Tweaks/Experiments in Saint's Intraday Miniflow Method.

[FlowTrader]

Hi Manoj,
As a regular nifty intraday trader & scalper, I have been utilising this 1:30 to 2:00 time zone as one of the three time periods where one can expect good, sustained directional movement in price.

Since your backtest period is from 16Dec08 to 9Mar09, I wanted to make you aware of this system of time arrangement followed by most of the Western Countries called as "Day Light Saving".
In this arrangement, clocks are advanced by one hour in Spring to make the most of seasonal daylight. At the beginning of winter, they are adjusted back again by one hour.

European countries adjust their clock one hour forward from last Sunday of the March and adjust it back from last Sunday of October.
So, from 29-Mar-09, EU markets will open from 12:30pm IST instead of the current 1:30pm IST

In CAC or DAC (EU countries' indices) charts, you will notice the same phenomenon when Dow Jones Spot start to trade, while in our early morning, it's the HangSang which tries to create a sort of commanding power over the already opened Asian countries.

US adjusts its day light saving time from second Sunday of March. Thus, w.e.f. 8-Mar-09, Dow opens at 7:00pm IST instead of around 8pm IST.


Awareness of these time periods come handy many times during intraday trades - their effect may mean a lot to intraday players.

For us, from 30-Mar-09 (first trading day after 29-Mar), we will have HangSang + EU FUTs opening at 12pm IST, while EU Cash market will open at 12:30pm IST

:clap: :clapping: :clap:


Thanks for the excellent inputs :thumb:


Regards
PK

 

[Sunil]

My observations are as follows.

Study Period : 16-12-08 to 09-03-09
Method : Going with Intraday Miniflow- Saints method.
Topic of Study : Observing the NF movement from 1.00-1.30 completed candle onwards.(After 1.30 PM). Why not 12.30-1.00 candle? Because we are getting enough clues within this 30 min regarding direction of flow)
Base for study: International (European) market opening after 1.00 PM and NF taking clues from it and giving the trade direction accordingly.

Filter used for ENTRY and SAR: 7 (works with 5 also)
SAR : 1.00-1.30 candle High /low after triggering the trade.

1) Total Trading Days : 55

2) No. of days for which the trade closed in the direction of 1.30 candle crack + filter with profit = 41 ( 75%) ( Exiting the trade at 3.10 PM). Here With profit word is used in the sense that the trade closed in positive at 3.10 PM without hitting our SAR. But whether trading this way is profitable overall, is not back tested.

3) No. of days for which the trade closed in the reverse direction of 1.30 PM candle crack + filter with loss = 14 (25%) (Without hitting SAR) . Here closed in reverse direction does not mean that it hit our SAR. It means that the trade closed in negative at 3.10 PM.

4) No. of days for which the trade hit our initial SAR+/- filter level =6 (11%)

5) No. of days for which the trade traveled by at least by 10 points ( excluding filter value) in the direction of crack+/- filter = 48 (87%) and below 10 points = 7 ( 13%)

6) No. of days for which the trade traveled at least by 20 points ( excluding filter value) in the direction of crack+/- filter = 32 (58%)

Saint Sir and Seniors can guide us on how to utilize the above data for maximizing the profit while trading Intraday Miniflow method. Also please guide if there is any error in back testing.

In my Opinion, (Considering point No.4,5 and 6), we can take benefit in the following way
A) As and additional confirmatory signal to our SAR ( 03,02 March.27 Feb etc)
B) As and additional confirmatory signal to our ADD point. ( 20 Feb )
C) May be, we can place an add over 1.30 candle crack before pivot crack.( Ex. Trade dt.09-03-09 and 06, 05 March trade and many more)
D) May be, we can place SAR at 1.30 candle High/Low if the trade is moving unidirectional ( 24 Feb) or before 4 bar rule.
E) For part profit booking after NF traveled by 10 points in our trade direction.


Considering point No.2, 3 nd 4, We can develop any method ( On similar basis on Saint Sir method) where a person can trade only in between 1.30 to 3.20, may be with the use of 5 min chart following Saint Sirs Teach a Man &/or MJs 5 min. Thread or developing any other method. Yet I am not able to develop that but Seniors can. If we are able to develop that, may be it will be useful to part-time traders. But not very sure on this.

