daSARa system
- Thread starter augubhai
- Start date
Health wise or wealth (trading) wise? 
Get well soon.......:thumb:
Get well soon.......:thumb:
Jan series report:
Bad performance in the later weeks of the series. Performance was good until mid-Jan, and went down after that.
Return on capital in trading account (after costs): +17.3%
Capital utilization (all NRML trades): 40-60% until Jan 15. 80-90% utilization after that.
- Utilization was lower when the going was good...
Systems used:
- Only 100% mechanical systems used.
- Only intraday (except when typo resulted in carrying over position). i wanted to also start positional, but could not because I could not find a comfortable system during my backtests.
- Only Nifty futures. Reason = Liquidity + lower margins.
- Used ORB on all days that I traded. This was my primary system in this series.
- Jan 13; I started using a second intraday system, based on high volume bars. This system came out of my attempts to find a swing system.
- Jan 16; I modified the high volume bar system, and decided to trade it with 50% of my ORB position size. I am using this to complement and supplement ORB.
- I also seriously considered trading a system based on pin bars, but could not complete backtests. After backtests, if the pin bar also turns out to be an intraday system, I will not trade it on NF. Too many systems on the same scrip is confusing.
- The only other thing that I attempted was to buy/sell large spread options at bid/ask. I tried this on BATAINDIA, IDFC, and NIFTY Feb series far OTM, when i was trading only ORB and my capital utilization lower. Out of the 30 odd orders that i placed, only 1 got executed and closed at a small profit. I could see that i was competeing against bots here.
For the Feb series, the plan is to trade NF NRML with the 2 systems, utilizing 80-90% of this capital. If I go in for more systems or scrips, I will bring in fresh capital.
Bad performance in the later weeks of the series. Performance was good until mid-Jan, and went down after that.
Return on capital in trading account (after costs): +17.3%
Capital utilization (all NRML trades): 40-60% until Jan 15. 80-90% utilization after that.
- Utilization was lower when the going was good...
Systems used:
- Only 100% mechanical systems used.
- Only intraday (except when typo resulted in carrying over position). i wanted to also start positional, but could not because I could not find a comfortable system during my backtests.
- Only Nifty futures. Reason = Liquidity + lower margins.
- Used ORB on all days that I traded. This was my primary system in this series.
- Jan 13; I started using a second intraday system, based on high volume bars. This system came out of my attempts to find a swing system.
- Jan 16; I modified the high volume bar system, and decided to trade it with 50% of my ORB position size. I am using this to complement and supplement ORB.
- I also seriously considered trading a system based on pin bars, but could not complete backtests. After backtests, if the pin bar also turns out to be an intraday system, I will not trade it on NF. Too many systems on the same scrip is confusing.
- The only other thing that I attempted was to buy/sell large spread options at bid/ask. I tried this on BATAINDIA, IDFC, and NIFTY Feb series far OTM, when i was trading only ORB and my capital utilization lower. Out of the 30 odd orders that i placed, only 1 got executed and closed at a small profit. I could see that i was competeing against bots here.
For the Feb series, the plan is to trade NF NRML with the 2 systems, utilizing 80-90% of this capital. If I go in for more systems or scrips, I will bring in fresh capital.
ORB trade analysis:
Made 114.51 points in 24 trades at an average of 4.77 pre-cost points/lot/trade. I tried to take the ORB immediately after the initial volatile range completed. My observation is that the initial volatile swings at day open are usually over within 10-15 seconds.
(For a different type of initial range, see this link: http://niftynirvana.blogspot.in/2012/07/initial-range.html... i got the initial range idea from here, though it is unrelated)
If I had instead just implemented the system that I backtested here http://www.traderji.com/trading-diary/90116-dasara-system-49.html#post918162, I could potentially have made 218.45 points in 25 trades at an average of 8.74 pre-cost points/lot/trade.
The variance was due to
- Typo on Dec 30, due to which i lost 30 points
- Jan 22, 23, 29 - my trades went for a loss, but the system went for a profit. i lost net 122 points due to these 3 days.
- On other days, due to early entry I had a net gain of 35 points over the system. also, i did not trade on Jan 20, which would have been a losing day.
Comparing, system results of different opening ranges:
I am shocked by these results (which means more backtesting). I had thought that early entries are the best. While ORB is the best mechanical day trading system that i know of - and i have traded so many variations of it - there is always a new variation that performs better sometime. So, I will keep on improving the parameters... until i successfully turn it into a losing system :rofl:
I am still in favor of early entries, because it is still profitable. I cannot backtest it though, since i only have 1 min data. The other thing about early entires and late exits is that they are at the most liquid (high volume) times of the day. So the slippages due to my order is less (the slippages that occur are more due to volatily during this period, than due to a retail order). And even when a slippage occurs on entry, it is an early slippage, if u know what i mean.
Late exits - i try to exit in the last 5 seconds - have been an avoidable risk in Jan, but I have seen so many charts in the previous years that make it worth the wait (+ roulette is exiting :lol: ).
For Feb series, i think ORB will continue to be my primary system, but i will continue to tweak its parameters.
Made 114.51 points in 24 trades at an average of 4.77 pre-cost points/lot/trade. I tried to take the ORB immediately after the initial volatile range completed. My observation is that the initial volatile swings at day open are usually over within 10-15 seconds.
