Nifty Futures Trading Strategy-New

[ag_fx]

Ankit, please carry on with your approach but for the sake of discussion I am raising a question for now - Lets something happens in the market at 2.30 pm and we get a 10min candle which is 80 points long. This will give sudden spike in MACD and generates crossover signal.

Will you take this signal as valid one or not ?

Happy Trading.

Certainly yes....But I would also use filters...so the real entry might be at 5 points over the high of bar(long posn)....Further, this price action wud be at 2:30 PM...an intraday phenomenon....if it can rise 80 points within 10 mins, we can always get another 50 points in next 1 hour...I mean just a hypothetical situation I am quoting...


PS: I am sure you will agree to the fact that such a jagged movement hasnt occurred in the history so far....and is quite unlikely too....

 

[rkkarnani]

Ankit, please carry on with your approach but for the sake of discussion I am raising a question for now - Lets something happens in the market at 2.30 pm and we get a 10min candle which is 80 points long. This will give sudden spike in MACD and generates crossover signal.

Will you take this signal as valid one or not ?

Happy Trading.

AW10, Agree with Ankit abouttaking a position at 2.30 on wide range bar breakout but would prefer to use some thing to safegurd my position in case the breakout turns out to be false. No idea on it yet, but would consider maybe a 5 minute chart to track it till certain level.
As a rule I do not trade any fresh signal not triggered till 2.45. At 2.30 ofcourse the new trade is on.

 

[AW10]

Ankit, RKK you are right in your belief and thats what we trade in the market.

My belief is slightly different, When I look at the chart, I try to read the price action. If I remove the date and time data from X-axis of chart, then at mkt open, I will have a Long Bar and nothing more then that. So at a chart, with blank time axis, my interpretation to long bar will always remain the same irrespective of the time of the day.

If the price levels of that action are accepted by market i.e.
- mkt trades above that then it is same as any other breakout,
- retraces partially and then moves in the same direction then it is same as any other breakout + retracement + continuation case
- or mkt rejects this price and reverses then it is same as false breakout

My usual reaction to such unsual price action is to use extra filters like wait for 2 bars, or wait for first 30 mins on my strategies before taking action. Even if it comes at 2.30 pm or 10.00 am.
This approach has given me more consistency in interpretation of chart.
In future (I am dreaming now..), when NIFTY goes for 24hrs trading, we will see more such events. This is very common in other mkt that are traded 24*7 like forex, S&P 500 or Dow futures.

If we draw the indicators over 5 days price action, then they generally show spike due to this unusual movement. As a system developer, we need to devise some method to handle this abnormal calculation. One of the shortcoming of MA category indicators is that it is sensitive to such unsual bar size and becomes unstable for next few bars. When such long bar becomes part of calculation period, or drops from calculation period, MAs show a spike. Shorter the calcuation timeframe, more prominent is the impact.

Hope this gives you different perspective to the reader. As I always say, backtest the sytem before trading so don't jump and start putting money on new perspective.

All the best with your approach and Happy Trading.

 

[rkkarnani]

Ankit, RKK you are right in your belief and thats what we trade in the market.

My belief is slightly different, When I look at the chart, I try to read the price action. If I remove the date and time data from X-axis of chart, then at mkt open, I will have a Long Bar and nothing more then that. So at a chart, with blank time axis, my interpretation to long bar will always remain the same irrespective of the time of the day.

If the price levels of that action are accepted by market i.e.
- mkt trades above that then it is same as any other breakout,
- retraces partially and then moves in the same direction then it is same as any other breakout + retracement + continuation case
- or mkt rejects this price and reverses then it is same as false breakout

My usual reaction to such unsual price action is to use extra filters like wait for 2 bars, or wait for first 30 mins on my strategies before taking action. Even if it comes at 2.30 pm or 10.00 am.
This approach has given me more consistency in interpretation of chart.
In future (I am dreaming now..), when NIFTY goes for 24hrs trading, we will see more such events. This is very common in other mkt that are traded 24*7 like forex, S&P 500 or Dow futures.

