System Implementation Exercise

Dear friends,

Kama System, (Parameters 8,2,3,1)

Trades on 29-12-2006
Buy: none
Sell: none

Singals based on eod 29-12-2006
Buy:
D-LINK
TCS
STROPTICAL
BRFL
STAR
THERMAX
JINDALSTEL
PLETHICO
Sell:
CREWBOS
J&KBANK

Current Portfolio
350 NUCLEUS on 15-12-2006 @563.5, SL @662.77, CMP@682.35, P/L= 21.1%
200 DRREDDY on 18-12-2006 @810, SL @770.64, CMP@811.2, P/L= 0.15%
150 ULTRACEMCO on 18-12-2006 @1029, SL @1044.67, CMP@1099.65, P/L= 6.87%
350 TULIP on 20-12-2006 @510.05, SL @502.74, CMP@522.7, P/L= 2.49%
550 BHARTISHIP on 21-12-2006 @351.05, SL @353.73, CMP@372.2, P/L= 6.03%
200 MPHASIS on 22-12-2006 @290.6, SL @288.56, CMP@303.75, P/L= 4.53%
80 CENTURYTEX on 28-12-2006 @703.15, SL @701.86, CMP@738.8, P/L= 5.08%

Invested Capital 999,542.00
Balance Cash 458.00

TradeLog.xls attached.

Regards
Siva

Attached Files

Trade Log(Siva 29-12-2006).xls (58.5 KB, 13 views)

hi all
Owner : rpc , System : KAMA , Settings : Default
Trade details (based on signals on 28/12/06)
Buy : None - since fully invested
Sell : None - No SELL signal , no SL hit

Signals generated based on EOD of 29/12/06
Buy : (arranged in preferntial order of 5 day ROC of 5 day EMA of Volume)
PLETHICO
D-LINK
STAR
JINDALSTEL
THERMAX
STROPTICAL
TCS
BRFL

Sell :
GTLINFRA
CREWBOS
J&KBANK


DISCLAIMER
The BUY and SELL signals are posted as a part of the System Implementation Education Exercise Only.
These are not to be construed as recommendations. Anybody acting on these would be solely responsible
for his/her own acts.

with best wishes
rpc

Attached Files

Trade LogRpc.zip (11.2 KB, 12 views)

Hi friends,

We started this paper-trading exercise on 7-Dec-2006.
Not worth making comments now.. as we are less than a month only, but still...

So far this was a good exercise for me.
It gave me good understanding of the basics of systematic trading,
and most importantly, it taught me how to be a disciplined trader.

About rpc's tradelog file (29-12-2006) :-
rpc is not maintaining trailing stoploss, initial stoploss only.
From his log, 10 sales out of 11 were hit by stoploss.
His total P/L is now at -85803.80, mainly because of the above reason.
(I am keeping a trailing stoploss on eod basis )

About my tradelog (29-Dec-2006) :-
Any rounding on the number of shares to trade?
I am rounding the share_size to nearest 50 or 10 depending on the price.
Stoploss hit on 3 stocks on buy date itself, ie; day_low went below 5% of buy price
CREWBOS on 8-Dec-06
PIONEEREMB on 18-Dec-06
EDUCOMP on 19-Dec-06

Things to finalise
Ranking of buy signals & number of signals to honor
Refining Entry & Trailing stoploss rules
....

I would love to see other tradelogs also. What about a meeting on this weekend?

Thanks & Regards
Siva

Hi siva,

As most of the people are on vacation and not available, we may have to skip this week-end meeting. Probably, in the "Next Year" we will have full strength and have a week-end meeting.

Your observations on the exercise so far are very well conceived. The points you have mentioned may be taken up in the next meeting.

Regards

-Anant

Dear friends,

Trades for today (29-12-2006) are:
******************
BUY:

PIONEEREMB 700 nos @ 259.00 SL=246.05
-------------------------
SELL:

NIL
******************

MABIUTS-HB has given the following signals based on EOD of today (29-12-2006).

