Nifty Futures Trading Strategy-New

[ag_fx]

Hello Ankit, went through your back testing data. Could not relate the Levels as per my chart of NF.
At many places it seems position has been taken one bar before the crossover. Seems some data error or indicator error. I am using metastock and its default setting for MACD.

Kindly explain the rationale behind taking position at 10.23, dont we wait for the bar on which the MACD gave a crossover to complete?
In my chart the NF gave a crossover only on the bar at 10.40 AM.
Are you following Nifty Spot chart???
In any mechanical system, the type you are aiming to create nedds to remove the "self" from the trade...what it seems to us should be of no consequence. What the market looks like should be of least bother to us then only can we apply a strategy successfully.

Thanks for the observations friend...
Yes, I use NIFTY SPOT charts only, because thats what drives Nifty FUT. All my trades in backtest also are on Nifty Spot. How we do in forward testing will tell us how to align NF with them.
The chart I used was from investbulls.com . I dont use metastock and thus cant comment on that.

Yes, you are right with the mechanical system(there shud be no Self in it). And thats what we are trying to do here. the trades I posted display my emotional reaction and I plan to remove them as we gain more confidence in the strat.I am sure once the strat is completely tested and refined, this "Self" will not come into picture.I posted whatever I thot as I am trying to improve myself.

I hope this helps

 

[ag_fx]

Forward Testing

Buy 100 Nifty Fut @ 2853(Spot 2842) as MACD crosses signal line on upside.

at 10:23 AM

Tgt 2902,SL 2812 (Nifty Spot)

We will TP and SL only on nifty spot basis and not on fut basis


10:43 AM : Markets seem range bound....this is precisely where this strat needs improvement.....as of now holding the longs...but may want to cut posns in profit (may be small)

11:10 AM: No ADD operation on MA crossovers. Reason: Range bound market, Also MACD is looking to slope back to signal line to cross down. So, trading light.

1:10 PM...Nifty Fut traded at 2913....Spot at 2901...Since we are easily getting 60 points on trade and are only 1 point away from spot tgt, covered 1 lot.

Thus..Sold 50 Nifty Futures at 2913...Tgt 1 Met

Half lots kept open for EOD/SAR/SL

 

[ag_fx]

2:05 PM

SAR

MACD crosses signal line on downside....covered remaining lots at 2890..


Also, Sell 100 Nifty Fut @ 2890(Spot) for fresh position..

Tgt: 2830 , SL 2920


2:35 PM : Trend reversal taking Place....SL not triggered yet. MACD looking to cross over back on upside...Wait and Watch till either SL or SAR occurs

 

[ag_fx]

2:05 PM

SAR

MACD crosses signal line on downside....covered remaining lots at 2890..


Also, Sell 100 Nifty Fut @ 2890(Spot) for fresh position..

Tgt: 2830 , SL 2920


2:35 PM : Trend reversal taking Place....SL not triggered yet. MACD looking to cross over back on upside...Wait and Watch till either SL or SAR occurs

2:45

SL triggered...Cover 100 Nifty Fut at 2920.....

No fresh signal yet....Though MACD is about to cross above as I write this.

 

[ag_fx]

3:03 PM

Bought 100 Nifty Fut (2918 Spot) as MACD again crosses above..

Tgt 2978, SL 2888 ( Nifty Spot)

 

[ag_fx]

3:03 PM

Bought 100 Nifty Fut (2918 Spot) as MACD again crosses above..

Tgt 2978, SL 2888 ( Nifty Spot)

3:25 PM

Cover one lot at market price....As a rule, we do not keep more than half of our open positions for overnite and close half of them near EOD.

Thus, Sell 50 Nifty Fut @ 2931....

Rest 50 NF are open for SAR or SL as the case may be....

 

[ag_fx]

11 Dec..Forward Testing Day 2

Open position from yesterday....50 Nifty Fut Long @ 2918 Spot


Lets See how it spans up today.

 

[ag_fx]

Time Buy Sell Entry Reason

10:03 0 50 2918 SAR as MACD crosses signal line on downside on 10 min chart

10:03 0 100 2918 MACD crosses signal line on 10 min on downside

TGT 2858 SL 2948

 

[ag_fx]

Time Buy Sell Entry Reason

10:03 0 50 2918 SAR as MACD crosses signal line on downside on 10 min chart

10:03 0 100 2918 MACD crosses signal line on 10 min on downside

TGT 2858 SL 2948

Time Buy Sell Entry Reason

3:06 100 0 2905 SAR as MACD crosses signal line on upside on 10 min chart

3:06 100 0 2905 MACD crosses signal line on 10 min on upside
TGT 2965 SL2875

3:25 0 50 2925 Covered half lots at EOD. Other Lots would be either SL or SAR

 

[ag_fx]

Few observations after 2 days of forward testing the strategy:


1) Nifty Spot & Nifty Fut at times play a very funny role. The premium/disc at which NF quotes can dampen profits from the system.
To overcome this dilemma, a new rule is added to the system:

For profit taking of first lot, use 60 points in the money or in your favour. These 60 points could be on Nifty Spot or NF from the levels you bought, whichever occurs earlier. That is if Nifty SPot moves +60 before NF, we cover and same if NF moves +60 before Nifty Spot, we cover


2) Use of trailing SL.

In a volatile session like today, we have to use trailing SL. Today, the position was +45 in the money, but was finally closed at +12....To avoid this circumstance, here is another rule....

If the position moves 30 points in our favour, our SL would be then moved to the entry point to make sure we dont book losses even after getting a partial winning trade.Thus, all the open lots would be covered in this scenario.

Also, beyond +45 points in the money,we would trail our SL to +30 points. Half lots can be covered at +30 and other half kept open either for TP or for movement to entry point.

But, one thing is to be remembered...MACD crossovers are BAAP of all signals. That is, above rules apply only when the MACDs havent changed direction & havent generated any new signals..



Wud request inputs from other members on the same. Have updated the rules at the first post today. Please look at them again to provide feedback too.

Regards,
Ankit