideas/strategies/backtesting :thumb:
Regarding the strategy just my views
IMO
The strategy requires more working in terms of Entry/MM - exits and
not just High-Low band but some other confirmation as well for entries.
as the strategy's stop is approximately 30 points max and 7 points wide some times depending upon the volatility as this is not fixed percentage price band.
Not sure how back testing is done but
In my observations Nifty failing 8-10 times worst case scenario and is not uncommon.
But the strategy assumes 1.2 Lakh capital for 4 lots
And what if Nifty continues to fail after 4 trades ?
Average statistical Nifty gaps is 40 points.
And 4*25*40 = 4000 Rs which is 3.33 %.
MM can be easily violated during unfavorable gaps and/or bigger gaps
----- Not discouraging just my views on the psychology part of strategy picking.
This is a Trend trading/always in trade kind of system and assuming markets will trend 25% and 75% sideways
Assuming the strategy will have a hit rate of 30:70 (30% trade will be successful in the first trade itself and 70% of times needs
adding positions) - series of losses and then profits.
Even the strategy may give profit but Trade ability/Comfort factor should be considered while picking a strategy for trading and it is trader who has to decide and will be a personal choice.
- And this is inherently true for all Mechancial trend trading systems and
always in trade kind of systems and it is one important reason why traders fail though the strategy may give positive results but difficult to trade.
Thanks once again for selflessly sharing ideas :thumb:
Regarding the strategy just my views
IMO
The strategy requires more working in terms of Entry/MM - exits and
not just High-Low band but some other confirmation as well for entries.
as the strategy's stop is approximately 30 points max and 7 points wide some times depending upon the volatility as this is not fixed percentage price band.
Not sure how back testing is done but
In my observations Nifty failing 8-10 times worst case scenario and is not uncommon.
But the strategy assumes 1.2 Lakh capital for 4 lots
And what if Nifty continues to fail after 4 trades ?
Average statistical Nifty gaps is 40 points.
And 4*25*40 = 4000 Rs which is 3.33 %.
MM can be easily violated during unfavorable gaps and/or bigger gaps
----- Not discouraging just my views on the psychology part of strategy picking.
This is a Trend trading/always in trade kind of system and assuming markets will trend 25% and 75% sideways
Assuming the strategy will have a hit rate of 30:70 (30% trade will be successful in the first trade itself and 70% of times needs
adding positions) - series of losses and then profits.
Even the strategy may give profit but Trade ability/Comfort factor should be considered while picking a strategy for trading and it is trader who has to decide and will be a personal choice.
- And this is inherently true for all Mechancial trend trading systems and
always in trade kind of systems and it is one important reason why traders fail though the strategy may give positive results but difficult to trade.
Thanks once again for selflessly sharing ideas :thumb:
Last edited:
6 points for round trade is deducted in the test.
I am lucky to be a witness to the some of the big successful individual traders. (They trade really big amounts running into crores). Some of you donot believe that they donot use stop loss in their trades. They trained me to hold one loosing trade running into lakhs for more than 2 years. That is the minimum time horizon a trader should have. They book losses in a series of trades. Yet their confidence is not shattered. They do average their loosing trades contrary to our belief. I made to realize that to win in trading....you have to overcome your fear. Stop loss trading is inherently based to control your fear of loosing or going backrupt. Markets are structured in a way that you will be pushed to the unknown depths of fear. For example ......todays meltdown broke all the supports. In fact supports are broken as often as possible. Hence, all stop losses are hit. That is how markets shake out weak hands which are fearful n pave the way for new breed of traders. Markets are magnets which attract new breed of traders.
Tinkering with trading discipline!!!!!!!!!!!!
I have not come across any trader who has succeeded without trading discipline. I like to keep the systems as simple as possible and strict on trading discipline. I cannot help the people who do otherwise.
I am lucky to be a witness to the some of the big successful individual traders. (They trade really big amounts running into crores). Some of you donot believe that they donot use stop loss in their trades. They trained me to hold one loosing trade running into lakhs for more than 2 years. That is the minimum time horizon a trader should have. They book losses in a series of trades. Yet their confidence is not shattered. They do average their loosing trades contrary to our belief. I made to realize that to win in trading....you have to overcome your fear. Stop loss trading is inherently based to control your fear of loosing or going backrupt. Markets are structured in a way that you will be pushed to the unknown depths of fear. For example ......todays meltdown broke all the supports. In fact supports are broken as often as possible. Hence, all stop losses are hit. That is how markets shake out weak hands which are fearful n pave the way for new breed of traders. Markets are magnets which attract new breed of traders.
Tinkering with trading discipline!!!!!!!!!!!!
I have not come across any trader who has succeeded without trading discipline. I like to keep the systems as simple as possible and strict on trading discipline. I cannot help the people who do otherwise.
