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Hello dhiraj,
Check and see if the exchange NIFTY is on offer free intraday data,
If not they probably sell the data.
The cost of purchasing some tick data to properly test your system may
be less than you loose on your first trade.
Systematic trading requires thorough testing and strict discipline.
Trading without that will result in mental strain, second guessing the
system, and an inability to pull the trigger.
best regards
foolsgold
dsk> hello everybody,
dsk> i work on the indian stock markets and develop position trading
dsk> strategies on the index - NIFTY.
dsk> i have been testing a volatility system and have got very nice
dsk> results with a pretty smooth equity curve. but a very persistent
dsk> problem exists. first i'll give a brief explanation about the
dsk> system , then the problem.
dsk> the system checks if the range today (H-L) is less than the 14 day
dsk> average true range. if yes than a position can be taken the next
dsk> day. then i take a long position at the open of the next day + 1%,
dsk> or a short position at open of the next day - 1%, effectively a
dsk> long position if the market moves up and short position if the
dsk> market trudges down. a stop is placed at 1% as well. so far so
dsk> good, great results great equity.
dsk> the problem is on days that th market moves both ways the system
dsk> takes a position in one direction and then takes another one in
dsk> the other direction and holds the other position, in cases even
dsk> ignoring the 1% stop. then the next day it holds the other
dsk> position if profitable or then exits with a huge opening gap and a
dsk> big loss.
dsk> so if market opens at 1000, goes to a high of 1020, the system
dsk> takes a long at 1010, and if the low is 980 then takes a short
dsk> position at 990 exitting the long with -20 points, and keeping a
dsk> short open position.
dsk> now the sequence of high and low is not really known. also easy
dsk> language assumes that the high would be made after the low if the
dsk> close is up. how should i modify the system to take just one
dsk> position, in whichever direction and if that is not possible
dsk> should i trade this system in its current form (assuming that the
dsk> results anyways consider the largest losses that could occur on
dsk> such big volatile days).
dsk> i "do not have intraday data" for the index and this testing has
dsk> been done on daily data.
dsk> regards,
dsk> dhiraj kothari.
dsk> Meet your old school or college friends from
dsk> 1 Million + database...
dsk> Click here to reunite www.batchmates.com/rediff.asp
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