System Implementation Exercise

asnavale · #**441** 15th March 2007, 08:55 PM

Dear Friends

Following are the trades on 15-03-2007 based on the signals generated on 14-03-2007

Code:

SELL:

SYMBOL      QUANT   SELL Date    Sell Price    Net P/L   
_                        N I L                           
BUY:

SYMBOL      QUANT    BUY Date     BUY Price    STOP LOSS 
__                       N I L

MABIUTS-HB system (With RSI Filter) has given the following signals based on EOD of 15-03-2007:

Code:

BUY:

NIL

SELL:

NIL

PRESENT PORTFOLIO

Code:

SYMBOL      Buy Date    Price   STOPLOSS     CMP         P/L    
 IDBI        31-01-07    103.30    98.15      73.95    -28.41%
 TTML        01-02-07     24.80    23.55      20.85    -15.93%
 RPL         06-02-07     69.25    65.80      68.90     -0.51%
 FINANTECH   08-02-07   1951.00  1853.45    1844.40     -5.46%
 WOCKPHARMA  28-02-07    343.70   326.50     368.70      7.27%  
 UTVSOF      09-03-07    301.00   285.95     296.00     -1.66%

Cash in Hand: 339156.92

Regards

-Anant

***************** DISCLAIMER *****************

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.

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

rpc · #**442** 16th March 2007, 12:25 AM

hi all

Owner : rpc , System : KAMA , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :

Code:


Ticker       Qty   Cost      Stop Loss   
BIOCON       210   472.00    448.40

Sells:

Code:


RENUKA 280 @ 358.85 PROFIT 532.97(0.54%)
INDIABULLS 230 @ 422 LOSS 748.66(-0.77%)
EKC 120 @ 868.70 PROFIT 5134.75(5.22%)

Based on signals generated and ranking criteria, picks for tomorrow

Code:


ANSALHSG     CMC           GLENMARK

Based on SL/TSL hit sells for tomorrow

Code:


NONE

Signals generated based on EOD of 15/03/07

Buy :

Code:


ANSALHSG     CMC           GLENMARK      UTVSOF

Sell :

Code:


NONE

DISCLAIMER

Code:


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 responsiblefor his/her own acts.

with best wishes
rpc

rpc · #**443** 16th March 2007, 12:26 AM

hi all

Owner : rpc , System : KS , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :

Code:


Ticker       Qty    Cost     Stop Loss   
NONE

Sells:

Code:


BAJAJHIND 540 @ 174.15 LOSS 5454.01(-5.52%)
ROLTA 280 @ 408 PROFIT 16621.08(17.16%)
UTVSOF 340 @ 297.80 PROFIT 3317.28(3.41%)

Based on signals generated and ranking criteria, picks for tomorrow

Code:


JAGRAN

Based on SL/TSL hit sells for tomorrow

Code:


NONE

Signals generated based on EOD of 15/03/07

Buy :

Code:


JAGRAN

Sell :

Code:


NONE

DISCLAIMER

Code:


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

asnavale · #**444** 17th March 2007, 01:44 PM

Dear Friends

Following are the trades on 16-03-2007 based on the signals generated on 15-03-2007

Code:

SELL:

SYMBOL      QUANT   SELL Date    Sell Price    Net P/L   
_                        N I L                           
BUY:

SYMBOL      QUANT    BUY Date     BUY Price    STOP LOSS 
__                       N I L

MABIUTS-HB system (With RSI Filter) has given the following signals based on EOD of 16-03-2007:

Code:

BUY:

NIL

SELL:

BHARTIARTL     HCLTECH     ICICIBANK     INDIABULLS

PRESENT PORTFOLIO

Code:

SYMBOL      Buy Date    Price   STOPLOSS     CMP         P/L    
 IDBI        31-01-07    103.30    98.15      73.45    -28.90%
 TTML        01-02-07     24.80    23.55      20.70    -16.53%
 RPL         06-02-07     69.25    65.80      68.05     -1.73%
 FINANTECH   08-02-07   1951.00  1853.45    1845.65     -5.40%
 WOCKPHARMA  28-02-07    343.70   326.50     364.25      5.98%  
 UTVSOF      09-03-07    301.00   285.95     296.10     -1.63%

Cash in Hand: 339156.92

Regards

-Anant

***************** DISCLAIMER *****************

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.