Plot EMA 30 with High and Low lines on Nifty futures on 15 mintures Timeframe.
Buy = when the price closes above ema 30 high.
Short = when the price closes below ema 30 low.
Many wonder how this is going to work in sideways markets which whipsaws.
There is a way to counter this.
A bit of martigale method. Actual martigale requires unlimited capital. But this martigale is capped with limited capital. The flaw in martigale is removed.
Start the first trade with 25 qty. (It is going to be shortly 75, but for the sake of easy understanding I will go with 25).
If the first trade ends with loss, second trade will be 50 qty. If the first trade ends with a profit, the next trade will be of 25 qty again.
If the second trade ends with loss, third trade will be 75 qty. If the seond trade ends with a profit, the next trade will be of 25 qty again.
If the third trade ends with a loss, fourth trade will be 100 qty. If the third trade ends with a profit, the next trade will be 25 qty again.
If the fourth trade ends with a loss, fifth trade will be 100 qty (note that we have not increased the qty here......and the qty 100 will continue until you hit a profitable trade). If the fourth trade ends with a profit, next trade will be 25 qty again.
In a nutshell, with each loss you are increasing your lot size by 1 until 4 lots (maximum). If the loosing spree continues beyond 4 lots (ie 4 losses in a row), you will continue to trade with 4 lots until you hit a win trade.
Whenever you hit a win trade, your qty comes to default size ie 1 lot again for immediate next trade.
See yourself the backtested result for the same for last 3 months.
Required capital is 4 lots margin +40,000 ie Rs.1,20,000. You can expect a return of Rs.30 to 50,000 in a 3 months timeframe.
This system has generated a total of 67 trades in last 3 months period. I have deducted 6 points for brokerage and slippage for a round trade.
SEE THE ATTACHMENT FOR THE TRADE AND EQUITY CURVE.
Buy = when the price closes above ema 30 high.
Short = when the price closes below ema 30 low.
Many wonder how this is going to work in sideways markets which whipsaws.
There is a way to counter this.
A bit of martigale method. Actual martigale requires unlimited capital. But this martigale is capped with limited capital. The flaw in martigale is removed.
Start the first trade with 25 qty. (It is going to be shortly 75, but for the sake of easy understanding I will go with 25).
If the first trade ends with loss, second trade will be 50 qty. If the first trade ends with a profit, the next trade will be of 25 qty again.
If the second trade ends with loss, third trade will be 75 qty. If the seond trade ends with a profit, the next trade will be of 25 qty again.
If the third trade ends with a loss, fourth trade will be 100 qty. If the third trade ends with a profit, the next trade will be 25 qty again.
If the fourth trade ends with a loss, fifth trade will be 100 qty (note that we have not increased the qty here......and the qty 100 will continue until you hit a profitable trade). If the fourth trade ends with a profit, next trade will be 25 qty again.
In a nutshell, with each loss you are increasing your lot size by 1 until 4 lots (maximum). If the loosing spree continues beyond 4 lots (ie 4 losses in a row), you will continue to trade with 4 lots until you hit a win trade.
Whenever you hit a win trade, your qty comes to default size ie 1 lot again for immediate next trade.
See yourself the backtested result for the same for last 3 months.
Required capital is 4 lots margin +40,000 ie Rs.1,20,000. You can expect a return of Rs.30 to 50,000 in a 3 months timeframe.
This system has generated a total of 67 trades in last 3 months period. I have deducted 6 points for brokerage and slippage for a round trade.
SEE THE ATTACHMENT FOR THE TRADE AND EQUITY CURVE.
I have one doubt for example
suppose we have trade as follows
1 Trade Nett Loss 30 Points (25)
2nd Trade Nett Loss 60 Pts(50)
3rd Trade Nett Loss 70 Pts (75)
4th Trade Nett Profit 50 Pts (100)
So Finally we got a winning trade But we still have negative return on that case what will one should do ? did you faced such scenarios during your back tests ??
Plot EMA 30 with High and Low lines on Nifty futures on 15 mintures Timeframe.
Buy = when the price closes above ema 30 high.
Short = when the price closes below ema 30 low.
Many wonder how this is going to work in sideways markets which whipsaws.
There is a way to counter this.
A bit of martigale method. Actual martigale requires unlimited capital. But this martigale is capped with limited capital. The flaw in martigale is removed.
Start the first trade with 25 qty. (It is going to be shortly 75, but for the sake of easy understanding I will go with 25).
If the first trade ends with loss, second trade will be 50 qty. If the first trade ends with a profit, the next trade will be of 25 qty again.
If the second trade ends with loss, third trade will be 75 qty. If the seond trade ends with a profit, the next trade will be of 25 qty again.
If the third trade ends with a loss, fourth trade will be 100 qty. If the third trade ends with a profit, the next trade will be 25 qty again.