If we draw the indicators over 5 days price action, then they generally show spike due to this unusual movement. As a system developer, we need to devise some method to handle this abnormal calculation. One of the shortcoming of MA category indicators is that it is sensitive to such unsual bar size and becomes unstable for next few bars. When such long bar becomes part of calculation period, or drops from calculation period, MAs show a spike. Shorter the calcuation timeframe, more prominent is the impact.

Hope this gives you different perspective to the reader. As I always say, backtest the sytem before trading so don't jump and start putting money on new perspective.

All the best with your approach and Happy Trading.

Thanks a lot , really a different perspective about the opening bar. Will surely have a look deeply into what you have mentioned.
This may help me not only here in this strategy but elsewhere too.
Thanks again.

 

[ag_fx]

Thanks AW10 for the insight. Its a different perspective altogether and requires a slight shift in mindset to implement it. I will definately take a look into it as we go forward.

Forward Testing Day 13

Time	Buy	Sell 	Entry	Tgt	SL	Reason


10:03	0	0	0	0	2870	SL moved upto +60 level as we are +90 in our favour
11:45	0	0	0	0	0	SAR as MACD crosses signal line on upside on 10 min chart. SAR level moved to High of previous candle + filter = 2830
12:00	50	0	2830	0	0	SAR levels triggered
12:00	100	0	2830	2880	2800	MACD crosses signal line on 10 min on upside
12:35	0	0	0	0	2830	SL moved upto entry level as we are +30 in our favour
12:57	0	100	2830	0	0	SL Hit @ entry point
13:55	100	0	2883	2933	2853	EMA(10,25) crossover. New positions taken. TP/SL old methodlogy followed. Entry taken using filters
14:30	0	0	0	0	2833	SL moved upto entry level as we are +30 in our favour
15:25	0	50	2929	0	0	Covered half lots at EOD. Other Lots would be either SL or SAR

 

[ag_fx]

Forward Testing day 14

Time	Buy	Sell 	Entry	Tgt	SL	Reason					

10:00	0	0	0	0	2913       SL moved upto +30 level as we are +60 in our favour
10:55	0	50	2924	0	0	SAR as MACD crosses signal line on downside on 10 min chart. SAR level moved to Low of previous candle - filter = 2917

11:00	0	100	2917	2857	2947	SAR levels triggered

13:45	100	0	2947	0	0	SL triggered. No new signal.Entry levels moved to 2967(Hi of last bar + filter)

14:15	100	0	2967	3017	2937	SAR levels triggered

15:15	0	0	0	0	2967	SL moved upto entry level as we are +30 in our favour

15:25	0	0	2967	0	0          SL triggered

 

[ag_fx]

Forward Testing Day 15

Time	Buy	Sell 	Entry	Tgt	SL	Reason	

10:05	0	0	0	0	0	MACD crosses down. Entrey level moved to Low of last candle - filter= 2982
10:10	0	100	2982	2932	3012	Entry levels triggered
13:50	0	100	2957	2932	2987	EMA(10,25) crossover. Add operation.Original Targets Maintained.
13:55	0	0	0	0	2982	SL moved upto entry level as we are +30 in our favour
13:25	100	0	2962	0	0	Half Lots Covered at Tgt price. Half kept open for EOD/SL/SAR

Wishing All the members of Traderji a very HAPPY AND PROSPEROUS NEW YEAR AHEAD!!!!

 

[columbus]

Forward Testing Day 15

Time	Buy	Sell 	Entry	Tgt	SL	Reason	

10:05	0	0	0	0	0	MACD crosses down. Entrey level moved to Low of last candle - filter= 2982
10:10	0	100	2982	2932	3012	Entry levels triggered
13:50	0	100	2957	2932	2987	EMA(10,25) crossover. Add operation.Original Targets Maintained.
13:55	0	0	0	0	2982	SL moved upto entry level as we are +30 in our favour
13:25	100	0	2962	0	0	Half Lots Covered at Tgt price. Half kept open for EOD/SL/SAR

Wishing All the members of Traderji a very HAPPY AND PROSPEROUS NEW YEAR AHEAD!!!!

