Bakwaas Trading

augubhai

Well-Known Member
Hi sir .. need a little help of yours.

I have a made a trading system (momentum based, intraday). The system works on stock futures. Have backtested it from 2010 till date... it is giving decent returns on a portfolio of 40 scrips which ofcourse is not tradeable with my account size. So i reduced the portfolio to 10 stocks and it was still pretty good with a car/mdd of around 8. So i thought lets try this system for 4 scrips initially, but what i found that the main advantage of the system was its diversification.. when i tested it for only 4 positions open at a time the results came down dramatically.

So i have decided to go with 10 stocks only and keep the system as it is.

Now since there is no vendor with which i could autotrade the system. Symohony is there but their partner brokers would charge hefty brokergae i.e 20 per order which would come out to be 20*15*2*2=1200 per day.

So again i decided i should do it then coz the system was worth it. I would like to know from that how to close each stock candle at a diff minute.. eg for first stock it closes at 1001, for 2nd it closes at 1002 and so on. This way i will be able to tarck easily as decisions are taken at the close of the candle only.

I am asking from you coz i read this in some of your posts that you had done this for one of your systems.

Thanks for reading..
Any suggestions and comments are welcome.

Thx
Hi Purusharth,

If you have Amibroker, then the code given here should work... http://www.traderji.com/trading-diary/90116-dasara-system-26.html#post897072
You will have to paste this code in the AFL above your current system code. (that's how I do it, though there might be better methods of doing the same thing)

Since the code is looping, it may be resource intensive for 10 scrips. Try it out and let me know if face issues.

Change the first line of the code to
Period=10;

And in the section below, add the scrips that you need with the shifts - 1,2,3,4....9,10
Shift=IIf(Name()=="YESBANK13NOVFUT",1,Shift);
Shift=IIf(Name()=="DLF13NOVFUT",2,Shift);
Shift=IIf(Name()=="SBIN13NOVFUT",3,Shift);
Shift=IIf(Name()=="AXISBANK13NOVFUT",4,Shift);
Shift=IIf(Name()=="ICICIBANK13NOVFUT",5,Shift);

In Amibroker, select the 1-minute timeframe.
 

augubhai

Well-Known Member
Sir for this will i have to open only 1 chart window? And the stocks would change on their own?

Thx
And here's the code snippet that you can add to get the countdown timer for each scrip... This code can be added anywhere in the code

function GetSecondNum()
{
Time = Now( 4 );
Seconds = int( Time % 100 );
Minutes = int( Time / 100 % 100 );
Hours = int( Time / 10000 % 100 );
SecondNum = int( Hours * 60 * 60 + (Minutes-Shift) * 60 + Seconds );
return SecondNum;
}
TimeFrame = 60*Period;
SecNumber = GetSecondNum();
Newperiod = SecNumber % TimeFrame == 0;
SecsLeft = SecNumber - int( SecNumber / TimeFrame ) * TimeFrame;
SecsToGo = TimeFrame - SecsLeft;

// You might need to customize this code per the requirements of your specific AFL
zy=0;
zyincr = 14;
GfxSetBkMode(2);
GfxSelectFont("Courier New", 22, 700);
GfxSetBkColor(colorYellow); GfxSetTextColor(colorRed);GfxTextOut("" + WriteIf(SecsToGo<61,"**"+SecsToGo,""),5, zy=zy+zyincr);
 
THANKS SO MUCH SIR.. I CAN SEE THE the time shifted 10 min chart.. wil this chart change to the other scrip after 1 min ? ( i guess i have to test it with live feed for t to do so)

Plz advise

Thanks
 

dell

Well-Known Member
sir , i want to ask u a question ?
if u are trading than ,in this five sys performance which two one who will prefer most and why ?
2 lots , 4lakh capital ,4yrs 3month testing period ,bnf-1
just as curosity , want to know that what an experienced person will choose .......





this is yearly report for same :
1 2
3 4
5





 
Last edited:

augubhai

Well-Known Member
sir , i want to ask u a question ?
if u are trading than ,in this five sys performance which two one who will prefer most and why ?
2 lots , 4lakh capital ,4yrs 3month testing period ,bnf-1
just as curosity , want to know that what an experienced person will choose .......





this is yearly report for same :
1 2
3 4
5





Dell,

I am not sure if I understand your question completely... but generally, here are a few things that I would look for in a system.

