|
PureBytes Links
Trading Reference Links
|
Nikhil,
You said you backtested from March of 2009 thru June 15th of 2009. In macro terms, this period was one of the largest bull runs in recent years. I believe the S&P was up 35% or more during that time. Any trend following system will test well during that timeframe.
Since then, the S&P has been range bound. Sideways markets won't do well for trend trading.
A 30 minute chart should work well when trending but may be a bit lethargic in range bound trading.
Your backtesting may need to be more robust and take into account sideways markets of the past. Walk forward testing is one method. The idea is you back test and set a system in place with your optimizations, then take other data from another period to test it against.
I read a book called Quantative Trading Systems by Bandy that speaks of this method, and several others here will also have advice.
Big
Hope that helps.
--- In equismetastock@xxxxxxxxxxxxxxx, Nikhil Khetan <mahiya001@xxx> wrote:
>
> Hi,
> thanks a lot for ur precious advice
> you are really like a mentor for the person like me, who is learing a system design
> sir apart from this i had also designed a new system in metastock it is as -
>
> BUY - MACD() > 0 AND Mov(MACD(),9,E) > 0 AND MACD() > Mov(MACD(),9,E) AND ADX(14) >20 AND ADX(14) >= Ref(ADX(14),-1) AND Ref(ADX(14),-1) >= Ref(ADX(14),-2) AND Ref(ADX(14),-2) >= Ref(ADX(14),-3)
>
> SELL - MACD() < 0 AND Mov(MACD(),9,E) < 0 AND MACD() < Mov(MACD(),9,E) AND ADX(14) > 20 AND ADX(14)>= Ref(ADX(14),-1) AND Ref(ADX(14),-1) > Ref(ADX(14),-2) AND Ref(ADX(14),-2) > Ref(ADX(14),-3)
>
> ON 30 MIN TIME FRAME
>
> i had backtested this system n found it to be good on data from march 2009 15 june 2009 but from from 25.06.09 i had put this sysyem for real time test but it is incurred losses in all the trades like the following wer my trading calls yesterday
>
> buy bharti airtel @ 807
>
> buy infosys @ 1776
>
> buy reliance capital @ 916
>
> buy reliance infra 1258
>
> buy unitech @ 82.75
>
>
> i incurred losses in all the traders
>
> can u help me with whats going wrong here.
>
> regards
> Nikhil
>
> --- On Wed, 17/6/09, Hitendra Vasudeo <hitendra@xxx> wrote:
>
> From: Hitendra Vasudeo <hitendra@xxx>
> Subject: RE: [EquisMetaStock Group] FW: metastock coding
> To: equismetastock@xxxxxxxxxxxxxxx
> Date: Wednesday, 17 June, 2009, 5:19 PM
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> Hello
>
>
>
> Momentum is extremely high.
>
> Subsequently, we could seen preceding move to get terminate, if
> not then the direction can only loose momentum. even if price continue to
> move in that direction it can be with lesser speed and all it can happen
> subsequently the momentum can only fall after the exhaustion of the move.
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> From:
> equismetastock@ yahoogroups. com [mailto:equismetast ock@xxxxxxxxxxxx com] On
> Behalf Of Nikhil Khetan
>
> Sent: Wednesday, June 17, 2009 11:15 AM
>
> To: equismetastock@ yahoogroups. com
>
> Subject: RE: [EquisMetaStock Group] FW: metastock coding
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> but wat is significance of adx(14) > 40
>
>
>
> --- On Tue, 16/6/09, Hitendra Vasudeo <hitendra@xxxxxxxx com>
> wrote:
>
>
> From: Hitendra Vasudeo <hitendra@xxxxxxxx com>
>
> Subject: RE: [EquisMetaStock Group] FW: metastock coding
>
> To: equismetastock@ yahoogroups. com
>
> Date: Tuesday, 16 June, 2009, 10:13 PM
>
>
>
> Ya, that helps..
>
> We have an expert in which we have
> take care of sideways movement with the help of adx in the overall
> trended system.
>
> Every rise is accompanied by
> correction or sideways movement before a further rise and vices versa
>
> If the sideways and corrective phase
> gets prolonged for some time on any time frame chart then we have
> trouble.
>
> Most importantly, the risk management
> plays key role in sideways market.
>
>
> The issue is how do you define a sideways
> market in any time with automation.
>
> Adx is one such tool we have been able
> to use.
>
> You can define a color.
>
> In expert advisor go to highlight and
> indicate
>
>
> ADX(14)<20 and give color say red
> and ADX(14) >20 green ADX(14)>40 say blue
>
>
>
>
>
>
> From:
> equismetastock@ yahoogroups. com [mailto:equismetast ock@xxxxxxxxxxxx com] On
> Behalf Of Nikhil Khetan
>
> Sent: Tuesday, June 16, 2009 5:38 PM
>
> To: equismetastock@ yahoogroups. com
>
> Subject: Re: [EquisMetaStock Group] FW: metastock coding
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> hi,
>
> i added adx(14) > 20 to the symbol section of expert advisor, to filter
> out trading during the non-trending periods, wats ur view on it
>
>
>
> Regards
>
> Nikhil
>
> --- On Sun, 14/6/09, Hitendra Vasudeo <hitendra@xxxxxxxx com>
> wrote:
>
>
> From: Hitendra Vasudeo <hitendra@xxxxxxxx com>
>
> Subject: [EquisMetaStock Group] FW: metastock coding
>
> To: equismetastock@ yahoogroups. com
>
> Date: Sunday, 14 June, 2009, 11:23 PM
>
>
>
>
>
>
>
> From: Hitendra Vasudeo [mailto:hitendra@ vasudeo.com]
>
> Sent: Friday, June 12, 2009 8:49 PM
>
> To: 'mahiya001@xxxxxx com'
>
> Subject: FW: metastock coding
>
>
>
> For first 30 minutes high and low
>
> In the indicator created time
>
> Copy this
> DH:= (DayOfMonth( )
> AND Hour() = 10 AND
> Minute() <= 30 );
> ValueWhen( 1,dh , HIGH);
>
> In the indicator created time1
>
> Copy this
> DH:= (DayOfMonth( )
> AND Hour() = 10 AND
> Minute() <= 30 );
> ValueWhen( 1,dh , LOW);
>
> Rest would remain same
>
>
>
> From: Hitendra Vasudeo [mailto:hitendra@ vasudeo.com]
>
> Sent: Saturday, June 13, 2009 6:35 PM
>
> To: 'mahiya001@xxxxxx com'
>
> Subject: metastock coding
>
>
>
> Hello,
>
> I have worked on 9.55 -10.
