Mini Nifty Intraday - The Redline strategy

[jain.er]

Thanks everyone for this thread but please some reply has anyone implemented this strategy

 

[sivakumar1234]

There are many good strategies for trading Nifty on this forum. Savantji's Pivots rocks as does Pride's ema cross overs, AW10's NR7 and Options strategies, Radha's various pivots, Dhiraj's 2652 and others I might have left out. I am adding one more to this list. Let me call it The Red Line Strategy.I don't know if other forum members have already explored it, if they have please point it out to me so that I can save the redundancy.

It requires no calculations of any kind. No Charts. No complex indicators. No special software. Clear entries and clearer exits. Completely intraday, no carry over of positions. predefined stops. The red line is the line of previous close. It is the value put out by the exchange after adjustment for the last half hour of trade not the last traded price.

Entry: Long when NF crosses the red line from below. Short when NF crosses the Red line from above. Filter: .1% rounded of to the nearest whole number.
Initial stops: .1% from Red line on the other side. The initial stops will be SAR for the complete duration of the day. As the trade moves in our favor move stops in a defined manner as detailed below.
Lot Size: 5 lots of Mini Nifty.
Exits: 2 lots at 20 points profit. Balance 3 lots stops at initial .1% maintained. Next exit 1 lot at 40 points profit. Stops for the balance 2 lots now moved to the first exit point of 20 points profit. Third exit, one lot at 60 point profit, the balance one lot SL maintained at first exit point of 20 point profit. Hold till SL is taken out for the last lot or close position at 3:27.

The SAR at all time will remain the .1% from Red line value. The core principal is be long above the red line and short below it. It is much like I am defining the Red line as my pivot point.

Intraday trading demands quick taking of profits as volatility is more in shorter time frame. No monetary targets set. Target: Do the correct trades. Profits will be defined by the market, losses will be defined by me.

Only paper trades on Mini Nifty for some time. I will not be looking at the live markets to post my result. I will be looking at the EOD figures and charts to post the figures.

Drawbacks: Since this is a paper trading mode, slippages not taken into account. Brokerage and other charges not taken into account. Whipsaws around the red line will be part of the game. There may be many days without trades as the market will open gap up/down and not cross the Red line. So not good for those who need to trade everyday.
I will post the trades everyday as far as possible. Others are welcome to post/refine the strategy. I will be trying it only on the MiniNF for now.

Anatomy of a trade
MNF: Mini Nifty Futures
Red line value = 5000 (previous adjusted close)
Filter = .1%
Long Trades: Be alert when MNF comes near the red line either from below or from above. Enter at 5005 when MNF moves from below the Red line or comes from above touches the RL and bounces up.
Entry: (100MNF)@5005
Initial Stoploss: 4995 (Filter on the other side of the Red line)
First Exit: 40%(40MNF) at 5025 Stops for 60@ at intial stop
Second Exit: 20%(20MNF) at 5045 stops for balance at 5025
Third Exit: 20%(20MNF) at 5065 stops for balance 20% at 5025 maintained
Fourth Exit: 20%(20MNF)at 3:27 or when the stops taken out.

Short Trades: Be alert when MNF comes near the redline either from below or from above. Enter at 4995 when MNF moves from above the Red line or comes from below touches the RL and falls back.
Entry: (100MNF)@4995
Initial Stoploss: 5005(Filter on the other side of the Red line)
First Exit: 40%(40MNF) at 4975. Stops for 60 at initial stop.
Second Exit: 20%(20MNF) at 4955 stops for balance at 4975
Third Exit: 20%(20MNF) at 4935 stops for balance 20% at 4975 maintained
Fourth Exit: 20%(20MNF)at 3:27 or when the stops taken out.

I want to know more about Red line. How do I calculate the Red line for the previous day. Can you please provide a link where I can find the red line value of the previous day.

 

[jain.er]

Dude I dont know why people are no more active on this thread ...either they have found some fault i this strategy or its a gold mine for them that they dont want to disclose......

