Pride's Intra-Day Strategy [Profit Everyday]

[Aqua9]

you are absolutely correct. but I feel that if a particular strategy has it's fundamentals correct, minor tweaking of parameters can ensure that we stay profitable even in different market conditions...



buddy, I don't know what you have done, but trust me, since the day I have started using this strategy, my equity curve is the exact mirror image of what you have posted

Dear Pride,

It a great thread that you have shared abt, as i am actively trading options, would you recomend that the same settings of stochastic will help me trading options on intraday ??? your views on this will be appriciated.

cheers
Aqua.

 

[alokdaga]

Hi Pride,
I'm enclosing the tradestation strategy backtest report for your strategy.

Code:
Inputs: K(8),DX(3),DX1(4),ContSize(50);
Variables: High1(0),Low1(0),Close1(0),Stoch(0),oFastK(0), oFastD(0), oSlowK(0), oSlowD(0),Stoch1(0), 
oFastK1(0), oFastD1(0), oSlowK1(0), oSlowD1(0),EMA(0),StopVal(0);

High1 = High of data2;
Low1 = Low of data2;
Close1 = Close of data2;

Stoch = Stochastic(High1, Low1, Close1, 8, 4, 3, 1, oFastK, oFastD, oSlowK, oSlowD);
Stoch1 = Stochastic(H,L,C,8,4,3,1,oFastK1, oFastD1, oSlowK1, oSlowD1);

If ofastk > oSlowD and oFastK1 > oSlowD1 and Xaverage(C,5) crosses over Xaverage(C,13) then
buy 50 shares next bar at market;

If L[1] < L[2] then
StopVal = C - L[1] else
stopval = C - L[2];

If oFastK1 crosses below oSlowD1 then sell contsize/2 shares next bar at open;
If MRO(ofastk > oSlowD and oFastK1 > oSlowD1 and Xaverage(C,5) crosses over Xaverage(C,13),20,1) 
> MRO(oFastK1 crosses below oSlowD1,20,1) then sell contsize/2 shares next bar at open;

setstopposition;
SetStopLoss(contsize*StopVal);

Can someone confirm if I've coded this right? Tested it from 2006. I've assumed a commission of Rs..75 per side.

How about using the strategy the opposite !! Just joking ! Manually does not look that bad as your analysis shows. Please recheck !!

 

[.Pride.]

for those of you who are sceptical about the 30min time frame that we are using, I'm giving a link to Alexander Elder's book where he mentions "The Factor of Five".

You will understand why I use 30min stoch direction for trading 5min charts.

It also has some info on the advantages of using EMAs.

Just click on the link and scroll down a bit.

http://books.google.co.in/books?id=...hoz5CQ&sa=X&oi=book_result&ct=result&resnum=1

don't know how important you guys consider his books, but I think he makes some valid points

p.s just sharing as much info as I can as I want people to understand what this system is and what exactly we are doing rather than trading blindly with it.

 

[oxusmorouz]

I dont know wat you have done is correct or not...I cant even comment on the code.
I can just say one thing: You have been able to discover a gold mine of trading!!!

How?

Just swap your entry and exit signals in ur code....n then u will have an automated strategy making u a millionaire!!!

buddy, I don't know what you have done, but trust me, since the day I have started using this strategy, my equity curve is the exact mirror image of what you have posted

How about using the strategy the opposite !! Just joking ! Manually does not look that bad as your analysis shows. Please recheck !!

Using the reverse of the strategy is just hypothetical, and may work if commissions and slippages don't exist. Out of the total loss of 329K, commissions and slippages (taken at 75rs/side) take a bulk eat of it, which precisely explains why stochastic oscillator and EMA can't be used to trade 5min charts.

take it light heartedly...No harsh feelings..I am sure some some other guys like joy,humble etc can help u out with the code.

That would be great.

 

[Bimbo]

Hi Oxusmorouz,My two cents.Just check if ur comission of rs 75/-.I think ur formula is taking Rs 75/- per nifty & not Rs 75/- per lot.Divide Rs 75/- by no of Nifty in the lot u may get the correct answer

 

[oxusmorouz]

Hi Oxuxmoruz,My two cents.Just check if ur comission of rs 75/-.I think ur formula is taking Rs 75/- per nifty & not Rs 75/- per lot.Divide Rs 75/- by no of Nifty in the lot u may get the correct answer

2298 buys/shorts, 2298 sells/covers...a total of 4596 trades, Rs.75 per trade.

 

[joy.edakad]

Hi, Oxusmorous

Looking at the trade list, trades posted here and in the back test report are different.

regards

 

[.Pride.]

Using the reverse of the strategy is just hypothetical, and may work if commissions and slippages don't exist. Out of the total loss of 329K, commissions and slippages (taken at 75rs/side) take a bulk eat of it, which precisely explains why stochastic oscillator and EMA can't be used to trade 5min charts.

why don't you post the backtest report for the month of June so people here can see whether your test reported the same trades that we made live on this thread.

your sentence in bold is contradicting the very existence of this thread.

 

[ag_fx]

First trade of the day:

Short 4359

 

[Rajadhiraj]

The trades for the backtest by oxusmorouz is provided in his first post but the trades don't match the ones taken on this thread

few e.g.s of the trades from the excel sheet provided

2287	4573	EntryLong	Buy	6/19/2009	10:00:00 AM	4297	25	-100
	4574	ExitLong	Sell	6/19/2009	10:20:00 AM	4299	25	
2288	4575	EntryLong	Buy	6/19/2009	10:00:00 AM	4297	25	-100
	4576	ExitLong	Sell#1	6/19/2009	10:20:00 AM	4299	25	
2289	4577	EntryLong	Buy	6/19/2009	11:55:00 AM	4290.7	25	257.5
	4578	ExitLong	Sell	6/19/2009	12:25:00 PM	4307	25	
2290	4579	EntryLong	Buy	6/19/2009	11:55:00 AM	4290.7	25	257.5
	4580	ExitLong	Sell#1	6/19/2009	12:25:00 PM	4307	25	
2291	4581	EntryLong	Buy	6/19/2009	2:55:00 PM	4287.25	25	373.75
	4582	ExitLong	Sell	6/19/2009	3:10:00 PM	4308.2	25	
2292	4583	EntryLong	Buy	6/19/2009	2:55:00 PM	4287.25	25	373.75
	4584	ExitLong	Sell#1	6/19/2009	3:10:00 PM	4308.2	25	
2293	4585	EntryLong	Buy	6/23/2009	11:55:00 AM	4195	25	-122.5
	4586	ExitLong	Sell	6/23/2009	12:00:00 PM	4196.1	25	
2294	4587	EntryLong	Buy	6/23/2009	11:55:00 AM	4195	25	-122.5
	4588	ExitLong	Sell#1	6/23/2009	12:00:00 PM	4196.1	25	
2295	4589	EntryLong	Buy	6/24/2009	11:35:00 AM	4243.05	25	-128.75
	4590	ExitLong	Sell	6/24/2009	11:40:00 AM	4243.9	25	
2296	4591	EntryLong	Buy	6/24/2009	11:35:00 AM	4243.05	25	-128.75
	4592	ExitLong	Sell#1	6/24/2009	11:40:00 AM	4243.9	25	
2297	4593	EntryLong	Buy	6/25/2009	1:45:00 PM	4309	50	-550
	4594	ExitLong	Stop Loss	6/25/2009	1:50:00 PM	4301	50	
2298	4595	EntryLong	Buy	6/26/2009	10:05:00 AM	4295	50	-600
	4596	ExitLong	Stop Loss	6/26/2009	10:15:00 AM	4286	50