Creating a trading system from scratch

[UberMachine]

this note pad opening!!!!!!!!!!

View attachment 30674

Runpython trading_system.py

 

[vinit_7801]

@Shivam_
I am working on intraday data also and my present strategy tanked heavily in the last 10 days (I failed to place an order on Monday and that's striking hard).
I am also working on the fastbt library and preparing a web interface to try things out.

My research so far has shown that the chances of winning in intraday by retailers are slowly turning out to be negligible and the only way to make some money is to go long and short almost all the time and also spread your investment horizon over different time periods

Can we add more position sizing strategies??
Because I observe that decreasing stop-loss from 3 to 2 and increasing leverage from 2 to 4 dramactically increased annual returns
and if we further decrease the sl to 1.75 and increase the leverage to 4.5 we get more yields at same risk...!!!

 

[Shivam_]

Master i heavily recommend using PIVOTS in any startegy,and i never try to sell at support or buy at resistance

 

[UberMachine]

Can we add more position sizing strategies??
Because I observe that decreasing stop-loss from 3 to 2 and increasing leverage from 2 to 4 dramactically increased annual returns
and if we further decrease the sl to 1.75 and increase the leverage to 4.5 we get more yields at same risk...!!!

Yes you can try out different options for SL and leverage but look for drawdown. A 10% drawdown at 4.5 would result in an actual loss of 45%.

And strictly speaking, we are not using any position sizing. We just create an equi-weighted stock portfolio at the start of the day. You can try out different weights though for the stocks

 

[UberMachine]

Master i heavily recommend using PIVOTS in any startegy,and i never try to sell at support or buy at resistance

Pivot trading points, in my opinion, should work on some basis of max min levels and this level needs to be dynamic over time (I haven't tried out the dynamic part yet).
Let's take an example, so my pivot points for NIFTY are +100, +200, -75, -175 and base a strategy out of it. Now, I need to alter this range dynamically over time since the NIFTY may either trend or move sideways (I think its called choppy). Position sizing is the key here and my capital management should be more rigorous.
The parameters to this system should be the look back period (to determine the pivot points) and some percentage to adjust the stops (let's call it gamma) and of course, the data. My guess is price action trading is one spin off of pivot points.
Can you suggest some basic pivot strategy to start with?

 

[vinit_7801]

btw i have one problem most of the module doesnt get recognize even in jupyter notebook...

 

[UberMachine]

btw i have one problem most of the module doesnt get recognize even in jupyter notebook...

Check whether fasbt is correctly installed using conda list.
Then, restart the kernel and try it out.
If it doesn't work tryout from fasbt.rapid import * inside a python terminal

 

[vinit_7801]

Yes you can try out different options for SL and leverage but look for drawdown. A 10% drawdown at 4.5 would result in an actual loss of 45%.

And strictly speaking, we are not using any position sizing. We just create an equi-weighted stock portfolio at the start of the day. You can try out different weights though for the stocks

btw @UberMachine what should be the capital one should risk per day???
zerodha varisty says 10% per day is fine so based on that
i put 10% cap for a day..out of capital of 2500!!!

 

[vinit_7801]

Check whether fasbt is correctly installed using conda list.
Then, restart the kernel and try it out.
If it doesn't work tryout from fasbt.rapid import * inside a python terminal

still not working i think it is because of different python version
how to can python in jupyter notebook..??

 

[UberMachine]

still not working i think it is because of different python version
how to can python in jupyter notebook..??

1. Open a terminal and type python
2. Type from fastbt.rapid import *
3. This should confirm that fastbt is properly installed if it returns no errors