Nifty Positional Trading - Super Trend Indicator

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#11
Happy, Cubt has mentioned in the 30 min. results that the figures are actual trades with real money !
I agree with you on Cost of Trades and slippage. However the shifting of futures position is not always against us, usually when a Short position is shifted it turns out to be favourable as next Month NF are Shorted at higher rates and current month covered Lower !
Hello RRK

You got him wrong about actual results, by actual he means actual back testing results and not just compounding with fixed % using a excel sheet . . . :D


Shifting is not always against but it has net-net negative impact . . .
when we shift mandi positions we get less than when we have to give (teji positions) . . .
of-course you can easily verify this . . .

Anyway, just pointed it out, one can always ignore all this and focus purely on system development :thumb:


Cheers


:) Happy
 
#14
Yes, you are right. Made me realize what I need to focus on...
Hello Cubt

It is nice to see that you have an open mind about all this . . .

After we run the back tests, one more thing to do is to look at the column that gives Max Adverse Excursion, check out those trades and see what is happening.
Specially the trades that show big gains if they have some -ve excursion . . .

It is very tough to trade a SAR system . . . this will have a typical win/loss of 3.5-4.5/10 trades

There are 2-3 obvious improvements / adjustments that can be considered . .

1. One is filtering the trades with something else (HTF / Or other indicator. , etc)
2. Using scaling-in to the winning position.
3. consider ST as just the setup use some other entry trigger for e.g. c > ref(h,-1) would be a very good entry trigger
4. Some initial SL that can be used before the reversal along with re-entry condition

Of course one can just go ahead and trade with only ST as doing any of the above is not going to alter the final outcome drastically,
it is more about traders comfort levels with the final system that he will be trading.

Cheers
:) Happy
 

rkkarnani

Well-Known Member
#15
No, rk. I have not traded with real money for 6 years, it just back test results of 6 years. Only last few months am trading with real money using super trend
Okay Cubt , now understood! I got a false notion that these are actual trades.
 
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rkkarnani

Well-Known Member
#17
If you get time Cubt, do post a few chart, where there are long runs and also where there are whips ! Wish to understand how the trades were taken : Do we go short on close of the Candle closing below Supertrend or take short only on breach of the LOW of the candle closing below Supertrend. What SL is taken at the time of entry? Is the SL trailed? How? Any filter used for trading levels ?
Another important thing : Till 31st Dec 2009, the first candle in your 30 minutes chart must be of just 5 minutes as market used to commence at 9:55 ! May not have affected the results much, but it came to mind hence mentioned the same.
Just another thought : The pre-open commenced from 18th Oct 2010 ! Why not consider the results from 18th Oct 2010 ! ?
 

Cubt

Algo Trader
#18
rk,

PFB my answers

Do we go short on close of the Candle closing below Supertrend or take short only on breach of the LOW of the candle closing below Supertrend.

We go short once the bar candle closes below the Super Trend

What SL is taken at the time of entry? SL is taken based on recent range high,I guess its based on ATR(this is what i understood, but not sure about the coding part)

Is the SL trailed? Yes, SL is trailed. On short position, as when the stock moves down, the TSL also kept moving down based on M.average

Any filter used for trading levels ? Factors & ATR parameters are used

Another important thing : Till 31st Dec 2009, the first candle in your 30 minutes chart must be of just 5 minutes as market used to commence at 9:55 ! May not have affected the results much, but it came to mind hence mentioned the same.
Just another thought : The pre-open commenced from 18th Oct 2010 ! Why not consider the results from 18th Oct 2010 ! ?
Yes, retested during the above period, results were good.
 

Cubt

Algo Trader
#19
I have tried using one more filter for TSL, its 20 EMA.

If the bar candle closes above 20 EMA, we need to exit the long/short position.

Can someone please add this criteria to the existing AFL?
 
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