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Dual Range trade logic |
pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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Post: #1  Posted: Tue Nov 27, 2012 6:23 pm Post subject: Dual Range trade logic |
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Hi All
I have been just analysing the crude oil DEC futures data since OCT till date.
I found some logic which anyways will help us to achieve good targets every month.
I am attaching the file with the calculation logic. Please read and let me know if this can be optimised further.
The basic idea is to trade buy @ 20 points above Opening price / Sell @ 20 points below opening price.
SL should be the Opening price.
Target 1: 10 points and you can choose your target levels from thereon.
If the price reaches stop loss after triggering buy or sell, continue in that direction from SL point.
I found that even in the worst case, this was yielding +ve returns.
Assuming that we took all the net points given by this option, for a single lot, the total gain was more than 2000 points.
| Description: |
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Download |
| Filename: |
MCX_BhavCopyCommodityWise(1)-Dual range trade.xls |
| Filesize: |
31.5 KB |
| Downloaded: |
774 Time(s) |
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #2 Posted: Tue Nov 27, 2012 6:49 pm Post subject: Re: Dual Range trade logic |
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| pavan29 wrote: | Hi All
I have been just analysing the crude oil DEC futures data since OCT till date.
I found some logic which anyways will help us to achieve good targets every month.
I am attaching the file with the calculation logic. Please read and let me know if this can be optimised further.
The basic idea is to trade buy @ 20 points above Opening price / Sell @ 20 points below opening price.
SL should be the Opening price.
Target 1: 10 points and you can choose your target levels from thereon.
If the price reaches stop loss after triggering buy or sell, continue in that direction from SL point.
I found that even in the worst case, this was yielding +ve returns.
Assuming that we took all the net points given by this option, for a single lot, the total gain was more than 2000 points. |
In the net calculation column, if you click on the value and see a -20 included in calculation, it means the first trigger occured and then hit SL , thus leading to -20 points and adding points by either Opening price + High (or) Opening price-Low
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sivgates
White Belt
Joined: 05 Apr 2011
Posts: 313
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| Post: #3 Posted: Tue Nov 27, 2012 9:15 pm Post subject: |
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Hi Pavan,
It is nice work...stil not able 2 c ur excel bcaus brwsng n mbl...
First and foremost u hav 2 calculate daily volatality of Crude oil..
Let me also give my contribution 2 tiz thread later...
Sivgates 
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #4 Posted: Tue Nov 27, 2012 10:02 pm Post subject: |
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So far 46 points was the max without hitting sl...
The sell got triggered ,after giving 10 pts, it went in reverse till 4910..
Good to see sl was not hit...
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satishb
White Belt
Joined: 01 Mar 2009
Posts: 13
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| Post: #5 Posted: Tue Nov 27, 2012 11:38 pm Post subject: |
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Hi Pavan,
the straegy is not clear,Where do you take profit and how do you trail the stop loss,
satishb
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #6 Posted: Tue Nov 27, 2012 11:44 pm Post subject: |
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| satishb wrote: | Hi Pavan,
the straegy is not clear,Where do you take profit and how do you trail the stop loss,
satishb |
Hi
It is simple, check the opening price..
Buy=OP+20
Sell=OP-20
Once any of them is triggered, SL should be OP.
Its better to trade using 2 lots.1st lot target-10 points from either buy or sell trigger price.
2nd lot, you can decide the targets you need like 20-50 pts from trigger price.
If SL is hit, reverse your position and proceed in that direction...Follow the above procedure....If you refer my excel file, you will understand.
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #7 Posted: Wed Nov 28, 2012 8:12 pm Post subject: |
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Today's pre-market trade opened at 4886 @ 4.45 pm. So our buy was to be 4906 & sell was to be 4866.
But if you waited till 5pm for the exact market activity to start, the opening price of the candle was 4849-->
Buy - 4869
Sell - 4829
My Sl was 4849.