>
> This is purely intra-day and possibly to connection with overall
> trend and previous days movement at all.
>
> This takes into account the high between 9.55-10 only
>
> Create indicator called : time
> DH:= (DayOfMonth( )
> AND Hour()=10 AND Minute() >=
> 00 AND Minute() < 05);;
> ValueWhen( 1,dh , HIGH);
>
> Create indicator called: time1
> DH:= (DayOfMonth( )
> AND Hour()=10 AND Minute() >=
> 00 AND Minute() < 05);;
> ValueWhen( 1,dh , LOW);
>
> Create indicator called : IT-UP Buy
> a:=Cross(HIGH , Fml( "time")
> );
>
> b:=Cross( Fml( "time1"),LOW );
>
> state:=If(BarsSince (a)<BarsSince(b) ,1,0);
>
> state>Ref(state,-1) ;
>
> Create indicator called: IT-Down Sell
> a:=Cross(HIGH , Fml( "time")
> );
>
> b:=Cross( Fml( "time1"),LOW );
>
> state:=If(BarsSince (a)<BarsSince(b) ,1,0);
>
> state<Ref(state,-1) ;
>
> Create indicator called: IT-UP
> ((ValueWhen( 1 , Fml( "IT-UP Buy") ,HIGH ) -
> ValueWhen(1 , Fml( "IT-UP Buy") ,LOW
> ))*1.27)+ValueWhen( 1 , Fml( "IT-UP Buy") ,HIGH );
> ((ValueWhen( 1 , Fml( "IT-UP Buy") ,HIGH ) -
> ValueWhen(1 , Fml( "IT-UP Buy") ,LOW
> ))*1.618)+ValueWhen (1 , Fml( "IT-UP Buy") ,HIGH );
> ((ValueWhen( 1 , Fml( "IT-UP Buy") ,HIGH ) -
> ValueWhen(1 , Fml( "IT-UP Buy") ,LOW
> ))*2.618)+ValueWhen (1 , Fml( "IT-UP Buy") ,HIGH );
> ValueWhen(1 , Fml( "IT-UP Buy") ,HIGH );
> ValueWhen(1 , Fml( "IT-UP Buy") ,LOW );
>
> Create indicator called: IT-Down
> ValueWhen(1 , Fml( "IT-Down Sell")
> ,LOW )-((ValueWhen( 1 , Fml( "IT-Down
> Sell") ,HIGH ) - ValueWhen(1 , Fml(
> "IT-Down Sell") ,LOW ))*1.27);
> ValueWhen(1 , Fml( "IT-Down Sell")
> ,LOW )-((ValueWhen( 1 , Fml( "IT-Down
> Sell") ,HIGH ) - ValueWhen(1 , Fml(
> "IT-Down Sell") ,LOW ))*1.618);
> ValueWhen(1 , Fml( "IT-Down Sell")
> ,LOW )-((ValueWhen( 1 , Fml( "IT-Down
> Sell") ,HIGH ) - ValueWhen(1 , Fml(
> "IT-Down Sell") ,LOW ))*2.618);
> ValueWhen(1 , Fml( "IT-Down Sell")
> ,HIGH );
> ValueWhen(1 , Fml( "IT-Down Sell")
> ,LOW );
>
>
> Expert Advisor
> Give a name- Purely intra-day
> Go to Symbols, new add and give up arrow as it is for buy
> Given name B-
> a:=Cross(HIGH , Fml( "time")
> );
>
> b:=Cross( Fml( "time1"),LOW );
>
> state:=If(BarsSince (a)<BarsSince(b) ,1,0);
>
> state>Ref(state,-1)
>
> Go to symbols, new add and given down arrow as it is for sell
>
> a:=Cross(HIGH, Fml( "time") );
>
> b:=Cross( Fml( "time1"),LOW );
>
> state:=If(BarsSince (a)<BarsSince(b) ,1,0);
>
> state<Ref(state,-1)
>
> for further queries
>
> call on 919820219664
>
> Hitendra Vasudeo
> www.stockmechanics.
> com
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> Cricket
> on your mind? Visit the ultimate cricket website. Enter now!
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> Cricket on your mind? Visit the ultimate cricket website. Enter
> now!
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> ICC World Twenty20 England '09 exclusively on YAHOO! CRICKET http://cricket.yahoo.com
>
------------------------------------
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/equismetastock/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:equismetastock-digest@xxxxxxxxxxxxxxx
mailto:equismetastock-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|