SH's 315 Strategy - how to make it more comfortable and profitable!!

[vikrit]

Hello

I have all the NF EoD data (12.1.00) in ami and can get the data quite easily into the excel sheet, just don't want to do all that during trading hours.

Thanks

ok after closing, plz upload it in excel

thanks

 

[rkkarnani]

Ok..!! In tht case i dont think this file is of any use for u..!!
Which format do u require the data then..!!

Its in fact required by NTrader, and I am sure he will be able to convert it to his required format from the Amibroker file!!

 

[vikrit]

one thing which came across while analyzing data and charts that after a great move next day price will start going down but 3ema will not go down on that day. if next day price will close down enough then only it will go down.

for ex-

values---------3sma(for making it simpler)

80.59----------
65.56----------
39.17---------61.77
43.32---------49.35
77.4----------53.29
91.29---------70.67
151.26--------106.65
155.25--------132.6
121.55--------142.68
99.4----------125.4
86.23---------102.39

see last 4 values. price came 121.55 but 3ma is still going up

if want exit on 2 consecutive down value of 3ema, then will get confirmation on 3rd candle consecutively down and may be out on same 3rd one or on 4th.

so, may be try to find diff way to watch 3ema movement to catch it early. any suggestions?

 

[rkkarnani]

one thing which came across while analyzing data and charts that after a great move next day price will start going down but 3ema will not go down on that day. if next day price will close down enough then only it will go down.

for ex-

values---------3sma(for making it simpler)

80.59----------
65.56----------
39.17---------61.77
43.32---------49.35
77.4----------53.29
91.29---------70.67
151.26--------106.65
155.25--------132.6
121.55--------142.68
99.4----------125.4
86.23---------102.39

see last 4 values. price came 121.55 but 3ma is still going up

if want exit on 2 consecutive down value of 3ema, then will get confirmation on 3rd candle consecutively down and may be out on same 3rd one or on 4th.

so, may be try to find diff way to watch 3ema movement to catch it early. any suggestions?

Are the first values "closing" rates? Are these actual example? To me seems values taken arbitarily for this example!!! With the closing price fluctuation you have shown in the example, the Price might have moved from SELL to BUY and to SELL again a couple of times!! Its entirely based on Closing price!! My personal feeling is, and I have just eye balled the charts.. as suggested by SH, a 2 days adverse move of 3EMA works well for EXIT the only thing I add is that the decline or upmove in 3EMA should be more than 0.1% for it to be considered for exit.. seemed even better if we added another conditon... we consider the High or the Low of the bar in which this adverse move of 3EMA was considered and exit above or below the High and Low!! At first glance it seems to improve the results. Improve by how much is yet to be analysed or rather Improve or not???

 

[NTrader42]

Are the first values "closing" rates? Are these actual example? To me seems values taken arbitarily for this example!!! With the closing price fluctuation you have shown in the example, the Price might have moved from SELL to BUY and to SELL again a couple of times!! Its entirely based on Closing price!! My personal feeling is, and I have just eye balled the charts.. as suggested by SH, a 2 days adverse move of 3EMA works well for EXIT the only thing I add is that the decline or upmove in 3EMA should be more than 0.1% for it to be considered for exit.. seemed even better if we added another conditon... we consider the High or the Low of the bar in which this adverse move of 3EMA was considered and exit above or below the High and Low!! At first glance it seems to improve the results. Improve by how much is yet to be analysed or rather Improve or not???

Can we have a list of all the conditions we want to check / verify at one place, it will help evaluate.

I tested the basic cross ema3 with 15 for entire history of NF we get over all moderate gains but still beats buy-&-hold.

Adding the 3ema exit and re-entry as done on the original thread will improve the gains by a huge margin, the current exit scenarios being discussed further enhances the profitability by few percents.

I can slot the tests for this weekend, but before that we should get the conditions that we want to test finalized .

I think RKK with his experience of actually trading the system for long time will be the right person to compile that list.

