daSARa system
- Thread starter augubhai
- Start date
Feb series results:
Traded ORB system and TV system on all except 2 days in this series.
Capital utilization (all trades were NRML): 75 to 95%
Net capital change (after costs): +8.98%
This was a bad series for me. Was lucky that it ended +ve.
Cumulative net capital (after costs) change for the Jan and Feb series: +27.79%
I am hoping to that, with compounding, i can gain 300% on this capital. Certainly achievable, but need to work on MM, and find better trading methods.
Traded ORB system and TV system on all except 2 days in this series.
Capital utilization (all trades were NRML): 75 to 95%
Net capital change (after costs): +8.98%
This was a bad series for me. Was lucky that it ended +ve.
Cumulative net capital (after costs) change for the Jan and Feb series: +27.79%
I am hoping to that, with compounding, i can gain 300% on this capital. Certainly achievable, but need to work on MM, and find better trading methods.
This is how my trading capital fluctuated in this series. Initially, it was only losses, and I had deep worries until I caught a 100 point move on 13th. i was lucky to have missed trading on 2 days - which would have been losers. Lucky to have scraped through this series.
30/01/2014 100.00%
31/01/2014 95.26%
03/02/2014 94.42% including monthly brokerage
04/02/2014 91.73%
05/02/2014 88.84%
06/02/2014 87.92%
07/02/2014 86.80%
10/02/2014 90.05%
11/02/2014 88.52%
12/02/2014 88.52% did not trade
13/02/2014 104.41%
14/02/2014 101.19%
17/02/2014 100.18%
18/02/2014 100.18% did not trade
19/02/2014 101.61%
20/02/2014 97.85%
21/02/2014 103.34%
24/02/2014 108.11%
25/02/2014 104.77%
26/02/2014 108.98%
Lessons learnt:
This month's lessons are mostly revisions, since I have faced these scenarios earlier.
30/01/2014 100.00%
31/01/2014 95.26%
03/02/2014 94.42% including monthly brokerage
04/02/2014 91.73%
05/02/2014 88.84%
06/02/2014 87.92%
07/02/2014 86.80%
10/02/2014 90.05%
11/02/2014 88.52%
12/02/2014 88.52% did not trade
13/02/2014 104.41%
14/02/2014 101.19%
17/02/2014 100.18%
18/02/2014 100.18% did not trade
19/02/2014 101.61%
20/02/2014 97.85%
21/02/2014 103.34%
24/02/2014 108.11%
25/02/2014 104.77%
26/02/2014 108.98%
Lessons learnt:
This month's lessons are mostly revisions, since I have faced these scenarios earlier.
- ORB is prone to drawdowns. I have experienced much bigger drawdowns. This month I was using TSL, and that reduced the size of the drawdown considerably.
- Also, my MM has gotten better. Earlier, a drawdown like this would have shrunk my capital much more.
- As usual, the drawdown had me worried. But I stuck to it, because of the confidence i had in the backtests.
- I am using the TV system to smoothen out the equity curve, but it is not doing it's task very well.
- The results of Jan and Feb been +ve only because I was able to have 1 good day in each. If that day had not happened or had been missed, the picture would have been different. Need to work on systems with smoother equity curves.
ORB trades:
Jan (Dec 27 to Jan 30):
Winners: +268.93 points from 9 trades at average of +29.88 points/trade
Losers: -154.42 points from 15 trades at average of -10.29 points/trade
All: +114.51 points from 24 trades at average of +4.77 points/trade
Largest win: +78 points
Largest loss: -27.96 points
Win %: 37.5%
Points per Win:Loss: 2.90
Feb (Jan 31 to Feb 26):
Winners: +247.41 points from 7 trades at average of +35.34 points/trade
Losers: -141.10 points from 10 trades at average of -14.11 points/trade
All: +106.31 points from 17 trades at average of +6.25 points/trade
Largest win: +101.32 points
Largest loss: -26.98 points
Win %: 41.2%
Points per Win:Loss: 2.50
TV trades:
Jan (Jan 16 to Jan 30):
Winners: +182.26 points from 8 trades at average of +22.78 points/trade
Losers: -78.32 points from 6 trades at average of -13.05 points/trade
All: +103.94 points from 14 trades at average of +6.54 points/trade
Largest win: +43.8 points
Largest loss: -22.45 points
Win %: 57.1%
Points per Win:Loss: 1.75
Feb (Jan 31 to Feb 26):
Winners: +381.72 points from 14 trades at average of +27.27 points/trade
Losers: -362.3 points from 20 trades at average of -18.12 points/trade
All: +19.42 points from 34 trades at average of +0.57 points/trade
Largest win: +72.32 points
Largest loss: -41.45 points
Win %: 41.2%
Points per Win:Loss: 1.50
The Win% of both system are in the same range of around 40%, but the ratio of winning points to losing points is much higher for ORB. Backtests had also predicted that ORB is better, but since I have not yet found a better system, I will continue with the TV system for March.
