Nifty Analysis

#41
Dear Friends, I have been working on preparing a gift for the traders who like to do Relative Strength Studies, as a part of their trading game plan. . . . Your kind suggestions will help me to make this sheet better, so that it becomes useful for our trading community. A lot of improvements could be made in this sheet, going forward.
Dear TradeOptions,

I attempted Relative Strength analysis sometime back. The conclusions:

NSE had 11 sectoral indices:

1 CNX Auto Index
2 CNX Bank Index
3 CNX Energy Index
4 CNX Finance Index
5 CNX FMCG Index
6 CNX IT Index
7 CNX Media Index
8 CNX Metal Index
9 CNX Pharma Index
10 CNX PSU Bank Index
11 CNX Realty Index

Every year, as a rule of thumb, one or two sectors will rise much higher than all the rests.And one sector will lag all the rest. In 2013, Nifty was up by 6% but CNX IT by 57%. This is character which a trader can exploit.

[ii] Since there about hundred of companies in the above, it is complicated to track all of them - download their data daily and feed into our excell, and then do the graphs etc.

To keep things short, I selected one dominant company in each sector to track. My list included tata motors, icici bank, ril, idfc, itc, infosys, zee, tata steel, sun pharma, sbi, unitech. These companies, by and large captured the movement in sectoral indices.

[iii] Now the lessons were:

(a) In a real bear market, initially the high RS stocks maintain their lead, but later they fall with greater speed than low RS stock, thus neutralizing the gains of bull market. Some exit decision is needed here.

(b) Best gains from high RS stocks happened during periods when market was flat, yes flat, like in 2012 & 2013.

[iv] I am not savvy with excel as much you are. What is needed is an excel sheet which

(a) automatically pulls in EOD quotes for 15 selected stocks and nifty.
(b) calculates percentage in 20sma at gap of say 30 days for each stock & Nifty.
(c) highlights the two stocks having highest increase and one having lowest increase.

The above is enough to trade RS. I gave up because I did not have time to download data daily from NSE and update the excel.

regards

Rajeev
 

TradeOptions

Well-Known Member
#42
Dear TradeOptions,

I attempted Relative Strength analysis sometime back. The conclusions:

NSE had 11 sectoral indices:

1CNX Auto Index
2CNX Bank Index
3CNX Energy Index
4CNX Finance Index
5CNX FMCG Index
6CNX IT Index
7CNX Media Index
8CNX Metal Index
9CNX Pharma Index
10CNX PSU Bank Index
11CNX Realty Index

Every year, as a rule of thumb, one or two sectors will rise much higher than all the rests.And one sector will lag all the rest. In 2013, Nifty was up by 6% but CNX IT by 57%. This is character which a trader can exploit.

[ii] Since there about hundred of companies in the above, it is complicated to track all of them - download their data daily and feed into our excell, and then do the graphs etc.

To keep things short, I selected one dominant company in each sector to track. My list included tata motors, icici bank, ril, idfc, itc, infosys, zee, tata steel,sun pharma, sbi, unitech. These companies, by and large captured the movement in sectoral indices.

[iii] Now the lessons were:

(a) In a real bear market, initially the high RS stocks maintain their lead, but later they fall with greater speed than low RS stock, thus neutralizing the gains of bull market. Some exit decision is needed here.

(b) Best gains from high RS stocks happened during periods when market was flat, yes flat, like in 2012 & 2013.

[iv] I am not savvy with excel as much you are. What is needed is an excel sheet which

(a) automatically pulls in EOD quotes for 15 selected stocks and nifty.
(b) calculates percentage in 20sma at gap of say 30 days for each stock & Nifty.
(c) highlights the two stocks having highest increase and one having lowest increase.

The above is enough to trade RS. I gave up because I did not have time to download data daily from NSE and update the excel.

regards

Rajeev

Thank you for your reply and sharing your experience related to relative strength trading rajivji. Currently I am out of station for a few days. When I come back, I will try if those last points that you mentioned could be implemented in these excel sheets or not. Once again thanks a lot and good wishes for your trading.