If the fourth trade ends with a loss, fifth trade will be 100 qty (note that we have not increased the qty here......and the qty 100 will continue until you hit a profitable trade). If the fourth trade ends with a profit, next trade will be 25 qty again.
In a nutshell, with each loss you are increasing your lot size by 1 until 4 lots (maximum). If the loosing spree continues beyond 4 lots (ie 4 losses in a row), you will continue to trade with 4 lots until you hit a win trade.
Whenever you hit a win trade, your qty comes to default size ie 1 lot again for immediate next trade.
See yourself the backtested result for the same for last 3 months.
Required capital is 4 lots margin +40,000 ie Rs.1,20,000. You can expect a return of Rs.30 to 50,000 in a 3 months timeframe.
This system has generated a total of 67 trades in last 3 months period. I have deducted 6 points for brokerage and slippage for a round trade.
SEE THE ATTACHMENT FOR THE TRADE AND EQUITY CURVE.
Buy = when the price closes above ema 30 high.
Short = when the price closes below ema 30 low.
Many wonder how this is going to work in sideways markets which whipsaws.
There is a way to counter this.
A bit of martigale method. Actual martigale requires unlimited capital. But this martigale is capped with limited capital. The flaw in martigale is removed.
Start the first trade with 25 qty. (It is going to be shortly 75, but for the sake of easy understanding I will go with 25).
If the first trade ends with loss, second trade will be 50 qty. If the first trade ends with a profit, the next trade will be of 25 qty again.
If the second trade ends with loss, third trade will be 75 qty. If the seond trade ends with a profit, the next trade will be of 25 qty again.
If the third trade ends with a loss, fourth trade will be 100 qty. If the third trade ends with a profit, the next trade will be 25 qty again.
If the fourth trade ends with a loss, fifth trade will be 100 qty (note that we have not increased the qty here......and the qty 100 will continue until you hit a profitable trade). If the fourth trade ends with a profit, next trade will be 25 qty again.
In a nutshell, with each loss you are increasing your lot size by 1 until 4 lots (maximum). If the loosing spree continues beyond 4 lots (ie 4 losses in a row), you will continue to trade with 4 lots until you hit a win trade.
Whenever you hit a win trade, your qty comes to default size ie 1 lot again for immediate next trade.
See yourself the backtested result for the same for last 3 months.
Required capital is 4 lots margin +40,000 ie Rs.1,20,000. You can expect a return of Rs.30 to 50,000 in a 3 months timeframe.
This system has generated a total of 67 trades in last 3 months period. I have deducted 6 points for brokerage and slippage for a round trade.
SEE THE ATTACHMENT FOR THE TRADE AND EQUITY CURVE.
I had dabbled in Martiangle in the past. A lot of the ideas that you have mentioned here is familiar to me.So I feel I can give you a proper answer.:clap:
What you have mentioned here is not true martiangle and I call it Martingale with Arithmatic Progression (Lets call MAP for short)
True martingale is Geometric Progression(MGP) obviously with GP it quickly goes out of hand and we all know it.
Also the third type is with Fibonacci(MFC).
But MAP has its own issues.
MAP is not guaranteed to cover losses of all previous trades but it will guarantee to increase your losses over time till the series is running.(as SaravananKS posted on the example above)
Resetting of number of lots is good idea in hindsight but it will make you lose good profits.Just when you happen to reset market makes good move. The profit you will make with 1 lot will not be enough to cover the ranging market losses that you have suffered before with higher lot sizes.
Again money utilization is low by default :Imagine when market is trending all right you are trading with 1 lot but when it is rangy u r trying to increase lots with back to back losses and these losses are bigger.
My 2 cents martingale in any form is bad and is not sustainable sooner or later it will come back to get you.
You may not blow your account but you can loose heavy or even wipe out 70 to 80 of your account before you are forced to quit the strategy or reload.
Here is what you can try Reverse MAP or RMAP(technically it is no longer martingale and perfectly safe)
Start with 4 lots or ur maximum that ur fund allows.
if loss then reduce by 1 lot
if again loss then reduce by 1 lot further
you can do this till it reaches 1 lot at which there is no further reduction.
At any point when u encounter a winning position
just reset ur position to maximum lot size.
or
you can increase in steps.
Also you can try RMGP
Where the reduction in position will happen very sharp.
Try this and post the backtesting results for all 4 scenarios.
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Cannot dispute what you have written! There are traders and then there are traders! But its a microscopic minority who can maintain discipline in 'intense adverse' conditions or continued adverse conditions! Not many here can continue to hold a position loosing in lakhs for 2 years, personally I may not be able to carry it for 2 weeks!
So to each his own. This set up may be for some minority Super Disciplined Traders, surely not my cup of tea !
Thanks for your valuable time to share your strategy, thoughts and views! :thumb:
So to each his own. This set up may be for some minority Super Disciplined Traders, surely not my cup of tea !
