Systematic Intraday Index Trading Experiment

ncube

Well-Known Member
#1
Sometime back I saw @Raj232 post few index charts with buy and sell signal markings, highlighting the profit potential trading those signals. Many felt that it is not possible to trade it as those signals can be identified only through hindsight bias. I thought it was interesting and last few weeks I was working on building a systematic machine learning model to check if it is possible to predict it in real time.

I will be using this thread to track the signals generated by the model on Nifty Index and test its performance. I will try to post the signal index value along with the chart marking in real time. The signal can be used to trade index futures or options, personally I will be trading in options(buying Put/Call). However I will not be giving the trade calls for obvious reasons, however the index values I post will be in near real time.

If anyone interested to follow along...enjoy the ride, I am just as curious to see if it will work...if it works I will give credit to @Raj232 for the idea but of course will not be sharing the strategy/profits/loss...:)

Note: I will be posting the signals only on days I am relatively free and taking trades.
 

Romeo1998

Well-Known Member
#2
Sometime back I saw @Raj232 post few index charts with buy and sell signal markings, highlighting the profit potential trading those signals. Many felt that it is not possible to trade it as those signals can be identified only through hindsight bias. I thought it was interesting and last few weeks I was working on building a systematic machine learning model to check if it is possible to predict it in real time.

I will be using this thread to track the signals generated by the model on Nifty Index and test its performance. I will try to post the signal index value along with the chart marking in real time. The signal can be used to trade index futures or options, personally I will be trading in options(buying Put/Call). However I will not be giving the trade calls for obvious reasons, however the index values I post will be in near real time.

If anyone interested to follow along...enjoy the ride, I am just as curious to see if it will work...if it works I will give credit to @Raj232 for the idea but of course will not be sharing the strategy/profits/loss...:)

Note: I will be posting the signals only on days I am relatively free and taking trades.
trading like that is very much possible on the 1 min timeframe....
it has already been done by Ricochet Trading Robot of Evgeniy Zhdan :)
good luck :)
 

ncube

Well-Known Member
#3
trading like that is very much possible on the 1 min timeframe....
it has already been done by Ricochet Trading Robot of Evgeniy Zhdan :)
good luck :)
Thanks, forgot to mention that I don't intend to do scalping or HFT, it will be algorithmic AI in nature and the system will use 5 min TF for analysis and probably there will not be more than 2/3 trades in a day.
 

ncube

Well-Known Member
#4
21/1/2021:

Trades:
1. Sell: 14732; Buy: 14735; Points: -3
2. Buy: 14735; Sell: 14740; Points: +5
3. Sell: 14740; Buy: 14625; Points: +115

Trade Signals:
1611220994267.png

Trades:
1611222484139.png


Observations:
1. System missed the 1st trade, could be due to the gap up opening.
2. Market was mostly flat in the morning session.
 
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ncube

Well-Known Member
#5
22/1/2021:

Trades:
1. Sell: 14537; Buy: 14572; Points: -35
2. Buy: 14592; Sell: 14568; Points: -24
3. Sell: 14556; Buy: 14520; Points: +36

Trade Signals:
1611297400869.png


Trades Taken:
1611297493111.png


Observations:
1. Stopped trading for the day as max 3 trades limit is reached.
2. Couple of execution errors happened due to inconsistent price movements between puts and calls at ATM due to which SAR did not happen and trade was taken at next signal. Also had to change the option to 14500CE (slightly ITM) instead of 14600CE for the next trade.
3. Need to optimize the execution model, need to explore if futures would be better.
4. Impacting EOD Equity strategy as very difficult to monitor the strategies together manually, hence will explore fully automating the intraday trading.
 
Last edited:

Raj232

Well-Known Member
#6
Sometime back I saw @Raj232 post few index charts with buy and sell signal markings, highlighting the profit potential trading those signals. Many felt that it is not possible to trade it as those signals can be identified only through hindsight bias. I thought it was interesting and last few weeks I was working on building a systematic machine learning model to check if it is possible to predict it in real time.

I will be using this thread to track the signals generated by the model on Nifty Index and test its performance. I will try to post the signal index value along with the chart marking in real time. The signal can be used to trade index futures or options, personally I will be trading in options(buying Put/Call). However I will not be giving the trade calls for obvious reasons, however the index values I post will be in near real time.

If anyone interested to follow along...enjoy the ride, I am just as curious to see if it will work...if it works I will give credit to @Raj232 for the idea but of course will not be sharing the strategy/profits/loss...:)

Note: I will be posting the signals only on days I am relatively free and taking trades.
Nice to see that somebody finally is inspired with my posting.. Keep it up !! .... and hope you will give me 1 free version for me to trade as well. !! :):)
 

ncube

Well-Known Member
#7
Nice to see that somebody finally is inspired with my posting.. Keep it up !! .... and hope you will give me 1 free version for me to trade as well. !! :):)
Thanks, Long way to go before the strategy can go into production, but so far it is promising. I will try to optimize the execution part first as manually monitoring the trades is becoming a pain and learning new data points as looks like options with higher time premium are not consistent at put & call sides...need to explore if synthetic futures or plain futures would be better.

Of course we will work out the profit sharing part once this experiment is successful...:)
 

ncube

Well-Known Member
#8
Very stupid of me, just realized that I was trading 4th Feb weekly options instead of the 28th Jan Monthly options. No wonder there is inconsistency between put and call prices and SAR was not happening!!!!

Typical problem of Humans working on multiple activities at the same time...:)
 
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Raj232

Well-Known Member
#9
Very stupid of me, just realized that I was trading 4th Feb weekly options instead of the 28th Jan Monthly options. No wonder there is inconsistency between put and call prices and SAR was not happening!!!!

Typical problem of Humans working on multiple activities at the same time...:)
Some tweaking might be necessary on the instrument selected, but as long as the system is working as intended is no problem using it :)
 

ncube

Well-Known Member
#10
25/1/2021:

Trade Signals:
1611556130760.png

Trades:
1611556246557.png

Analysis:

1. 2nd Trade failed.
2. 3rd trade closed manually at the indicated point (Not system signal) as having some work to complete and cannot monitor the trades.
 

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