Sell got triggered after 7.45 pm and went upto 38 points by 8 pm.
However I was trading at one lot only and it closed it at 4809 for 20 points gain.
If the price goes above 4869, you can trade in uptrend.
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smsmss
White Belt
Joined: 13 Oct 2009
Posts: 123
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| Post: #8 Posted: Sat Dec 01, 2012 3:23 pm Post subject: hi |
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| the backtesting that you have uploaded, is it according to 5pm or 10 am open? and profit target is set to 60 points right, in the sheet?
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #9 Posted: Sun Dec 02, 2012 7:48 pm Post subject: Re: hi |
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| smsmss wrote: | | the backtesting that you have uploaded, is it according to 5pm or 10 am open? and profit target is set to 60 points right, in the sheet? |
The excel contains calculations on bhav data..but my recent post on 28th is based on 5 pm trades when the market opened.
there i
s no particular target set for profits..
i have given the maximum range upto which the trend went in either direction to find the maximum profit. .as i mentioned earlier, target for1st lot is 10 points...for remaining lots....you can decide based on ur expectations
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smsmss
White Belt
Joined: 13 Oct 2009
Posts: 123
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| Post: #10 Posted: Mon Dec 03, 2012 11:05 am Post subject: hi |
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| one question... when you have backtested according to market open why are you taking trades based on 5pm?
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #11 Posted: Mon Dec 03, 2012 11:14 am Post subject: Re: hi |
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| smsmss wrote: | | one question... when you have backtested according to market open why are you taking trades based on 5pm? |
On 28th nov,markets opened at 5 pm..
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smsmss
White Belt
Joined: 13 Oct 2009
Posts: 123
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| Post: #12 Posted: Tue Dec 04, 2012 1:17 am Post subject: hey |
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oh ok my bad... didnt realize that  , i will backtest according to 5pm trades, why i will tell you. because of volatility in crude is only after 5pm. i would also like to move tsl to cost after certain price movement. but 10 points partial profit booking not acceptable. it will decrease our overall profit drastically.
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #13 Posted: Tue Dec 04, 2012 1:19 am Post subject: Re: hey |
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| smsmss wrote: | | oh ok my bad... didnt realize that , i will backtest according to 5pm trades, why i will tell you. because of volatility in crude is only after 5pm. i would also like to move tsl to cost after certain price movement. but 10 points partial profit booking not acceptable. it will decrease our overall profit drastically. |
Even i was thinking of switching to 5 pm as it helps to decide the signals properly...let me know if you backtested..
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smsmss
White Belt
Joined: 13 Oct 2009
Posts: 123
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| Post: #14 Posted: Tue Dec 04, 2012 11:51 pm Post subject: ok |
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| okies... just give me sometime.. i want to backtest for at least a year. one more reason for taking 5 pm as trading time is that it is not possible at least for me to sit in front of screen from 10 am to 11.30 pm. despite of being a full time trader . we can don trading in nse in daytime and in evening in comm.
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pavan29
Green Belt
Joined: 26 Jun 2012
Posts: 1047
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| Post: #15 Posted: Fri Dec 07, 2012 4:55 pm Post subject: |
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Just backtested this with Silver Micro & Silver...
Strategy:
Buy 200 points above Opening price of the 1st candle of the day....(Not the price from the Premarket time period).
Sell 200 points below Opening price of the 1st candle of the day....(Not the price from the Premarket time period).
Targets - starting from 100 points for 1st lot, till your required levels , in multiples of hundred for the 2nd lot.
If either buy or sell are triggered , and SL (opening price) is hit , then exit and reverse your entry in that direction.
Attaching the Silver micro calculation for last 4 days -- data taken from bhav copy of mcx but opening price adjusted according to the 1st candle of the day.
Net result was 3385 points.
| Description: |
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Download |
| Filename: |
Silver mic-Dual range.xls |
| Filesize: |
19 KB |
| Downloaded: |
586 Time(s) |
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