Nifty Analysis

[vijkris]

Data source is yahoo for this. I have found that yahoo does not have proper data. Please don't trust the above figures. Moderators can delete this thread.

Please dont delete this thread.
Information shared here is unique and lot of time has been spent for testing the data.

 

[vagar11]

Please dont delete this thread.
Information shared here is unique and lot of time has been spent for testing the data.

Yeah, I have spent a lot of time on this. May be Yahoo has correct Nifty data. Atleast, they will keep the right data for Index. For stocks, I know for sure they don't have.


Some post from blog http://traderfeed.blogspot.ie/2007/10/opening-price-gaps-and-reversions-to.html

Going back to 2004 (N = 962 trading days), we find that SPY has closed its opening gap each day on 696 of those occasions, or about 70% of the time. We can thus see why traders commonly believe that "gaps tend to be filled". Interestingly, however, the median gap size (to the upside or downside) for the days in which gaps were ultimately filled was .14%. The median gap size for days in which gaps were not filled was .31%.

Let's look at this another way: When the opening gap up or down was greater than .35% (N = 211), the gap was filled on 97 of those occasions, or less than half the time. When the opening gap up or down was less than .35% (N = 751), the gap was filled on 599 of those occasions, or about 80% of the time.

Same thing happen with banknifty yesterday. I think on Tuesday itself, banknifty was in the mood of making good trend day but Axis bank ruined it.

In the later half, it pushed itself and next day opened with a gap and then followed by the trend.

One more post on how stocks behave when they open with a gap.
http://bleedingmarkets.blogspot.ie/2016/12/trading-stocks-that-open-with-gap-and.html

Thanks
Vagar

 

[TradeOptions]

Please dont delete this thread.
Information shared here is unique and lot of time has been spent for testing the data.

Yes, the thread should not be deleted. Important Stats.

Infact, I am also thinking of posting some stats, but not just related to Nifty, but related to ALL Futures and Options Contracts of NSE. If vagar bhai, do not mind, I will post all that here in this thread itself.

Best Regards

 

[TradeOptions]

One more post on how stocks behave when they open with a gap.
http://bleedingmarkets.blogspot.ie/2016/12/trading-stocks-that-open-with-gap-and.html

Thanks
Vagar

Thanks for the link.
Nice Blog, with good information brother. :thumb:

Best Regards

 

[vagar11]

Yes, the thread should not be deleted. Important Stats.

Infact, I am also thinking of posting some stats, but not just related to Nifty, but related to ALL Futures and Options Contracts of NSE. If vagar bhai, do not mind, I will post all that here in this thread itself.

Best Regards

Please post. You are welcome. Apni he thread samjho.

 

[travi]

From all that I've read:

1. Random walk Hypothesis vs Non-Random:
Neither can sustainably prove and hold.

2. Probability and outcomes of such statistics have been around 50% with +/-5-10% range.
This establishes the 50% chance.

3. Then I tried SD (Std Deviation rule), the 34% thing holds but it is also bound by +/-34% which is again 50% but 69% of the times it closes in the 1SD range and 99% in 2SD.

After similar other stuff, removed all indicators etc etc and holding on to price-action and trend.

Discipline of Trader is opp. of Engineer.
> Engineer always wants to think out-of-the-box, different from everyone else.
Trader should behave like Sheep and stick with Trend. Go against and get buried.
> Engineer has time to retest, Trader is a Fighter jet pilot in split second decisions.
> Engineer observes keenly but doesn't have a Trader's eye bcos Engineers revolve around laws and the market bends laws.

I don't intend to demean the efforts here, in fact, I love all the stats Vagar11 puts and hope more comes. I'm one of those who from above role #1 evolved to role #2. Like our electronics, dual profiles for dual purposes.

 

[Happy_Singh]

Yes. You got it right. So, if the opening 5 min opening bar is green, then there is a 62% chance day will also be green. Data is tested on 58 months shared by R M sharma. I guess most of us are using it.

Similar stats were for Banknifty.

The open time on the exchanges used to be 9:55 AM,

effectively the first 5 minutes Bar used to also close with 15/30/Hourly bar at 10:00 AM,
also no pre-open sessions in those days, so price discovery in first 5 minutes of trading,


Would be interesting to see if all this reflects in the data . . .


Thanks

Happy

 

[TradeOptions]

The open time on the exchanges used to be 9:55 AM,

effectively the first 5 minutes Bar used to also close with 15/30/Hourly bar at 10:00 AM,
also no pre-open sessions in those days, so price discovery in first 5 minutes of trading,


Would be interesting to see if all this reflects in the data . . .