Saint Sir and Seniors, please comment on it for improvement. If you find it completely useless, please tell me so that I can delete it.

Thanks and regards.
Manoj

What I liked about you is that you have attempted to statistically organise the after-effect of 1:30 bar.
Few days back, a friend, who is also member of this forum with ID - sasi0263 had also done a statistical study on this, but it was purely from scalping point of view.
I will request him to add more of his views.

Before moving further, the views expressed in A, B, C, D, E, are, I assume, tweaks recommended for Saint's Mini flow method.
I really doubt if we can incorporate it in this method & leave it for subjective comfort.
Also, read later elsewhere in this thread, your intention is actually not to merge it with mini-flow method, but consider it as a separate method.



Coming back to your observations, I wanted to first clear some doubts:

1. For example, when you go long on crack of high + f of 1:30 bar's high, your SAR (and not just stop) is at the 1:30 bar's low - f. Right?

2. In your statistics/backtest, did you keep the SAR fixed, as decided in above in my query 1, or kept changing it as per the miniflow rules?

3. In your observation point no. 4, you have mentioned about "initial SAR"... Can you explain abt this? I guess, this will answer my query no. 2 too

4. Your observation point no. 5 is what was verified by Sasi, and thus you have two persons backing this 87% figure.
10-15pts is what I desire & feeds my appetite
Today's trade came in this category.


Looking forward to your replies, before wearing the flow hat which starts at 1:30pm (as of now till 29-Mar)

 

[White]

manoj,
Good work by you, Keep going

 

[White]

Hi Manoj,
As a regular nifty intraday trader & scalper, I have been utilising this 1:30 to 2:00 time zone as one of the three time periods where one can expect good, sustained directional movement in price.

Since your backtest period is from 16Dec08 to 9Mar09, I wanted to make you aware of this system of time arrangement followed by most of the Western Countries called as "Day Light Saving".
In this arrangement, clocks are advanced by one hour in Spring to make the most of seasonal daylight. At the beginning of winter, they are adjusted back again by one hour.

European countries adjust their clock one hour forward from last Sunday of the March and adjust it back from last Sunday of October.
So, from 29-Mar-09, EU markets will open from 12:30pm IST instead of the current 1:30pm IST

In CAC or DAC (EU countries' indices) charts, you will notice the same phenomenon when Dow Jones Spot start to trade, while in our early morning, it's the HangSang which tries to create a sort of commanding power over the already opened Asian countries.

US adjusts its day light saving time from second Sunday of March. Thus, w.e.f. 8-Mar-09, Dow opens at 7:00pm IST instead of around 8pm IST.


Awareness of these time periods come handy many times during intraday trades - their effect may mean a lot to intraday players.

For us, from 30-Mar-09 (first trading day after 29-Mar), we will have HangSang + EU FUTs opening at 12pm IST, while EU Cash market will open at 12:30pm IST

Thanks for your timely information.

 

[VeryHighSuccess]

Hello Manoj,

Nice observations you have there!

From your earlier post, I gather that you have limited historical data available for backtesting / database maintainence.

For you and all others who would like to have and maintain intraday data on Nifty Futures and Nifty Spot, please find download links below:

http://www. 4shared.com/file/92518135/2bb6d5e0/NIFTY_SPOT.html
http://www. 4shared.com/file/92518241/61dc3967/NIFTY_FUTURES.html

(Please remove the space between www. & 4shared.com)

NIFTY SPOT Data from 28-12-2004 to 12-03-2009 in 15 minute intervals
NIFTY FUTURES I Data from 03-10-2005 to 12-03-2009 in 15 minute intervals

Files are in CSV format.

Trust some will find this useful.

Regards/VHS

 

[HEM]

Hi Manoj,

Coming out of temporary retirement to tell you this....:thumb::thumb:...great going.All for experimentation and modification to personal comforts.

Great going!

Saint

ps:Will go through your thread later on in the day.