Thanks

 

[rkkarnani]

Can we have a list of all the conditions we want to check / verify at one place, it will help evaluate.

I tested the basic cross ema3 with 15 for entire history of NF we get over all moderate gains but still beats buy-&-hold.

Adding the 3ema exit and re-entry as done on the original thread will improve the gains by a huge margin, the current exit scenarios being discussed further enhances the profitability by few percents.

I can slot the tests for this weekend, but before that we should get the conditions that we want to test finalized .

I think RKK with his experience of actually trading the system for long time will be the right person to compile that list.

Thanks

I will surely try to find out time to post what I have in mind!! Please do keep in mind.. I never traded this strategy in its Pure form. I was already trading a different set of parameters in Crossovers, SH's idea of 3EMA exit and 15 EMA add were brilliant!! As the strategy I am trading is a joint effort of a few people and I am not at a liberty to discuss/reveal it here! But I assure you I will post my views on what I think can improve the results of 315!!
BTW the analysis you have done for 315, does it included 3EMA exits and 15 EMA Adds??

 

[NTrader42]

I will surely try to find out time to post what I have in mind!! Please do keep in mind.. I never traded this strategy in its Pure form. I was already trading a different set of parameters in Crossovers, SH's idea of 3EMA exit and 15 EMA add were brilliant!! As the strategy I am trading is a joint effort of a few people and I am not at a liberty to discuss/reveal it here! But I assure you I will post my views on what I think can improve the results of 315!!
BTW the analysis you have done for 315, does it included 3EMA exits and 15 EMA Adds??

No adds are not considered in the basic test. Usually I will consider Scale-ins/Scale-outs as a part of MM and work with it once the basic trading rules are in place for initial position, exit, reversals etc.

Why we need the diff scenarios listed is everything cannot be automated, we can take help from AFL and/or excel and do the rest part manually, so repeating it becomes a pain, if its based entirely on AFL or an excel sheet then multiple tests with different data is not a problem.

BTW, there is no rush, take your time to compile all that you need to express / write.


Thanks

 

[rkkarnani]

No adds are not considered in the basic test. Usually I will consider Scale-ins/Scale-outs as a part of MM and work with it once the basic trading rules are in place for initial position, exit, reversals etc.

Why we need the diff scenarios listed is everything cannot be automated, we can take help from AFL and/or excel and do the rest part manually, so repeating it becomes a pain, if its based entirely on AFL or an excel sheet then multiple tests with different data is not a problem.

BTW, there is no rush, take your time to compile all that you need to express / write.


Thanks

And probably 3EMA exits re also not considered I presume as these are all more of "discretionary" trades rather than Mechanical!! Different people will trade these "rules" differently!!
I have no idea at all about AFL. I did try to make a Metastock Indicator by whatever knowledge I have , and is not yet complete...
Extra time being consumed in socialising due to heavy "marriage season"!! Will take some time to put in my thoughts.

 

[NTrader42]

Extra time being consumed in socialising due to heavy "marriage season"!! Will take some time to put in my thoughts.

hmm same marriage season problems here also

As i also trade commodities, that effectively leaves only sat/sun to do this kind of work. But I feel we already made good progress, just getting things together and running the tests (walk-through) is needed, and a few weeks should not make a difference for a system that trades only about 200 trades in 11 years


on the test attached unintentionally 4 times leverage was used (margin 25%), which was an mistake so consider everything like gains, drawdowns as 1/4th of that in the image.


Thanks

 

[vikrit]

............. seemed even better if we added another conditon... we consider the High or the Low of the bar in which this adverse move of 3EMA was considered and exit above or below the High and Low!! At first glance it seems to improve the results. Improve by how much is yet to be analysed or rather Improve or not???

back tested exit idea and others on nifty fut data (14 jun,2007-21,nov,2011).

will post details in late eve.

can you elaborate above high and low... means we will enter or exit next day at open, in between of the day or on close? what will be criteria if price or 3ema moved against the action? will test it too.