(For a different type of initial range, see this link: http://niftynirvana.blogspot.in/2012/07/initial-range.html... i got the initial range idea from here, though it is unrelated)
If I had instead just implemented the system that I backtested here http://www.traderji.com/trading-diary/90116-dasara-system-49.html#post918162, I could potentially have made 218.45 points in 25 trades at an average of 8.74 pre-cost points/lot/trade.
The variance was due to
- Typo on Dec 30, due to which i lost 30 points
- Jan 22, 23, 29 - my trades went for a loss, but the system went for a profit. i lost net 122 points due to these 3 days.
- On other days, due to early entry I had a net gain of 35 points over the system. also, i did not trade on Jan 20, which would have been a losing day.
Comparing, system results of different opening ranges:
Code:
Opening Range Trades Points/lot Points/lot/trade
1 min 25 +218.45 +8.74
2 min 25 +226.20 +9.05
3 min 25 +203.45 +8.14
4 min 25 +161.80 +6.47
5 min 25 +139.50 +5.58
10 min 24 +146.95 +6.12
15 min 24 +129.45 +5.39
30 min 22 +292.90 +13.31
45 min 22 +236.15 +10.73I am still in favor of early entries, because it is still profitable. I cannot backtest it though, since i only have 1 min data. The other thing about early entires and late exits is that they are at the most liquid (high volume) times of the day. So the slippages due to my order is less (the slippages that occur are more due to volatily during this period, than due to a retail order). And even when a slippage occurs on entry, it is an early slippage, if u know what i mean.
Late exits - i try to exit in the last 5 seconds - have been an avoidable risk in Jan, but I have seen so many charts in the previous years that make it worth the wait (+ roulette is exiting :lol: ).
For Feb series, i think ORB will continue to be my primary system, but i will continue to tweak its parameters.
Volume bar trade analysis:
Started by trading this system http://www.traderji.com/trading-diary/90116-dasara-system-52.html#post924533, and then shifted to this system http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879
The backtest results of the first system show high returns (1689 points in Aug, etc.), but those results are with adds. The second system is good enough, and has a better capital utilization since it is all-in/all-out. Also, from the typos I made while executing the first system, the second system is easier to execute.
When using the first system, I made gross +46.55 points, against the system benchmark of +3.55 points - and I have to thank typos for that.
While using the second system, I made gross 103.94 points, against the system benchmark of 118.25 points. This is how it is supposed to be. Benchmarks that do not consider slippages should always perform better than real trades. In my ORB trades, I really did not have a benchmark, because I do have data to backtest the few seconds opening range that I traded in Jan.
Started by trading this system http://www.traderji.com/trading-diary/90116-dasara-system-52.html#post924533, and then shifted to this system http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879
The backtest results of the first system show high returns (1689 points in Aug, etc.), but those results are with adds. The second system is good enough, and has a better capital utilization since it is all-in/all-out. Also, from the typos I made while executing the first system, the second system is easier to execute.
When using the first system, I made gross +46.55 points, against the system benchmark of +3.55 points - and I have to thank typos for that.
While using the second system, I made gross 103.94 points, against the system benchmark of 118.25 points. This is how it is supposed to be. Benchmarks that do not consider slippages should always perform better than real trades. In my ORB trades, I really did not have a benchmark, because I do have data to backtest the few seconds opening range that I traded in Jan.
Volume bar trade analysis:
Started by trading this system http://www.traderji.com/trading-diary/90116-dasara-system-52.html#post924533, and then shifted to this system http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879
The backtest results of the first system show high returns (1689 points in Aug, etc.), but those results are with adds. The second system is good enough, and has a better capital utilization since it is all-in/all-out. Also, from the typos I made while executing the first system, the second system is easier to execute.
When using the first system, I made gross +46.55 points, against the system benchmark of +3.55 points - and I have to thank typos for that.
While using the second system, I made gross 103.94 points, against the system benchmark of 118.25 points. This is how it is supposed to be. Benchmarks that do not consider slippages should always perform better than real trades. In my ORB trades, I really did not have a benchmark, because I do have data to backtest the few seconds opening range that I traded in Jan.
Started by trading this system http://www.traderji.com/trading-diary/90116-dasara-system-52.html#post924533, and then shifted to this system http://www.traderji.com/trading-diary/90116-dasara-system-53.html#post925879
The backtest results of the first system show high returns (1689 points in Aug, etc.), but those results are with adds. The second system is good enough, and has a better capital utilization since it is all-in/all-out. Also, from the typos I made while executing the first system, the second system is easier to execute.
When using the first system, I made gross +46.55 points, against the system benchmark of +3.55 points - and I have to thank typos for that.
While using the second system, I made gross 103.94 points, against the system benchmark of 118.25 points. This is how it is supposed to be. Benchmarks that do not consider slippages should always perform better than real trades. In my ORB trades, I really did not have a benchmark, because I do have data to backtest the few seconds opening range that I traded in Jan.
First trader seen by me on TJ who analyses his trades so meticulously.
Signs of a professional trader.
If you manage to develop even a medicore system, you will make good money... consistently.
I am sure of that.
Best of luck buddy.
And keep analysing your trades....... sometimes some things show a pattern.
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