Best regards.
 

vagar11

Well-Known Member
#43
Nifty opening bar range analysis

There is a 60% correlation in 10 min opening bar and daily bar(closing in the same direction).

Trading result on the basis of ORB breakouts. Brokrage, slippage not included.

./oneminutedata/2012/DEC2012/NIFTY_F1.txt 50 62.0
./oneminutedata/2012/NOV_2012/NIFTY_F1.txt 50 107.7
./oneminutedata/2013/APR2013/NIFTY_F1.txt 50 71.55
./oneminutedata/2013/AUG2013/NIFTY_F1.txt 50 155.7
./oneminutedata/2013/DEC2013/NIFTY_F1.txt 50 330.65
./oneminutedata/2013/FEB2013/NIFTY_F1.txt 50 82.05
./oneminutedata/2013/JAN2013/NIFTY_F1.txt 50 81.65
./oneminutedata/2013/JUL2013/NIFTY_F1.txt 50 158.35
./oneminutedata/2013/JUN2013/NIFTY_F1.txt 50 -302.35
./oneminutedata/2013/MAR2013/NIFTY_F1.txt 50 48.8
./oneminutedata/2013/MAY2013/NIFTY_F1.txt 50 407.1
./oneminutedata/2013/NOV2013/NIFTY_F1.txt 50 -1.6
./oneminutedata/2013/OCT2013/NIFTY_F1.txt 50 330.9
./oneminutedata/2013/SEP2013/NIFTY_F1.txt 50 494.5
./oneminutedata/2014/APR/NIFTY_F1.txt 50 -34.55
./oneminutedata/2014/AUG/NIFTY_F1.txt 50 -28.75
./oneminutedata/2014/DEC/NIFTY_F1.txt 50 -155.4
./oneminutedata/2014/FEB/NIFTY_F1.txt 50 -135.95
./oneminutedata/2014/JAN/NIFTY_F1.txt 50 -114.1
./oneminutedata/2014/JUL/NIFTY_F1.txt 50 264.55
./oneminutedata/2014/JUN/NIFTY_F1.txt 50 306.85
./oneminutedata/2014/MAR/NIFTY_F1.txt 50 862.75
./oneminutedata/2014/MAY/NIFTY_F1.txt 50 448.65
./oneminutedata/2014/NOV/NIFTY_F1.txt 50 -81.45
./oneminutedata/2014/OCT/NIFTY_F1.txt 50 161.55
./oneminutedata/2014/SEP/NIFTY_F1.txt 50 348.35
./oneminutedata/2015/APR/NIFTY_F1.txt 50 48.65
./oneminutedata/2015/DEC/NIFTY_F1.txt 50 153.4
./oneminutedata/2015/FEB/NIFTY_F1.txt 50 485.75
./oneminutedata/2015/JAN/NIFTY_F1.txt 50 259.05
./oneminutedata/2015/JUL/NIFTY_F1.txt 50 132.7
./oneminutedata/2015/JUN/NIFTY_F1.txt 50 146.25
./oneminutedata/2015/MAR/NIFTY_F1.txt 50 374.3
./oneminutedata/2015/MAY/NIFTY_F1.txt 50 714.75
./oneminutedata/2015/NOV/NIFTY_F1.txt 50 106.1
./oneminutedata/2015/OCT/NIFTY_F1.txt 50 112.15
./oneminutedata/2015/SEP/NIFTY_F1.txt 50 654.5
./oneminutedata/2016/APR/NIFTY_F1.txt 50 415.95
./oneminutedata/2016/AUG/NIFTY_F1.txt 50 199.8
./oneminutedata/2016/DEC/NIFTY_F1.txt 50 344.8
./oneminutedata/2016/FEB/NIFTY_F1.txt 50 560.35
./oneminutedata/2016/JAN/NIFTY_F1.txt 50 545.3
./oneminutedata/2016/JUL/NIFTY_F1.txt 50 508.1
./oneminutedata/2016/JUN/NIFTY_F1.txt 50 229.7
./oneminutedata/2016/MAR/NIFTY_F1.txt 50 197.75
./oneminutedata/2016/MAY/NIFTY_F1.txt 50 224.65
./oneminutedata/2016/NOV/NIFTY_F1.txt 50 181.95
./oneminutedata/2016/OCT/NIFTY_F1.txt 50 246.75
./oneminutedata/2016/SEP/NIFTY_F1.txt 50 -147.3
./oneminutedata/2017/JAN/JAN2017/NIFTY_F1.txt 50 41.1
./oneminutedata/NIFTY50_MAR2017/NIFTY_F1.txt 50 186.0
 