You have not posted today's data till now.

 

[ag_fx]

I am sorry.,.I havent been able to track the markets for past two days due to some personal reasons...I have no trades to post....In case anyone else has followed them, please post the results...Otherwise, by Monday EOD I would post using the backtest for last two days....

Tks

 

[ag_fx]

Forward Testing Day 16,17 & 18

Instrument	Date	Time	Buy	Sell 	Entry	Tgt	SL	Net position	Points	PnL	Reason				

1-Jan	10:05	100	0	2981	0	0	0	-24	-2400	SL triggered gap up.
1-Jan	10:05	0	0	2992	0	0	0		0	MACD criossover. Entry level moved to high of candle + filter = 2992
1-Jan	10:55	200	0	2992	3042	2962	200		0	Entry levels triggered.Double sized lots as EMA have crossed over
1-Jan	12:45	0	0	0	0	0	200		0	MACD crosses down. SAR level moved to Low of last candle - filter= 2975
1-Jan	14:05	0	0	0	0	0	200		0	SAR trade cancelled. MACD crosses back above.
1-Jan	13:25	0	0	0	0	2992	200		0	SL moved to entry levels as we are +30 in our favour
1-Jan	13:25	0	100	3031	0	0	100	39	3900	Covered half lots at EOD. Other Lots would be either SL or SAR
2-Jan	10:00	0	0	0	0	3022	100		0	SL moved upto +30 level as we are +60 in our favour
2-Jan	10:25	0	100	3022	0	0	0	30	3000	SL triggered. MACD crossover took place. SAR level moved to low of last candle-fiter=3017
2-Jan	10:55	0	0	0	0	0	0		0	SAR cancelled. MACD crosses above.SAR at high of candle+filter = 3053
2-Jan	11:15	100	0	3053	3103	3023	100		0	Entry Levels triggered
2-Jan	11:45	0	0	0	0	0	100		0	SAR as MACD crosses signal line on downside on 10 min chart. SAR level moved to Low of previous candle - filter = 3031
2-Jan	11:50	0	100	3031	0	0	0	-22	-2200	SAR levels triggered
2-Jan	11:50	0	100	3031	2981	3061	-100		0	Entry Levels triggered
2-Jan	13:25	100	0	3061	0	0	0	-30	-3000	SL triggered
2-Jan	14:05	100	0	3070	3120	3040	100		0	MACD crossovers. Entry level using filters
2-Jan	14:55	0	0	0	0	0	100		0	SAR as MACD crosses signal line on downside on 10 min chart. SAR level moved to Low of previous candle - filter = 3048
2-Jan	15:05	0	200	3048	2998	3078	-100		0	Entry Levels Triggered
2-Jan	15:25	50	0	3044	0	0	-50	4	200	Covered half lots at EOD. Other Lots would be either SL or SAR
5-Jan	10:05	0	0	0	0	3091	-50		0	SAR as MACD crosses signal line on upside on 10 min chart. SAR level moved to High of previous candle + filter = 3091
5-Jan	11:25	50	0	3091	0	0	0	-43	-2150	SAR triggered
5-Jan	11:25	100	0	3091	3141	3061	100		0	Entry Levels Triggered
5-Jan	12:05	0	0	0	0	3077	100		0	SAR as MACD crosses signal line on downside on 10 min chart. SAR level moved to Low of previous candle - filter = 3072
5-Jan	13:05	0	100	3072	0	0	0	-19	-1900	SAR triggered
5-Jan	13:05	0	100	3072	3022	3102	-100		0	Entry Levels Triggered
5-Jan	15:05	100	0	3102	0	0	0	-30	-3000	SL triggered
5-Jan	15:05	0	0	3116	0	0	0		0	MACD crosses over. Entry = High of candle+ filter= 3116
5-Jan	15:15	100	0	3116	3166	3086	100		0	Entry Levels triggered
5-Jan	15:25	0	50	3128	0	0	50	12	600	Covered half lots at EOD. Other Lots would be either SL or SAR