I have been surprised by the number of days on which there were 4 trades in the TV system. In my backtests, there was only one day on which there were 4 trades... http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879. But after I went live with this system on Jan 16, there have been 3 days with 4 trades - Jan 24, Feb 6, and Feb 19. (On Feb 6, I had 6 trades including 2 typo trades). So system has not been behaving according to the expectations set by the backtests.
Jan (Dec 27 to Jan 30):
Winners: +268.93 points from 9 trades at average of +29.88 points/trade
Losers: -154.42 points from 15 trades at average of -10.29 points/trade
All: +114.51 points from 24 trades at average of +4.77 points/trade
Largest win: +78 points
Largest loss: -27.96 points
Win %: 37.5%
Points per Win:Loss: 2.90
Feb (Jan 31 to Feb 26):
Winners: +247.41 points from 7 trades at average of +35.34 points/trade
Losers: -141.10 points from 10 trades at average of -14.11 points/trade
All: +106.31 points from 17 trades at average of +6.25 points/trade
Largest win: +101.32 points
Largest loss: -26.98 points
Win %: 41.2%
Points per Win:Loss: 2.50
TV trades:
Jan (Jan 16 to Jan 30):
Winners: +182.26 points from 8 trades at average of +22.78 points/trade
Losers: -78.32 points from 6 trades at average of -13.05 points/trade
All: +103.94 points from 14 trades at average of +6.54 points/trade
Largest win: +43.8 points
Largest loss: -22.45 points
Win %: 57.1%
Points per Win:Loss: 1.75
Feb (Jan 31 to Feb 26):
Winners: +381.72 points from 14 trades at average of +27.27 points/trade
Losers: -362.3 points from 20 trades at average of -18.12 points/trade
All: +19.42 points from 34 trades at average of +0.57 points/trade
Largest win: +72.32 points
Largest loss: -41.45 points
Win %: 41.2%
Points per Win:Loss: 1.50
The Win% of both system are in the same range of around 40%, but the ratio of winning points to losing points is much higher for ORB. Backtests had also predicted that ORB is better, but since I have not yet found a better system, I will continue with the TV system for March.
I have been surprised by the number of days on which there were 4 trades in the TV system. In my backtests, there was only one day on which there were 4 trades... http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879. But after I went live with this system on Jan 16, there have been 3 days with 4 trades - Jan 24, Feb 6, and Feb 19. (On Feb 6, I had 6 trades including 2 typo trades). So system has not been behaving according to the expectations set by the backtests.
Excellent augubhai 
, this is a good news, and 300% is amazing you know, why you are trying to find a new system if this thing is working well, I guess both orb and tv are enough, just you need to maximize profits and reduce unwanted risks I guess, whatever it is let me know , happy for you bro. 2014 year has started great for both of us then in professional life I am also green on larger side.
, this is a good news, and 300% is amazing you know, why you are trying to find a new system if this thing is working well, I guess both orb and tv are enough, just you need to maximize profits and reduce unwanted risks I guess, whatever it is let me know , happy for you bro. 2014 year has started great for both of us then in professional life I am also green on larger side.
Update on the TV system.
(The original backtest results that prompted me to trade this system is available here: http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879)
The system performance is going south. The average return per trade is going down every month. The number of days with 3 or more trades keeps on increasing... Maybe, I backtested on the wrong/insufficient data set.
BTW, while reviewing the backtests, I found some typos (the backtest was manual), but have not corrected it here since their impact was minor.
Results of all trades from August until yesterday:
Now the stats breakup for the first trades, second trades, etc.
First trade
Second trade
Third trade
Fourth trade
Plan of action:
I have the option to stop trading this system altogether.
I am currently analyzing the MAE (Most Adverse Excursion) of each of the trades. Writing the code for that - to avoid errors introduced by manual testing. This system uses wide SL's, even compared to the ORB system. So whipsaws really have an impact. It was ok in the previous months because there were not many days with 3-4 trades. I am hoping that MAE analysis will show the way and help me tighten the SL.
Other than that, i am testing out 2 intraday ideas:
1. Entries off narrow/wide range bars in specific locations, and exit/SAR when similar bars occur at after some movement.
2. Trading measured moves. (This is the first target based system that I have seriously evaluated). This system gives trades only 50% of the days.
Both these systems are look promising, but still need a lot of work.
I had high hopes about IndiaVIX, but it's turned out to be dud for a small trader like me. Not because of low liquidity, but because of the margins. Imagine the margin that would be required when the VIX futures climbs to 5000? this is just another way of the babysitting regulators putting small traders at the disadvantage. Thank the inventor for the internet - else we small traders would not have had a chance in the trading world.
(The original backtest results that prompted me to trade this system is available here: http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879)
The system performance is going south. The average return per trade is going down every month. The number of days with 3 or more trades keeps on increasing... Maybe, I backtested on the wrong/insufficient data set.
BTW, while reviewing the backtests, I found some typos (the backtest was manual), but have not corrected it here since their impact was minor.