********************

BUY:

ALLCARGO ............. APOLLOTYRE ........ AUROPHARMA ... DRREDDY
EDUCOMP .............. BANKINDIA ......... GAMMONIND ..... JYOTISTRUC
MATRIXLABS .......... POLARIS ............. RUCHISOYA ....... STAR
TATAPOWER ........... UTIBANK ............. UTVSOF

--------------------------

SELL:

AMTEKINDIA .......... AVENTIS .............. BHEL ............... CIPLA
EIHOTEL ................ ERACONS ............. GHCL ............... HINDLEVER
KLGSYSTEL .......... RCOM ................... RELIANCE

****************************
KLGSYSTEL bought on 22-12-2006 has given SELL signal today. It will be sold on next trading day at opening price.
****************************

PRESENT PORTFOLIO POSITION (Based on Closing Prices of 29-12-2006):

MOSERBAER .. bought on 14-12-06 Present profit 16.22%
SHIV-VANI .... bought on 14-12-06 Present profit 26.84%
DISHMAN ...... bought on 21-12-06 Present profit 9.67%
KLGSYSTEL .... bought on 22-12-06 Present profit 9.86%
PIONEEREMB ... bought on 29-12-06 Present profit 3.51%

******************************



THESE ARE NOT ANY RECOMMENDATIONS TO BUY OR SELL. THESE ARE SIGNALS GENERATED BY THE SYSTEM BEING TESTED UNDER SYSTEM IMPLEMENTATION EDUCATION EXCERCISE. ANYBODY ACTING ON THESE WILL BE SOLELY RESPONSIBLE FOR THEIR ACTIONS.

************************************

Regards

-Anant

Hi Friends

First, my apologies.. i could not continue with the SIE as i was travelling. It is nice to see the the SIE is still in progress.

Like Siva pointed out it would have been a great experience for the participants in systematic and disciplined trading.

Looks like it is time to take stock of the SIE and discuss the many questions that have been thrown up by the SIE. Like Ananth pointed out we can meet in the new year to review.

warm regards

Karthik

Hi Friends,

We have experimented with different systems for about 3 weeks and the experience has been thrilling. Though no real money was involved the excitement and feelings were no less than real trading. The experiment started just before the substantial crash. Here I remember, Sanjay's question when I had done back testing of four different strategies under different market conditions. Refer to:

http://www.traderji.com/63837-post308.html

He had asked me why I had taken entry near the beginning of market crash. Now we also did the same. And the result was almost all Buys were hit by 5% stoploss (The stoploss concept is now being discussed actively by Ajay, Karthik and others). However, the MABIUTS-HB hit only one stoploss, other Buys were terminated by SELL signals, although resulting in some loss, but the losses were not as high as stoploss. On going through the algorithm to determine why stoploss was hit in one case, I have found that the criteria for BUY/SELL conditions given in the program are not adequate. In this regard the live trading excercise has helped in discovering the shortcomings of the system. I am now describing the shortcomings and the remedy. I would like the members of 'System Implementation Excercise' to go through it and suggest whether I can change over to the modification during the rest of the excercise.

The present MABIUTS-HB system gives a BUY signal when the histogram rises above the Bollinger Band Bottom (BBB) to the extent of at least 1% of the BBB. Similarly it gives a SELL signal when the histogram falls below the Bollinger Band Top (BBT) by atleast 1% of BBT.This arrangement gives the signals with much less whipsaws. The drawbacks I discovered are:

1) If the histogram crosses the Band to the extent of less than 1% there is no BUY/SELL signal and next day if it goes beyond 1% we do not get any signal. This results in missing BUY/SELL opportunities which may be crucial ones. Therefore, I want to remove this restriction of 1% level of crossover. This may introduce a few more whipsaws but would be worth taking in order not to miss good opprtunities of entering/exiting the trades.

2) In an uptrend due to a small pull down, the histogram crosses below the BBT, it results in a SELL signal and we follow it and sell the stock. We then wait for a BUY signal. Now imagine, the uptrends continues and histogram does not fall below the BBB. There is no BUY signal. Instead the histogram may again go above BBT and later fall below it generating a SELL signal again, at a much higher price. But we can not take advantage of this SELL signal as we have already sold and there was no buy signal in between. To solve this we must introduce another BUY condition. This is done by generating a BUY signal when the histogram crosses above the BBT. [In AFL this is written as Cross(D,BBT)]. I would like to introduce this extra condition and follow it in the rest of the testing excercise.

3) A smilar situation arises in down trend. After histogram crosses above BBB generating BUY signal, it may again fall below it (meaning prices fall further) and later go above BBB generating another BUY signal without a SELL signal in between. This prevents us from taking advantage of lower prices. To avoid this we must have a SELL condition when the histogram crosses and goes below the BBB [Cross(BBB,D)]. I would like to make this change and use it in the rest of testing process.