vijkris

Learner and Follower
#44
Nifty opening bar range analysis

There is a 60% correlation in 10 min opening bar and daily bar(closing in the same direction).

Trading result on the basis of ORB breakouts. Brokrage, slippage not included.

./oneminutedata/2012/DEC2012/NIFTY_F1.txt 50 62.0
./oneminutedata/2012/NOV_2012/NIFTY_F1.txt 50 107.7
./oneminutedata/2013/APR2013/NIFTY_F1.txt 50 71.55
./oneminutedata/2013/AUG2013/NIFTY_F1.txt 50 155.7
./oneminutedata/2013/DEC2013/NIFTY_F1.txt 50 330.65
./oneminutedata/2013/FEB2013/NIFTY_F1.txt 50 82.05
./oneminutedata/2013/JAN2013/NIFTY_F1.txt 50 81.65
./oneminutedata/2013/JUL2013/NIFTY_F1.txt 50 158.35
./oneminutedata/2013/JUN2013/NIFTY_F1.txt 50 -302.35
./oneminutedata/2013/MAR2013/NIFTY_F1.txt 50 48.8
./oneminutedata/2013/MAY2013/NIFTY_F1.txt 50 407.1
./oneminutedata/2013/NOV2013/NIFTY_F1.txt 50 -1.6
./oneminutedata/2013/OCT2013/NIFTY_F1.txt 50 330.9
./oneminutedata/2013/SEP2013/NIFTY_F1.txt 50 494.5
./oneminutedata/2014/APR/NIFTY_F1.txt 50 -34.55
./oneminutedata/2014/AUG/NIFTY_F1.txt 50 -28.75
./oneminutedata/2014/DEC/NIFTY_F1.txt 50 -155.4
./oneminutedata/2014/FEB/NIFTY_F1.txt 50 -135.95
./oneminutedata/2014/JAN/NIFTY_F1.txt 50 -114.1
./oneminutedata/2014/JUL/NIFTY_F1.txt 50 264.55
./oneminutedata/2014/JUN/NIFTY_F1.txt 50 306.85
./oneminutedata/2014/MAR/NIFTY_F1.txt 50 862.75
./oneminutedata/2014/MAY/NIFTY_F1.txt 50 448.65
./oneminutedata/2014/NOV/NIFTY_F1.txt 50 -81.45
./oneminutedata/2014/OCT/NIFTY_F1.txt 50 161.55
./oneminutedata/2014/SEP/NIFTY_F1.txt 50 348.35
./oneminutedata/2015/APR/NIFTY_F1.txt 50 48.65
./oneminutedata/2015/DEC/NIFTY_F1.txt 50 153.4
./oneminutedata/2015/FEB/NIFTY_F1.txt 50 485.75
./oneminutedata/2015/JAN/NIFTY_F1.txt 50 259.05
./oneminutedata/2015/JUL/NIFTY_F1.txt 50 132.7
./oneminutedata/2015/JUN/NIFTY_F1.txt 50 146.25
./oneminutedata/2015/MAR/NIFTY_F1.txt 50 374.3
./oneminutedata/2015/MAY/NIFTY_F1.txt 50 714.75
./oneminutedata/2015/NOV/NIFTY_F1.txt 50 106.1
./oneminutedata/2015/OCT/NIFTY_F1.txt 50 112.15
./oneminutedata/2015/SEP/NIFTY_F1.txt 50 654.5
./oneminutedata/2016/APR/NIFTY_F1.txt 50 415.95
./oneminutedata/2016/AUG/NIFTY_F1.txt 50 199.8
./oneminutedata/2016/DEC/NIFTY_F1.txt 50 344.8
./oneminutedata/2016/FEB/NIFTY_F1.txt 50 560.35
./oneminutedata/2016/JAN/NIFTY_F1.txt 50 545.3
./oneminutedata/2016/JUL/NIFTY_F1.txt 50 508.1
./oneminutedata/2016/JUN/NIFTY_F1.txt 50 229.7
./oneminutedata/2016/MAR/NIFTY_F1.txt 50 197.75
./oneminutedata/2016/MAY/NIFTY_F1.txt 50 224.65
./oneminutedata/2016/NOV/NIFTY_F1.txt 50 181.95
./oneminutedata/2016/OCT/NIFTY_F1.txt 50 246.75
./oneminutedata/2016/SEP/NIFTY_F1.txt 50 -147.3
./oneminutedata/2017/JAN/JAN2017/NIFTY_F1.txt 50 41.1
./oneminutedata/NIFTY50_MAR2017/NIFTY_F1.txt 50 186.0
Means what ?