Thanks for your valuable time to share your strategy, thoughts and views! :thumb:
Date Buy Sell Point Nos Amount Accumulated Profit
31/7/2015 18628
3/8/2015 18957 329 25 8225 8225
3/8/2015 18957 0
4/8/2015 19034 -77 25 -1925 6300
4/8/2015 19034 18827 -207 25 -5175 1125
4/8/2015 19071 18827 -244 50 -12200 -11075
4/8/2015 19071 0
5/8/2015 19003 -68 50 -3400 -14475
5/8/2015 19003 0
6/8/2015 19034 -31 75 -2325 -16800
7/8/2015 19032 -2 75 -150 -16950
7/8/2015 19032 0
10/8/2015 19040 -8 100 -800 -17750
10/8/2015 19040 0
10/8/2015 19064 24 100 2400 -15350
10/8/2015 19064 0
13/8/2015 18386 678 25 16950 1600
13/8/2015 18155 -231 25 -5775 -4175
13/8/2015 18155 0
13/8/2015 18323 -168 25 -4200 -8375
13/8/2015 18323 0
18/8/2015 18765 442 50 22100 13725
18/8/2015 18765 0
18/8/2015 18850 -85 25 -2125 11600
18/8/2015 18850 0
19/8/2015 18694 -156 25 -3900 7700
19/8/2015 18694 0
21/8/2015 18016 678 50 33900 41600
21/8/2015 18016 0
24/8/2015 17352 -664 25 -16600 25000
24/8/2015 17352 0
25/8/2015 16996 356 25 8900 33900
25/8/2015 16996 0
25/8/2015 16710 -286 25 -7150 26750
25/8/2015 16710 0
25/8/2015 16987 -277 25 -6925 19825
25/8/2015 16987 0
26/8/2015 16971 -16 50 -800 19025
26/8/2015 16971 0
27/8/2015 17139 -168 50 -8400 10625
27/8/2015 17139
27/8/2015 17210 71 75 5325 15950 Rollover
31/7/2015 18628
3/8/2015 18957 329 25 8225 8225
3/8/2015 18957 0
4/8/2015 19034 -77 25 -1925 6300
4/8/2015 19034 18827 -207 25 -5175 1125
4/8/2015 19071 18827 -244 50 -12200 -11075
4/8/2015 19071 0
5/8/2015 19003 -68 50 -3400 -14475
5/8/2015 19003 0
6/8/2015 19034 -31 75 -2325 -16800
7/8/2015 19032 -2 75 -150 -16950
7/8/2015 19032 0
10/8/2015 19040 -8 100 -800 -17750
10/8/2015 19040 0
10/8/2015 19064 24 100 2400 -15350
10/8/2015 19064 0
13/8/2015 18386 678 25 16950 1600
13/8/2015 18155 -231 25 -5775 -4175
13/8/2015 18155 0
13/8/2015 18323 -168 25 -4200 -8375
13/8/2015 18323 0
18/8/2015 18765 442 50 22100 13725
18/8/2015 18765 0
18/8/2015 18850 -85 25 -2125 11600
18/8/2015 18850 0
19/8/2015 18694 -156 25 -3900 7700
19/8/2015 18694 0
21/8/2015 18016 678 50 33900 41600
21/8/2015 18016 0
24/8/2015 17352 -664 25 -16600 25000
24/8/2015 17352 0
25/8/2015 16996 356 25 8900 33900
25/8/2015 16996 0
25/8/2015 16710 -286 25 -7150 26750
25/8/2015 16710 0
25/8/2015 16987 -277 25 -6925 19825
25/8/2015 16987 0
26/8/2015 16971 -16 50 -800 19025
26/8/2015 16971 0
27/8/2015 17139 -168 50 -8400 10625
27/8/2015 17139
27/8/2015 17210 71 75 5325 15950 Rollover
Please find performance of bank nifty traded with supertrend 4,10 (Trend following system like ema as you described. One lot added with each losing trade. very high volatility caused massive whips but still it is profitable. Please adjust brokerage etc for final results. This month was not suitable for supertrend as massive price chages were in the market due to high volatility. Looks promising.
http://i.imgur.com/4EWDDFV.jpg
Thanx
Alok
http://i.imgur.com/4EWDDFV.jpg
Thanx
Alok
Please find performance of nifty traded with supertrend 4,10 (Trend following system like ema as you described. One lot added with each losing trade. very high volatility caused massive whips but still it is in very less loos. Please adjust brokerage etc for final results. This month was not suitable for supertrend as massive price chages were in the market due to high volatility. Looks promising.
http://i.imgur.com/9rLCecZ.jpg
Thanx
Alok
http://i.imgur.com/9rLCecZ.jpg
Thanx
Alok
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