NF SAR 2DHL; SL to BE >2%

[bandlab2]

i did some backtest of this strategy on stocks for last 3 months (that is as far as i have the data). i dont have nifty futures data, so cant test it.

Tata Motor

10000 rs has become 12006 rs today

Ticker Trade Entry Exit % change Profit Shares Pos. value Cum. profit # bars Profit/bar MAE/MFE Scale In/Out 
TATAMOTOR Long 03/11/09 9:11:30 AM
574.9 03/11/09 9:11:30 AM
553.35 -3.75% -374.85
-3.75% 17.3943 10000.00 -374.85 1 -374.85 -4.58%
0.81% 0/0 
TATAMOTOR Short 04/11/09 9:11:30 AM
555.7 06/11/09 9:00:25 AM
583.5 5.00% -481.52
-5.00% 17.3208 9625.15 -856.37 3 -160.51 -5.00%
1.90% 0/0 
TATAMOTOR Long 06/11/09 9:00:25 AM
578.6 26/11/09 9:55:30 AM
641.8 10.92% 998.75
10.92% 15.803 9143.63 142.39 15 66.58 -2.26%
14.66% 0/0 
TATAMOTOR Short 26/11/09 9:55:30 AM
618.3 30/11/09 9:55:00 AM
663.15 7.25% -735.70
-7.25% 16.4037 10142.39 -593.32 3 -245.23 -7.25%
1.26% 0/0 
TATAMOTOR Long 30/11/09 9:55:00 AM
647.7 04/12/09 9:55:00 AM
703 8.54% 803.13
8.54% 14.5232 9406.68 209.82 5 160.63 -1.65%
14.82% 0/0 
TATAMOTOR Short 04/12/09 9:55:00 AM
710.25 08/12/09 9:55:00 AM
723.5 1.87% -190.47
-1.87% 14.375 10209.82 19.35 3 -63.49 -1.87%
2.13% 0/0 
TATAMOTOR Long 08/12/09 9:55:00 AM
723.25 11/12/09 9:55:35 AM
711.5 -1.62% -162.78
-1.62% 13.8532 10019.35 -143.43 4 -40.69 -3.89%
0.72% 0/0 
TATAMOTOR Short 11/12/09 9:55:35 AM
711.9 17/12/09 9:11:30 AM
709.8 -0.29% 29.08
0.29% 13.8454 9856.57 -114.35 5 5.82 -1.97%
3.53% 0/0 
TATAMOTOR Long 17/12/09 9:11:30 AM
717.2 07/01/10 9:00:00 AM
805.2 12.27% 1212.96
12.27% 13.7837 9885.65 1098.61 13 93.30 -1.85%
17.39% 0/0 
TATAMOTOR Short 07/01/10 9:00:00 AM
783 15/01/10 9:00:00 AM
797 1.79% -198.44
-1.79% 14.1745 11098.61 900.17 7 -28.35 -4.46%
1.36% 0/0 
TATAMOTOR Long 15/01/10 9:00:00 AM
794.1 21/01/10 9:00:00 AM
799.35 0.66% 72.06
0.66% 13.7264 10900.17 972.23 5 14.41 -2.41%
3.06% 0/0 
TATAMOTOR Short 21/01/10 9:00:00 AM
782.75 02/02/10 9:00:00 AM
706.8 -9.70% 1064.63
9.70% 14.0175 10972.23 2036.86 8 133.08 -2.52%
14.21% 0/0 
TATAMOTOR Long 02/02/10 9:00:00 AM
723 04/02/10 9:00:00 AM
705.15 -2.47% -297.18
-2.47% 16.6485 12036.86 1739.69 3 -99.06 -2.47%
1.78% 0/0 
TATAMOTOR Short 04/02/10 9:00:00 AM
691.1 09/02/10 9:00:00 AM
675.4 -2.27% 266.70
2.27% 16.987 11739.69 2006.38 4 66.67 -3.96%
6.67% 0/0 
TATAMOTOR Open Long 09/02/10 9:00:00 AM
687.2 10/02/10 9:00:00 AM
669.7 -2.55% -305.75
-2.55% 17.4715 12006.38 1700.63 3 -101.92 -3.24%
0.10% 0/0

 

[bandlab2]

same period,

SBI has become 10442 rs

TATA Steel 10544 rs

DLF 11533 rs

ICICI 10884 rs

HDIL 13041 rs

EDucomp 8556 rs

infosys 11885 rs

 

[now]

in the long run, hedging will eat away lots of your profits and in any case cant provide much safety. there are equal number of gaps in both direction, so it evens out

well said.

 

[trader.trends]

i did some backtest of this strategy on stocks for last 3 months (that is as far as i have the data). i dont have nifty futures data, so cant test it.

Tata Motor

10000 rs has become 12006 rs today

Bandlab

Did you take spot or futures? I feel you get better results with longer TF. Statistical advantage of a system asserts itself with time. Which means the sample size has to be larger. The three months analysis has given excellent returns except for Educomp.

 

[bandlab2]

these are spot figures. if you see the data, you can notice some very huge profitable trades (losing ones too !!)

2k profit on 10k in 3 months will translate to roughly 100% returns in 1 year. allowing for slippages, gaps this will be less.

i didnt consider 0.25% rule if gap is greater than SAR

 

[bandlab2]

our nifty long is in good profit , our entry is at 4770. we are already up 100+ points, we may see some more profits today. SAR is at 4770 which is BE

this may be a good time for 'add'. also expiry is only one week away, we may think of profit protection soon

 

[bandlab2]

I'm unable to use your terminologies, will you please explain.

pl read all the posts in this thread, it will be clear.

if any specific question, pl post

 

[4076699]

our nifty long is in good profit , our entry is at 4770. we are already up 100+ points, we may see some more profits today. SAR is at 4770 which is BE

this may be a good time for 'add'. also expiry is only one week away, we may think of profit protection soon

Waiting for yr profit protection method
:clapping::clapping::clapping:

 

[trader.trends]

Waiting for yr profit protection method
:clapping::clapping::clapping:

When you are 200 points in profit, there are many ways to protect your profits. Capital protection and profit protection are key to wealth building. Profit protection again can depend on your current view of the market direction. Here we are long from 4769 onwards. If we believe the market is topping out, we can short a ATM or just OTM call option. By doing this while we protect the profits only to the extent of the premium received. If we believe that the trend will continue for a longer time then the best way to protect the profits is to buy ATM or just OTM puts. While this will protect us from any downside, the profits from your longs will get reduced by the premium you pay for the puts. I often do this when carrying profits overnight and dump the puts on market opening if the positive trend continues.

One more way to protect profits is to scale out partly and book the profits and let the rest ride. If the belief is that the upward trend will continue, and we are in good profits you can also think of selling out all the long futures and just buying a few calls from the profit earned.

Protecting profits is dependent on what you believe the market will do in the near term. Finally we all trade our beliefs.

 

[bandlab2]

4873 is the SAR, we might see it today