Introduction of above three modification may introduce a few more whipsaws but it makes the system perform better and restrict the losses to much lower levels in case of sudden crashes. Members may please go through the reasonings above and approve the changes in the AFL to be used henceforth.

It was decided in the chat room session earlier that any member wanting changes to the system should present the case to the members with reasons and change only if the members approve. Therefore, I am presenting my case here and seeking your approval.

I am attaching the modifued AFL herewith. Change the .txt extension to .AFL before tesing it in AmiBroker.

Regards

-Anant

Attached Files

MABIUTS-HB.txt (743 Bytes, 59 views)

Hi Siva
First of all let me wish you, all fellow experimenters and all forum members a VERY HAPPY NEW YEAR 2007 !!!
I agree with you regarding Trailing Stop Loss.As I understand it we move SL as price of security
increases.In my exercise I have not done so.I have followed initial SL only.
I would like to know how you are arriving at Trailing Stop Loss(TSL).I would specifically like to know
about TSL arrived for POLARIS and JSTAINLESS.I am using the database posted by Soumya_b.
I think in case of POLARIS there is slight difference
in Entry Price.On 7-12-06 the High was 137.4 whereas your Entry Price is 137.5.Based on 137.5 SL
@ 5 % is 130.63. The Low on 12-12-06 is 125.55 yet perhaps on the basis of TSL you have sold @ 143.07
Pls explain how did we get 143.07.
In case of JSTAINLESS entry price is 114.65.SL @ 5 % is 108.92.The KAMA system generated a SELL signal
@ 115.2 on 11-12-06 but the shares are sold on 12-12-06 @ 116.66.Pls inform how TSL was arrived at 116.66
As you are aware I am not well conversant with KAMA system.I am just following it and trying to learn.
I hope you will explain my queries.
Thanking you
with best wishes
rpc

Hi rpc,

Trailing SL 5% of close price

JSTAINLESS :
Bought on 7-Dec-06 @114.65 (open price), SL@108.92,
close on 7-Dec-06 @122.80, StopLoss raised to 116.66
on 11-Dec-06 day_low(112.50) went below SL(116.66), assuming stoploss hit (trade is over)
Exploration on 11-Dec-06 eod generated a sell signal but no use, as we are already out of trade

P0LARIS :
Thank you for pointing out the mistake, buy price was wrong (quoted 8-dec open price instead of 7-dec open price)

Bought on 7-Dec-06 @133.00 (open price), SL@126.35,
close on 7-Dec-06 @135.50, StopLoss raised to 128.73
close on 8-Dec-06 @147.60, StopLoss raised to 140.22
close on 11-Dec-06 @150.60, StopLoss raised to 143.07
on 12-Dec-06 day_low(125.55) went below SL(143.07), assuming stoploss hit (trade is over)

BTW, check PIONEEREMB on 18-dec, day_low went below your SL, same with CREWBOS

Regards
Siva

Dear friends,

Kama System, (Parameters 8,2,3,1)

Trades on 2-jan-2007
Buy: none
Sell: stoploss hit on NUCLEUS @662.77

Singals based on eod 2-jan-2007
Buy:
HINDALC0
BANKINDIA
JPASSOCIAT
WELGUJ
HCLTECH
FOURSOFT
KALECONSUL
MARUTI
CUB
BAJAJAUTO
AUROPHARMA
BIOCON
Sell:
INDIABULLS (what happened with indiabulls today???
http://www.nseindia.com/marketinfo/c...bol=INDIABULLS)

Current Portfolio
200 DRREDDY on 18-12-2006 @810, SL @770.64, CMP@807.4, P/L= -0.33%
150 ULTRACEMCO on 18-12-2006 @1029, SL @1073.5, CMP@1130.5, P/L= 9.87%
350 TULIP on 20-12-2006 @510.05, SL @502.74, CMP@529.2, P/L= 3.76%
550 BHARTISHIP on 21-12-2006 @351.05, SL @353.73, CMP@368.6, P/L= 5%
200 MPHASIS on 22-12-2006 @290.6, SL @288.56, CMP@301.6, P/L= 3.79%
80 CENTURYTEX on 28-12-2006 @703.15, SL @710.6, CMP@748, P/L= 6.38%

Invested Capital 802,317.00
Total P&L (16,074.50)
Balance Cash 197,683.00

Regards
Siva