Opening Range is profitable or not..?
Mera tube light on nahi hua...:(
 

vagar11

Well-Known Member
#45
Means what ?

Opening Range is profitable or not..?
Mera tube light on nahi hua...:(

Suppose 10 min bar is positive, we buy and if its negative we sell. Keeping stop loss at open price.

Yes profitable. Last column represent the number of nifty pts made for that month.

/oneminutedata/2012/DEC2012/NIFTY_F1.txt 50 62.0
 

vagar11

Well-Known Member
#47
Tested for F&O stocks.
open = low/high for the first 5 min/10 min has no edge.

They just look good in hindsight.
Stats


Stock Name , Return , Number of trades in 5 months. - 5 min open = low/high.
./JAN/ACC.txt -1.01517796378 6

./JAN/ADANIENT.txt -1.66791327632 9

./JAN/ADANIPORTS.txt 4.14259213683 6

./JAN/AMBUJACEM.txt -0.593381423478 4

./JAN/ARVIND.txt -1.4140700076 7

./JAN/ASHOKLEY.txt -0.386790110865 18

./JAN/ASIANPAINT.txt -0.485434149384 3

./JAN/AUROPHARMA.txt -0.096 1

./JAN/AXISBANK.txt 1.92533972511 6

./JAN/BAJAJ-AUTO.txt 0.727258844113 3

./JAN/BANKBARODA.txt -0.965143589667 5

./JAN/BANKINDIA.txt -1.9911451571 7

./JAN/BANKNIFTY_F2.txt -0.0371939736347 1

./JAN/BHARATFORG.txt -1.0054108275 6

./JAN/BHEL.txt 0.213779990924 6

./JAN/BPCL.txt -0.400571561286 3

./JAN/CAIRN.txt -0.393838293139 3

./JAN/CANBK.txt -0.732253504582 4

./JAN/CENTURYTEX.txt -0.777783118924 3

./JAN/CIPLA.txt -0.190572303832 2

./JAN/CNX-IT.txt -0.164092820765 2

./JAN/COALINDIA.txt -0.553864354589 5

./JAN/DISHTV.txt -1.10089588972 7

./JAN/DLF.txt -1.89227879944 6

./JAN/DRREDDY.txt 0.652067399009 4

./JAN/EICHERMOT.txt 0.38897061019 3

./JAN/GAIL.txt 1.5049610131 3

./JAN/GOLDBEES.txt -0.150071285875 2

./JAN/HCLTECH.txt -0.0583498657953 1

./JAN/HDFCBANK.txt -0.0602388292406 1

./JAN/HDIL.txt -1.45223915694 8

./JAN/HEROMOTOCO.txt 0.99448022374 3

./JAN/HINDALCO.txt 0.753318981784 4

./JAN/HINDPETRO.txt 1.12785555518 3

./JAN/HINDUNILVR.txt -0.0680058589663 1

./JAN/IBREALEST.txt -1.22177257123 4

./JAN/ICICIBANK.txt -0.0358657590957 3

./JAN/IDBI.txt -2.0157567024 19

./JAN/IDEA.txt 1.49094817464 6

./JAN/IDFC.txt 4.61791528257 16

./JAN/INDIAVIX.txt -0.303577688316 3

./JAN/INDUSINDBK.txt -0.153500138643 2