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

asnavale · #**445** 17th March 2007, 01:53 PM

Quote:

Originally Posted by sandhuks

Hi Anant,

Tks for the reply, and results are not bad for this market and considering it is a trend following system.. will hv large drawdowns..in such markets..

..do you hv a short summary of backtest results for how many years you tested -to give you confidence in the system..this data can be impt in sticking with a sys in downturn.
Some thoughts on the results-
-the ttl.drawdown ( of portfolio) is not clear ie.maxdrawdown over entire period
- I agree stops are not a good idea.
- I think drawdowns need to be addressed in any system foremost.profits will follow.
- increasing the number of trades can go a long way in ensuring more uniform performance rather than volatile perf.(even if larger no of loss making trades)

I've been working on developing a system and keep running into these issues.

Hi Sandhu,

I have not stored the results of the backtest for present system. However, the results of backtest for earlier systems are available. The summary of those tests are given in the related thread "Experiments in Technical Analysis".

As far as the present results being posted daily, I have not calculated all the data you asked. However, the results are recorded in an Excel Workbook. I am attaching the same for you to go through.

Regards

-Anant

pshirurkar · #**446** 17th March 2007, 02:41 PM

hi mr asnavale,
i have gone through all the pages in this thread and notice what a tremendous efforts the team members have taken on this thread since inseption
after going through your feelings on dat 7th and 11th of this month it seems you are some what worried about the . findings, but as i know market is ,running neither on ta nor on sentiments . it is running .on the combinations of so many factors including the above two, since last few days
let the dust inthe market setteled and you definately find your s/w very fruitfulland the efforts you and your team has taken will definately be appreciated .
i am very much positive on your s/w and the result so far generated

with regards.

rpc · #**447** 19th March 2007, 11:27 PM

hi all

Owner : rpc , System : KAMA , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :

Code:


Ticker       Qty   Cost      Stop Loss   
ANSALHSG     350   280.00     266.00
CMC           70  1308.00    1242.60  
GLENMARK     160   602.00     571.90

Sells:

Code:


NONE

Based on signals generated and ranking criteria, picks for tomorrow

Code:


NONE

Based on SL/TSL hit sells for tomorrow

Code:


NONE

Signals generated based on EOD of 16/03/07

Buy :

Code:


NONE

Sell :

Code:


NONE

DISCLAIMER

Code:


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 responsiblefor his/her own acts.

with best wishes
rpc

rpc · #**448** 19th March 2007, 11:28 PM

hi all

Owner : rpc , System : KS , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :

Code:


Ticker       Qty    Cost     Stop Loss   
JAGRAN       260    379.00   360.05

Sells:

Code:


NONE

Based on signals generated and ranking criteria, picks for tomorrow

Code:


NONE

Based on SL/TSL hit sells for tomorrow

Code:


NONE

Signals generated based on EOD of 16/03/07

Buy :

Code:


NONE

Sell :

Code:


NONE

DISCLAIMER

Code:


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

rpc · #**449** 20th March 2007, 12:04 AM

hi all

Owner : rpc , System : KAMA , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :

Code:


Ticker       Qty   Cost      Stop Loss   
NONE

Sells:

Code:


NONE

Based on signals generated and ranking criteria, picks for tomorrow

Code:


ORCHIDCHEM   MPHASIS

Based on SL/TSL hit sells for tomorrow

Code:


ANSALHSG

Signals generated based on EOD of 19/03/07

Buy :

Code:


ORCHIDCHEM   MPHASIS

Sell :

Code:


ANSALHSG

DISCLAIMER

Code:


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 responsiblefor his/her own acts.

with best wishes
rpc

rpc · #**450** 20th March 2007, 12:05 AM

hi all

Owner : rpc , System : KS , Settings : Default, Ranking basis : MAVol 5 days/MAVol 20 days
(Volume average calculated after excluding maximum and minimum values).Visual inspection of
volume will also be resorted to.

Trading plan
Maximun Pos Size : 10, Initial SL : 5 %, Trailing SL : 95 % of Highest Close since BUY
Maximun Buys on a day : 0-3

Trades :

Buy :

Code:


Ticker       Qty    Cost     Stop Loss   
NONE

Sells:

Code:


NONE

Based on signals generated and ranking criteria, picks for tomorrow

Code:


NIITTECH

Based on SL/TSL hit sells for tomorrow

Code:


NONE

Signals generated based on EOD of 19/03/07

Buy :

Code:


NONE

Sell :

Code:


NONE

DISCLAIMER

Code:


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

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