daSARa system

[augubhai]

Agubhai, do you reverse your position when your tsl or sl hits? Or do u just exit your position??

No reversal. Only 1 trade a day. I have listed the trades in the previous post.

 

[Cubt]

Augubhai, could u pls tell me how much slippages u usually see when the trades gets filled? Say, in orb high is 450rs in a stock, when u place buy SL -Market order, at what price will it get filled? @ 450 or 450.25 ??

Just curious to know as I heard that slippages will be high for breakout trades.

 

[augubhai]

Augubhai, could u pls tell me how much slippages u usually see when the trades gets filled? Say, in orb high is 450rs in a stock, when u place buy SL -Market order, at what price will it get filled? @ 450 or 450.25 ??

Just curious to know as I heard that slippages will be high for breakout trades.

I have the data for NF from Feb series onwards. The average slippage per trade for my order size has been 30 paise. For SBI, I have the data for the Apr series. The average slippage has been 29 paise. I am comfortable with the NF slippage, but the SBI slippage is high even with my small position size.

Slippage depends on many factors.

1. Time of day. Expect good fills at day open (though this is difficult to measure) and close, because of of high volumes.

2. Liquidity. The more liquid the scrip, the better the fills. This is the concern that I have in increasing the size of my SBIN trades.

3. Momentum. This may contradict points 1 and 2, but if the price reaches the trigger point with a lot of momentum, then there can be big slippages and freak trades. For example on Friday, my SBIN entry triggered at 2068.3 and filled at 2070.65 - slippage 2.35. The contradiction is that momentum is usually high volume period, and momentum can occur at day open.

4. Price point. If your buy trigger is at 2069.9, then expect a better fill than if it was at 2070.1. For increasing size of SBIN trades, i will have to work out the rules to enter before the round figure numbers. However, if its a big round number like 2100, u can expect lower slippage because there will be a lot of orders at that point (unless they get eaten up by a high momentum move)

Many times there are positive slippages as well. And I have had instances (not yet this year) where my orders on NF have slipped by as much as Rs. 8 during low momentum periods. Best is to start trading and check out the slippage for your position size. Or try smart stuff like SL-Limit or Limit orders.

 

[augubhai]

Now that we have VIX futures, what are your thoughts on using VIX futures directly to take advantage of the movement of VIX?

1. Even though it is a future, the volatility is much greater (almost like options).
2. VIX tends to range between a upper and lower band.

These are the disadvantages that i know of:
1. Low liquidity
2. High margins
3. Weekly contracts/frequent rollovers

Looking at this picture, and feeling extremely foolish. I should have bought at the March lows, especially when an event like elections were just round the corner. Buying at the low support band almost assures that the price will double at some point in the future. On a 15% margin, that means a 1233% return on capital. Just need to reduce the impact of the bid-ask spread and the calendar spread, both of which are wide.

Life will give second chances, but the earlier you grab chances, the better you can compound....

http://nseindia.com/companytracker/charting/images/IndiaVIX/VIX.png

 

[Joshua R. Mason]

Happy Singh, I agree with you.
Best of luck.

 

[augubhai]

 

[dell]

augubhai ,
need help in regarding autotrading my systems , i have tested it sucessfully over all possible available scenario's , also have purchased ami5.702 , gfdl feed and optical fibre net connection with 10mbps speed having without dissconnection ,
as i am totally new in autotrading , can u plz suggest me , what is best hassel free option available ? currently planning to trade starting with 8 lots in bnf-1 using 3 sys
can all 3 sys can be automate , what are the expenses have to pay , will it fully automate ?
plz advice me merits/demerits of it , in ur free time plz.....
also what is ur experience till now with auto route ?hope not req. u too much........

 

[Cubt]

augubhai ,
need help in regarding autotrading my systems , i have tested it sucessfully over all possible available scenario's , also have purchased ami5.702 , gfdl feed and optical fibre net connection with 10mbps speed having without dissconnection ,
as i am totally new in autotrading , can u plz suggest me , what is best hassel free option available ? currently planning to trade starting with 8 lots in bnf-1 using 3 sys
can all 3 sys can be automate , what are the expenses have to pay , will it fully automate ?
plz advice me merits/demerits of it , in ur free time plz.....
also what is ur experience till now with auto route ?hope not req. u too much........

Dell,
Have u considered using VPS? To avoid any power failure, internet disconnection. ? How would u hanlde terminal disconnection issue? I have often seen nest, now terminal getting disconnected, if in case terminal is disconnected, orders from amibroker wil not get through thw terminal.

I have automated my strategy using Symphony Presto algo, as there r so many issues that would arise due to amibroker integration, I have decided to go for algo.

 

[dell]

Dell,
Have u considered using VPS? To avoid any power failure, internet disconnection. ? How would u hanlde terminal disconnection issue? I have often seen nest, now terminal getting disconnected, if in case terminal is disconnected, orders from amibroker wil not get through thw terminal.

I have automated my strategy using Symphony Presto algo, as there r so many issues that would arise due to amibroker integration, I have decided to go for algo.

so that means our strategy is developed in presto and than we trade on there server ?

 

[Cubt]

so that means our strategy is developed in presto and than we trade on there server ?

Yes, that's right.