./JAN/INFRATEL.txt -1.0997726325 3

./JAN/INFY.txt -0.297435897436 1

./JAN/ITC.txt -0.637061542118 4

./JAN/JINDALSTEL.txt -0.374252288247 3

./JAN/JSWSTEEL.txt -0.729820432357 2

./JAN/KOTAKBANK.txt -0.616586429851 6

./JAN/LICHSGFIN.txt -1.01914753922 4

./JAN/LT.txt -0.516670226142 2

./JAN/LUPIN.txt -0.297189704342 6

./JAN/M&M.txt -0.660340531512 4

./JAN/NIFTY-MIDCAP50.txt -0.0470026755369 1

./JAN/NIFTY_F2.txt -0.0508646998983 1

./JAN/NIFTYBEES.txt -0.253145399407 5

./JAN/NMDC.txt 0.938063691009 9

./JAN/NTPC.txt -0.731074634781 6

./JAN/ONGC.txt -0.904598714485 5

./JAN/PFC.txt -0.63857086129 5

./JAN/PNB.txt -0.718016873078 4

./JAN/POWERGRID.txt 0.161684292915 6

./JAN/RCOM.txt 0.848221209084 19

./JAN/RELCAPITAL.txt -0.495989670617 3

./JAN/RELINFRA.txt -0.267720674946 2

./JAN/RPOWER.txt -3.15644423151 21

./JAN/SAIL.txt 5.67423091106 17

./JAN/SBIN.txt 2.52922000526 5

./JAN/SIEMENS.txt -0.216101694915 1

./JAN/SUNPHARMA.txt 2.00486474534 1

./JAN/SUNTV.txt -0.536542755297 3

./JAN/TATAGLOBAL.txt -1.09839085145 8

./JAN/TATAMOTORS.txt -0.681514884997 4

./JAN/TATAMTRDVR.txt -0.946099928569 6

./JAN/TATAPOWER.txt -1.17461846973 14

./JAN/TATASTEEL.txt -0.248550465774 2

./JAN/TCS.txt -0.17206275706 2

./JAN/TECHM.txt -0.238450151599 2

./JAN/TITAN.txt -0.139421401185 1

./JAN/ULTRACEMCO.txt -0.430596416154 1

./JAN/UNIONBANK.txt -1.28526207343 7

./JAN/UPL.txt 2.4513183355 4

./JAN/VOLTAS.txt 0.855183268232 4

./JAN/WIPRO.txt -0.458390175038 3

./JAN/WOCKPHARMA.txt -0.355966411271 3

./JAN/YESBANK.txt -0.0928217821782 1

./JAN/ZEEL.txt -0.432934846638 3
 

onequorauser

Well-Known Member
#48
Is it a good idea a buy on gap up days ?

Among 2279 days, nifty gapped up by more than 20 pts. for 472 days.
The sum of close-open for those days is -1445.

Is it a good idea to sell on gap down days ?
Gap down 227 days. Among those 227 days, 116 days open-close was positive.
Sum of open-close for those 227 days is -39.
I was trying out something similar but havent been able to complete it... IMO % change would be a better measure than points alone as 20 points on Nifty at 10000 may be different from say 7000
 

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