Thanks

Happy

Very Important Point, happy brother. :thumb:
I had almost forgotten about the change that we had in our market open timings. This aspect needs to be kept in the mind while doing this type of backtest, otherwise we will get wrong output.

Thanks and regards

 

[vagar11]

The open time on the exchanges used to be 9:55 AM,

effectively the first 5 minutes Bar used to also close with 15/30/Hourly bar at 10:00 AM,
also no pre-open sessions in those days, so price discovery in first 5 minutes of trading,


Would be interesting to see if all this reflects in the data . . .


Thanks

Happy

The data I have is from Jan 2012. It is showing 09:16 as start time. In which year the opening time was 10:00 AM ?

NIFTY,20120102,09:16,4639.80,4643.25,4618.25,4621.35

 

[vagar11]

Nifty is going to end up in either positive or negative. So, I did a study of buying when price goes above 1st min bar closing price and vice versa.

Total points accumulated was 54K for 58 months. When brokerage of 2 pt was applied it came to 12K and on top of that if we apply slippage it will be -ve.

Did some more study on buying if nifty goes above 20 pts above open and vice versa.

NF.txt 0 54700.6
NF.txt 1 51731.65
NF.txt 2 48873.6
NF.txt 3 46162.6
NF.txt 4 43499.6
NF.txt 5 40902.75
NF.txt 6 38451.3
NF.txt 7 36066.65
NF.txt 8 34045.65
NF.txt 9 32044.85
NF.txt 10 29909.5
NF.txt 11 28239.65
NF.txt 12 26587.35
NF.txt 13 25035.65
NF.txt 14 23697.3
NF.txt 15 22521.7
NF.txt 16 21262.2
NF.txt 17 20062.45
NF.txt 18 18890.0
NF.txt 19 17919.25
NF.txt 20 16941.6
NF.txt 21 16462.85
NF.txt 22 15645.0
NF.txt 23 14709.05
NF.txt 24 13847.5
NF.txt 25 13510.45
NF.txt 26 13133.85
NF.txt 27 12389.4
NF.txt 28 11958.85
NF.txt 29 11244.4
NF.txt 30 10949.85
NF.txt 31 11042.5
NF.txt 32 10440.45
NF.txt 33 10122.05
NF.txt 34 9896.1
NF.txt 35 9824.4
NF.txt 36 9271.15
NF.txt 37 9037.75
NF.txt 38 9005.8
NF.txt 39 8793.05
NF.txt 40 8542.5
NF.txt 41 8149.75
NF.txt 42 7920.8
NF.txt 43 7728.85
NF.txt 44 7689.85
NF.txt 45 7297.5
NF.txt 46 6816.55
NF.txt 47 7070.55
NF.txt 48 6819.15
NF.txt 49 6601.15
NF.txt 50 6430.9⁠⁠⁠⁠

After brokerage.

NF.txt 0 11978.6
NF.txt 1 10289.65
NF.txt 2 9073.6
NF.txt 3 8590.6
NF.txt 4 8145.6
NF.txt 5 7778.75
NF.txt 6 6937.3
NF.txt 7 6742.65
NF.txt 8 7033.65
NF.txt 9 7460.85
NF.txt 10 7363.5
NF.txt 11 7455.65
NF.txt 12 7513.35
NF.txt 13 7643.65
NF.txt 14 7887.3
NF.txt 15 8203.7
NF.txt 16 7814.2
NF.txt 17 7646.45
NF.txt 18 7240.0
NF.txt 19 6955.25
NF.txt 20 6567.6
NF.txt 21 6886.85
NF.txt 22 6605.0
NF.txt 23 6145.05
NF.txt 24 5627.5
NF.txt 25 5978.45
NF.txt 26 5969.85
NF.txt 27 5625.4
NF.txt 28 5540.85
NF.txt 29 5048.4
NF.txt 30 5257.85
NF.txt 31 5656.5
NF.txt 32 5196.45
NF.txt 33 5088.05
NF.txt 34 5060.1
NF.txt 35 5158.4
NF.txt 36 4711.15
NF.txt 37 4641.75
NF.txt 38 4777.8
NF.txt 39 4689.05
NF.txt 40 4604.5
NF.txt 41 4369.75
NF.txt 42 4310.8
NF.txt 43 4216.85
NF.txt 44 4339.85
NF.txt 45 4013.5
NF.txt 46 3600.55
NF.txt 47 3988.55
NF.txt 48 3837.15
NF.txt 49 3699.15
NF.txt 50 3594.9

No slippage is considered in above data.

I did some further analysis like buying or selling only once per day. Returns were same around 8k.