Welcome back saint sir. :rofl:

Regards,
Hemant

 

[manojkch]

What I liked about you is that you have attempted to statistically organise the after-effect of 1:30 bar.
Few days back, a friend, who is also member of this forum with ID - sasi0263 had also done a statistical study on this, but it was purely from scalping point of view.
I will request him to add more of his views.

Before moving further, the views expressed in A, B, C, D, E, are, I assume, tweaks recommended for Saint's Mini flow method.
I really doubt if we can incorporate it in this method & leave it for subjective comfort.
Also, read later elsewhere in this thread, your intention is actually not to merge it with mini-flow method, but consider it as a separate method.



Coming back to your observations, I wanted to first clear some doubts:

1. For example, when you go long on crack of high + f of 1:30 bar's high, your SAR (and not just stop) is at the 1:30 bar's low - f. Right?

2. In your statistics/backtest, did you keep the SAR fixed, as decided in above in my query 1, or kept changing it as per the miniflow rules?

3. In your observation point no. 4, you have mentioned about "initial SAR"... Can you explain abt this? I guess, this will answer my query no. 2 too

4. Your observation point no. 5 is what was verified by Sasi, and thus you have two persons backing this 87% figure.
10-15pts is what I desire & feeds my appetite
Today's trade came in this category.


Looking forward to your replies, before wearing the flow hat which starts at 1:30pm (as of now till 29-Mar)

First let me thank you Sunil Sir for showing concern towards the study and your views and sorry for giving delayed reply. I am very much satisfied for the one that stalwarts of trading are guiding me and my study is not completely useless.

Coming to your query,
Yes, you are right Sir. The views expressed in A,B,C,D,E are designed with the intention to incorporate it in Saints Intraday Miniflow method. But will be officially incarporating them to my comfort level after further study and approvals from Saint Sir and seniors.

It is also my intention to develop a separate method of trading from 1.30 onwards... may be based on Saint's Flow method / MJ's 5 min ... method or to develop any other method with the help of seniors. But not tried on this. As rightly pointed out by you, may be, it will be usefull for developing Scalping method.

Now regarding your questions....
1) Yes Sir, SAR at 1.30 low -f , but this SAR word was mentioned with the intention to use it for Miniflow Method. and the appropriate word for developing new method will be STOP because, in my view, as the study shows that only 11% of the time, trade hit our SAR, I thougt it would be better to keep as STOP rather than SAR.

2) I keep it changing as per miniflow rules ( when applied to Miniflow method) and will also prefer to keep it changing for the new method developed, if any. As I have already mentioned that keeping it fixed ( treating it as STOP), 75% of time trades closed in positive direction (closing trade at 3.10 pm) with profit but I have not back tested it for overall profitabilty or risk/reward ratio but will do that this weekend.

3)This "Initial SAR" word was used just to test the probability of its hitting ( our study shows it as 11%) with the intention to apply it in Miniflow (as mentioned in C and D )

4) Thank you for giving a supportive statement and evidence to this study. One sincere request to you, please come out / develop or guide me to develop some method to trade solely after 1.30, may be scalping, so that it will be useful for part-time traders.

Hope, I am able to clarify your queries. Looking forward to more queries and suggestions.

Thanks and regards.
Manoj

 

[manojkch]

Today,
1.30 bar H- 2689, L- 2678.4
This high is almost near to pivot high at12.30 bar as per Miniflow method. Hence here we can utilize in this high+ filter (2689+7) as a confirmatory signal to enter long positions.

If any one entered long , then he can partially book profit at 2689+7+10=2706. As we are near to closing session, it is enough to earn 10 points in such a limp move.

Our SAR as per Main method is pivot low of 13.00 bar, but by applying this tweak one can put SAR at 13.30 bar low and then move as per 4 bar rule.

Thanks

 

[manojkch]

Shifting SAR to 1.30 bar low- SF as per this tweak. I will not prefer to add here as NF has moved almost 50-60 points from low but will look for part profit booking at 1.30 bar high +7 +10.

Manoj

 

[ajit123]

manoj
as per your tweak perhaps nifty has triggered a buy,isnt it true