daSARa system

augubhai

Well-Known Member
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.
Thanks for the wishes. I hope to continue being systematic, and find something that works for me.
 

augubhai

Well-Known Member
Check out the Nifty 6000 Puts http://nseindia.com/live_market/dyn...symbol=NIFTY&instrument=OPTIDX&strike=6000.00

December - ₹395
June - ₹320
April - ₹143
March - ₹116
February - ₹77

Anyone sighting an opportunity here?
This pattern keeps repeating again and again - for the far off months, either put or call has the upper hand. right now, spot around 6050, december 6000 call are at 750 and 6000 put is less than 400. Which do u think is cheaper, and how can u take advantage of it?

if u buy the dec 6000pe, and sell the feb or march 6000 put, u will have a very cheap december put in hand when the near month expires (hopefully OTM). or buy december put and sell june put, and u have a chance to own a naked dec put for ₹80, from July to December, with max loss ₹80. :thumb:

this skew is because future premium/discount increases month on month. so for a theoretical december future's value will be very far from spot.

I had tried this theory earlier also, but got bored of it.... :rofl:

Positional trade:
Sold Jan2013 5800 Put for 60. Bought Dec2013 6000 Put for 298.

Far month puts appear heavily discounted compared to calls.
Squared off this at market price - Bought Put for 276.4, sold call for 40.35

I am still convinced of the logic of the trade, but longer timeframe is just not what I am looking for right now. Got bored. I would rather use the extra margin for intraday.
 

augubhai

Well-Known Member
Been (manually) backtesting positional Pin Bar systems since morning...

Here are the results for Nifty futures... (since this positional, i have tested for each series from around the middle of the previous month until expiry)

Costs have not been deducted.

Results when using only Pin Bar:
August 2013 series - 22/7 onwards; +78.9 points from 12 trades
september 2013 series - 16/8 onwards; +625.35 points from 14 trades
October 2013 series - 16/9 onwards; +135.1 points from 9 trades
November 2013 series - 15/10 onwards; +56.25 points from 12 trades
December 2013 series - 26/11 onwards; +89.3 points from 11 trades
January 2014 series - 16/12 onwards; +233.9 points from 10 trades
February 2014 series - 16/1 onwards; +148.05 points from 5 trades

But this system missed out a lot of moves that did not begin with a pin bar.

So, to make the system spicy, added 3 tablespoons of range bar logic to the pin bar logic. (Range bar logic similar to what is mentioned here http://www.traderji.com/trading-diary/88102-bakwaas-trading-7.html#post877024, and applying different rules to wide, medium and narrow bars)

Results with the new rules:
August 2013 series - 22/7 onwards; +381.8 points from 34 trades
september 2013 series - 16/8 onwards; +1005.75 points from 37 trades
October 2013 series - 16/9 onwards; +950.15 points from 37 trades
November 2013 series - 15/10 onwards; +130.8 points from 32 trades
December 2013 series - 26/11 onwards; -135.4 points from 26 trades
January 2014 series - 16/12 onwards; +426.4 points from 28 trades
February 2014 series - 16/1 onwards; +186.95 points from 15 trades

Being a manual backtest done in a hurry, I am sure there will be a bunch of typos, but I have verified all the big impact trades.

This was tested on 30 min chart, and I'll tell u one thing - Swing systems are easier than day trading system.
 

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