Development and Testing of Trading Hypothesis

chintan786

Well-Known Member
#1
Hello All,

Hope everyone is safe and doing Fine!!

From Last few months I have seen trend towards developing/implementing Mechanical Systems by Indian Traders. On TJ as well in recent time good strategies developed like OBV by Varun, Pivot Method by ST da, Pratap's Method etc where ppl contributed, developed something new by taking leaf out of larger context of some strategies depending upon their personality and way of trading.

So today I'm starting this thread where we try to develop Hypothesis, Back test it and based on back testing results we try to sharpen it and see how we can use/implement it in Live mkt.

Here I need help from our many brilliant fellow Traders/coders, critiques etc to give their feedback, share if they have something to contribute/add for Common Good of All.

Also to contribute on this thread kindly stick to The topic, avoid going off-topic OR getting personal.
 

chintan786

Well-Known Member
#2
Since i starting this Thread today. Here is my first hypothsis which need to back test/can be developed as indicator Etc.

Hypothesis:
"If mkt. open Outside Previous day VA and A-period singles didn't get tagged (High or Lowers once, either side remain virgin) then that High/Low remain protected for the day. It may give rise to Trend day as well OR trend remain intact till Europe open at least.

Back Test: I have no idea how to back test this Hypothesis and for that Need little help.

A-Period: 1st 30-min. Bar of the day.

VA: VAlue Area.

Kindly share if anyone have any thoughts.
 

primitivetrader

Well-Known Member
#3
Since i starting this Thread today. Here is my first hypothsis which need to back test/can be developed as indicator Etc.

Hypothesis:
"If mkt. open Outside Previous day VA and A-period singles didn't get tagged (High or Lowers once, either side remain virgin) then that High/Low remain protected for the day. It may give rise to Trend day as well OR trend remain intact till Europe open at least.

Back Test: I have no idea how to back test this Hypothesis and for that Need little help.

A-Period: 1st 30-min. Bar of the day.

VA: VAlue Area.

Kindly share if anyone have any thoughts.
I don't wait for any other market open nor it is of any relevance to me. normally mid-afternoon or mid-session of the mkt (it's only for nf for me as I don't track other inst) remain most of the time silent, for inventory adjustment.

now if price opens outside of the previous VA but within yday range then theoretically market sentiments have not changed much. but a lot of things depend on context.

now A period has not touched yday H/L means there is a high probability that it may move back to VA /POC to test or break it. if there is no other key reference point then open is at best "open auction". with such kind of opening, there is not much confidence in the market and a high probability that it is going to be a rotational day around or inside day's range and testing of it.

there is a probability that in the last session trend may develop breaking out of the day's range. if on the upside then it is going to be a b shape profile which theoretically a long liquidation. if on the downside it may be P shaped profile indicating short-covering rally.

a lot of things depend on context. if yday is a good trend day then-current day may be a rotational day as per your writing.

a somewhat similar thing happened in NF on 29th. 27-28 were trend day and 29th although it opened within VA (not outside) but remained within range. a minor trend may develop within yday range best play is trade from range extremes

coming to backtesting of MP concepts as per me you can only do manual backtesting as its a discretionary way of looking at market generated information,
 

chintan786

Well-Known Member
#4
I don't wait for any other market open nor it is of any relevance to me. normally mid-afternoon or mid-session of the mkt (it's only for nf for me as I don't track other inst) remain most of the time silent, for inventory adjustment.

now if price opens outside of the previous VA but within yday range then theoretically market sentiments have not changed much. but a lot of things depend on context.

now A period has not touched yday H/L means there is a high probability that it may move back to VA /POC to test or break it. if there is no other key reference point then open is at best "open auction". with such kind of opening, there is not much confidence in the market and a high probability that it is going to be a rotational day around or inside day's range and testing of it.

there is a probability that in the last session trend may develop breaking out of the day's range. if on the upside then it is going to be a b shape profile which theoretically a long liquidation. if on the downside it may be P shaped profile indicating short-covering rally.

a lot of things depend on context. if yday is a good trend day then-current day may be a rotational day as per your writing.

a somewhat similar thing happened in NF on 29th. 27-28 were trend day and 29th although it opened within VA (not outside) but remained within range. a minor trend may develop within yday range best play is trade from range extremes

coming to backtesting of MP concepts as per me you can only do manual back testing as its a discretionary way of looking at market generated information,
Thanks Primitive for your feedback.

I traded this "Context" and if any one take a look to whole May series on 30-min charts then get fair Idea what I talking abt.

Just Want to Clear: For A-period , either high or Low, should remain untouched after 0945 hrs.
whether they clear prev. day high/low is different thing and not part of this Hypo.

This worked most of the time but sometimes C-period create some 'noise" and that is why want to back test.

If anyone Interested to Code this for the sake off, then here is Condition.

Condition: A-period should close outside prev. day range instead of VA. (As coding VA is long call in itself).

Short: If B-period clear A-period low without breaching A-period High..

Long: If B-period clear A-period high without breaching A-period Low..

Once coded abv. condition than it would be easy for us to Back test and improve further.

To all those ppl visiting thread and watching from Side lines, plz participate.

GN All.
 

primitivetrader

Well-Known Member
#6
Thanks Primitive for your feedback.

I traded this "Context" and if any one take a look to whole May series on 30-min charts then get fair Idea what I talking abt.

Just Want to Clear: For A-period , either high or Low, should remain untouched after 0945 hrs.
whether they clear prev. day high/low is different thing and not part of this Hypo.

This worked most of the time but sometimes C-period create some 'noise" and that is why want to back test.

If anyone Interested to Code this for the sake off, then here is Condition.

Condition: A-period should close outside prev. day range instead of VA. (As coding VA is long call in itself).

Short: If B-period clear A-period low without breaching A-period High..

Long: If B-period clear A-period high without breaching A-period Low..

Once coded abv. condition than it would be easy for us to Back test and improve further.

To all those ppl visiting thread and watching from Side lines, plz participate.

GN All.
this is a simple ORB set up with 30M as opening range. search you will get the afl for 5-15M ORB modify it
 
#9
Code:
H_Yest = TimeFrameGetPrice("H",inDaily,-1);
L_Yest = TimeFrameGetPrice("L",inDaily,-1);
H_Tody = TimeFrameGetPrice("H",inDaily,0);
L_Tody = TimeFrameGetPrice("L",inDaily,0);

Filt = L_Tody > H_Yest OR H_Tody < L_Yest; // Gap
https://www.traderji.com/community/threads/augubhais-orb-system.52959/

This is the thread of master of the ORB at TJ :)

Add the filter to the orb trades to see how they work


.
 
Last edited:

chintan786

Well-Known Member
#10
Code:
H_Yest = TimeFrameGetPrice("H",inDaily,-1);
L_Yest = TimeFrameGetPrice("L",inDaily,-1);
H_Tody = TimeFrameGetPrice("H",inDaily,0);
L_Tody = TimeFrameGetPrice("L",inDaily,0);

Filt = L_Tody > H_Yest OR H_Tody < L_Yest; // Gap
https://www.traderji.com/community/threads/augubhais-orb-system.52959/

This is the thread of master of the ORB at TJ :)

Add the filter to the orb trades to see how they work


.
Many Thanks Happy Ji,
Will try and update all in the evening.
BTW, today is same day we are discussing in Given Hypo.
 

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