Results of all trades from August until yesterday:
Code:
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 30 560.00 500.00 470.00 440.00 410.00 380.00 18.67
Sep 25 337.75 287.75 262.75 237.75 212.75 187.75 13.51
Oct 34 305.12 237.12 203.12 169.12 135.12 101.12 8.97
Nov 27 121.05 67.05 40.05 13.05 -13.95 -40.95 4.48
Dec 30 23.30 -36.70 -66.70 -96.70 -126.70 -156.70 0.78
Jan 36 283.65 211.65 175.65 139.65 103.65 67.65 7.88
Feb 35 11.60 -58.40 -93.40 -128.40 -163.40 -198.40 0.33
Mar 5 -24.15 -34.15 -39.15 -44.15 -49.15 -54.15 -4.83
222 1618.32 1174.32 952.32 730.32 508.32 286.32 7.29Now the stats breakup for the first trades, second trades, etc.
First trade
Code:
Trade 1
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 22 458.20 414.20 392.20 370.20 348.20 326.20 20.83
Sep 19 384.65 346.65 327.65 308.65 289.65 270.65 20.24
Oct 23 264.12 218.12 195.12 172.12 149.12 126.12 11.48
Nov 18 129.55 93.55 75.55 57.55 39.55 21.55 7.20
Dec 19 137.70 99.70 80.70 61.70 42.70 23.70 7.25
Jan 24 65.40 17.40 -6.60 -30.60 -54.60 -78.60 2.73
Feb 19 13.20 -24.80 -43.80 -62.80 -81.80 -100.80 0.69
Mar 2 -36.70 -40.70 -42.70 -44.70 -46.70 -48.70 -18.35
146 1416.12 1124.12 978.12 832.12 686.12 540.12 9.70
Code:
Trade 2
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 8 101.80 85.80 77.80 69.80 61.80 53.80 12.73
Sep 6 -46.90 -58.90 -64.90 -70.90 -76.90 -82.90 -7.82
Oct 9 91.75 73.75 64.75 55.75 46.75 37.75 10.19
Nov 6 -70.30 -82.30 -88.30 -94.30 -100.30 -106.30 -11.72
Dec 7 -53.35 -67.35 -74.35 -81.35 -88.35 -95.35 -7.62
Jan 8 185.00 169.00 161.00 153.00 145.00 137.00 23.13
Feb 10 -41.75 -61.75 -71.75 -81.75 -91.75 -101.75 -4.18
Mar 2 15.35 11.35 9.35 7.35 5.35 3.35 7.68
56 181.60 69.60 13.60 -42.40 -98.40 -154.40 3.24
Code:
Trade 3
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Sep 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Oct 2 -50.75 -54.75 -56.75 -58.75 -60.75 -62.75 -25.38
Nov 3 61.80 55.80 52.80 49.80 46.80 43.80 20.60
Dec 3 -55.60 -61.60 -64.60 -67.60 -70.60 -73.60 -18.53
Jan 3 38.05 32.05 29.05 26.05 23.05 20.05 12.68
Feb 4 -24.90 -32.90 -36.90 -40.90 -44.90 -48.90 -6.23
Mar 1 -2.80 -4.80 -5.80 -6.80 -7.80 -8.80 -2.80
16 -34.20 -66.20 -82.20 -98.20 -114.20 -130.20 -2.14
Code:
Trade 4
Month Trades Gross pts Cost=2 pts Cost=3 pts Cost=4 pts Cost=5 pts Cost=6 pts Avg. Gross
Aug 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Sep 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Oct 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Nov 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
Dec 1 -5.45 -7.45 -8.45 -9.45 -10.45 -11.45 -5.45
Jan 1 -4.80 -6.80 -7.80 -8.80 -9.80 -10.80 -4.80
Feb 2 65.05 61.05 59.05 57.05 55.05 53.05 32.53
Mar 0 0.00 0.00 0.00 0.00 0.00 0.00 #DIV/0!
4 54.80 46.80 42.80 38.80 34.80 30.80 13.70I have the option to stop trading this system altogether.
I am currently analyzing the MAE (Most Adverse Excursion) of each of the trades. Writing the code for that - to avoid errors introduced by manual testing. This system uses wide SL's, even compared to the ORB system. So whipsaws really have an impact. It was ok in the previous months because there were not many days with 3-4 trades. I am hoping that MAE analysis will show the way and help me tighten the SL.
Other than that, i am testing out 2 intraday ideas:
1. Entries off narrow/wide range bars in specific locations, and exit/SAR when similar bars occur at after some movement.
2. Trading measured moves. (This is the first target based system that I have seriously evaluated). This system gives trades only 50% of the days.
Both these systems are look promising, but still need a lot of work.
I had high hopes about IndiaVIX, but it's turned out to be dud for a small trader like me. Not because of low liquidity, but because of the margins. Imagine the margin that would be required when the VIX futures climbs to 5000? this is just another way of the babysitting regulators putting small traders at the disadvantage. Thank the inventor for the internet - else we small traders would not have had a chance in the trading world.
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