1. Consistency: Should work out for long periods, preferably in different markets, and market conditions.
2. Low Drawdown: This is actually a function of points 2 and 3 below.
3. High Win Rate: High win rate also reduces the drawdown size, and helps to maximize the % of capital employed per trade.
4: Ratio of average Win Size to Loss Size: I prefer having a win size that is a multiple of the average loss size. (The size should be measured after costs.) That way, instead of worrying about 1 or 2 big losses happening, and devastating the account, I would be hoping for the big wins occurring and giving me the opportunity to supersize my account.

If there are 2 or more systems, then I would prefer them to have a low or negative correlation. That is when 1 system is experiencing a drawdown, the others would compensate for it and reduce the impact of the drawdown. Altrenatively, you could play the same system in 2 markets that are uncorrelated or -vely correlated.

All the above points are to maximize the Return on Capital Employed (ROCE). I think that the correct measure is the ROCE, and not the number of points earned. If I have a system that has a low loss size, and a high win rate, resulting in low drawdowns, I could confidently plonk down a high % of my capital on it...

BTW, i am not "sir"... and i may be experienced, but the quality of experience may not be the best :). Still learning the basics -> http://www.schoolexpress.com/fws/cat.php?id=2514
 

augubhai

Well-Known Member
Embellishing my thread :D. The last quote strikes a chord.

Some quotes from Traders :


Successful investing is not about being right, it is about making money. Most good traders are usually wrong many times. They will lose small amounts often and make big amounts occasionally. What matters is how much they make over a large number of trades. Don’t try to always be right, simply work to make money - Tyler Bollhorn

The nature of the markets is by definition uncertain. The outcome of a single trade can’t be predicted. Novice traders wrongly assume losses can be avoided. Nothing could be further from the truth. Losses are an integral part of trading. Traders can’t control the fact losses will occur. What you can control though is the size of your losses. Once you firmly grasp this concept you will understand and willingly accept working and trading in an environment characterized by ambiguity, uncertainty and doubt. - Dennis Gartman

If you really believe in an uncertain outcome, then you also have to expect that virtually anything can happen in the market. Otherwise, the moment you let your mind hold onto the notion that you know, you stop taking all of the unknown variables into consideration. – Mark Douglas

I’ve said it before, and I’m going to say it again, because it cannot be overemphasized: the most important change in my trading career occurred when I learned to divorce my ego from the trade. Trading is a psychological game. Most people think that they’re playing against the market, but you’re really playing against yourself. You have to stop trying to will things to happen to prove that you’re right. Listen only to what the market is telling you NOW. The sole objective of trading is not to prove you’re right, but to hear the cash register ring. - Martin Schwartz

I know it may sound strange to many readers, but there is an inverse relationship between analysis and trading results. More analysis or being able to make distinctions in the market’s behavior will not produce better trading results. There are many traders who find themselves caught in this exasperating loop, thinking that more or better analysis is going to give them the confidence they need to do what needs to be done to achieve success. It’s what I call a trading paradox that most traders find difficult, if not impossible to reconcile – Mark Douglas
 

augubhai

Well-Known Member
I have traded NF ORB for 3 series now. The current system takes the trade in only 1 direction, and has a ATR based TSL. Here was the theoretical pre-costs performance (average points/trade) of my system considering different ORB periods (Actual performance was different):

Code:
OR End Time	[B]9:16	9:17	9:18	9:19	9:20	9:25	9:30	9:45	10:00[/B]

NIFTY	Avg	5.85	[COLOR="Blue"]6.96[/COLOR]	6.08	5.46	4.82	[COLOR="Red"]4.55[/COLOR]	5.25	6.23	5.25

NIFTY	Jan	8.74	9.05	8.14	6.47	5.58	6.12	[COLOR="Red"]5.39[/COLOR]	[COLOR="Blue"]13.31[/COLOR]	10.73
NIFTY	Feb	5.12	[COLOR="Blue"]6.64[/COLOR]	5.70	6.03	5.93	3.91	6.12	[COLOR="Red"]1.83[/COLOR]	2.96
NIFTY	Mar	3.70	[COLOR="Blue"]5.20[/COLOR]	4.39	3.89	2.94	3.62	4.25	3.54	[COLOR="Red"]2.05[/COLOR]
NIFTY	Apr									
SBIN	Apr
  • The average ORB across all time periods listed above is 5.61 points/trade. (At NF=6700, my cost is 1.30 points, and slippage is less that 1 point). So, ORB has been profitable, but not by much.
  • On the average, ORB is +ve for all the Opening Range periods.
  • In this data set, there is no identifiable optimum Opening Range. In some months, a longer OR period worked better, and in others shorted OR period worked better.
 
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