As per your question the redline is previous day adjusted close...

I advice you to read the post carefully as everything is mentioned there ...

And hope someone answers :annoyed:

 

[Shailu]

hello ,
ur yahoo messenger id and email id.

 

[trader.trends]

I had tested this system with just two months data. Later Raja had posted the backtest results and it was not very encouraging.

Since I could not backtest it more rigorously, gave it up. Besides I find huge slippages in MNF upto three four points which is disastrous for an intraday trader.

Today, I would not touch a intraday system unless it stands the rigor of a backtest of atleast 500 trades.

 

[sumosanammain]

I had tested this system with just two months data. Later Raja had posted the backtest results and it was not very encouraging.

Since I could not backtest it more rigorously, gave it up. Besides I find huge slippages in MNF upto three four points which is disastrous for an intraday trader.

Today, I would not touch a intraday system unless it stands the rigor of a backtest of atleast 500 trades.

Fantastic. 500 to 1000 trades captures almost a year and a half of data, which inclused almost all types of market movement... dull, down, fast, etc. 1000 trades should be like an entrance exam for any system to be traded.

 

[trader.trends]

Fantastic. 500 to 1000 trades captures almost a year and a half of data, which inclused almost all types of market movement... dull, down, fast, etc. 1000 trades should be like an entrance exam for any system to be traded.

Very True Sumo. I would say 500-1000 trades or two years of data whichever is greater. Anything less I would be fooling myself.

 

[AW10]

TT, even after Backtest of 1000 txn, are you not fooling yourself by trusting them casue in mkt future is never the same. Always it is said "this time it is different". Even after that, aren't we still at the mercy of probablity.

How big a sample size should be is interesting question. Should it be big, or should it be more relevent.

This is just for the sake of discussion (cause I do belive in backtesting so not arguing against it). Just few points to think about.

Happy Trading

 

[sumosanammain]

TT, even after Backtest of 1000 txn, are you not fooling yourself by trusting them casue in mkt future is never the same. Always it is said "this time it is different". Even after that, aren't we still at the mercy of probablity.

How big a sample size should be is interesting question. Should it be big, or should it be more relevent.

This is just for the sake of discussion (cause I do belive in backtesting so not arguing against it). Just few points to think about.

Happy Trading

If the sample size is big enough, comprising 1000 trades, with an avg of 3 to 5 trades a day, it should encompass about a year and a half of data, which should include most types of markets.

As far as being at mercy of probability, we are trying to get benchmarks about how the system performs in back testing, and if we come across a patch that does not confirm to back test results, while live trading, we can then investigate whats going wrong.

Maybe 3 losses in a row is common to a system. That gives us confidence to enter the fourth trade. Thats what back testing helps us with. It also helps us compare varoius systems, how that particular system performed in a particular month.

 

[trader.trends]

TT, even after Backtest of 1000 txn, are you not fooling yourself by trusting them casue in mkt future is never the same. Always it is said "this time it is different". Even after that, aren't we still at the mercy of probablity.

How big a sample size should be is interesting question. Should it be big, or should it be more relevent.

This is just for the sake of discussion (cause I do belive in backtesting so not arguing against it). Just few points to think about.

Happy Trading

AW10, Adding to what Sumo has written, if I am having an intraday strategy, I would be personally confident if it has worked out in the last 500 trades or 2 years. Like Sumo says it covers all types of market though it does not cover every maket movement.

If the strategy has not worked in two years of testing then it has even less chance of working in real trades. What we are trying to find out in back test is the probability or profit for the trade.


As an intraday trades I would not be bothered about individual trades. What matter is did I make it in the long run. Personally I have traded systems which I backtested for something like 1-6 months and lost money on them in live trades as 1-6 months does not cover the probability circle.

The name "Intraday Trade" sounds very deceptive and I have been deceived by it too. It is not about making money within a day's trade. It is about making money in the long run (monthly/quarterly/yearly) using the trades within a day.