Hi sir .. need a little help of yours.
I have a made a trading system (momentum based, intraday). The system works on stock futures. Have backtested it from 2010 till date... it is giving decent returns on a portfolio of 40 scrips which ofcourse is not tradeable with my account size. So i reduced the portfolio to 10 stocks and it was still pretty good with a car/mdd of around 8. So i thought lets try this system for 4 scrips initially, but what i found that the main advantage of the system was its diversification.. when i tested it for only 4 positions open at a time the results came down dramatically.
So i have decided to go with 10 stocks only and keep the system as it is.
Now since there is no vendor with which i could autotrade the system. Symohony is there but their partner brokers would charge hefty brokergae i.e 20 per order which would come out to be 20*15*2*2=1200 per day.
So again i decided i should do it then coz the system was worth it. I would like to know from that how to close each stock candle at a diff minute.. eg for first stock it closes at 1001, for 2nd it closes at 1002 and so on. This way i will be able to tarck easily as decisions are taken at the close of the candle only.
I am asking from you coz i read this in some of your posts that you had done this for one of your systems.
Thanks for reading..
Any suggestions and comments are welcome.
Thx
I have a made a trading system (momentum based, intraday). The system works on stock futures. Have backtested it from 2010 till date... it is giving decent returns on a portfolio of 40 scrips which ofcourse is not tradeable with my account size. So i reduced the portfolio to 10 stocks and it was still pretty good with a car/mdd of around 8. So i thought lets try this system for 4 scrips initially, but what i found that the main advantage of the system was its diversification.. when i tested it for only 4 positions open at a time the results came down dramatically.
So i have decided to go with 10 stocks only and keep the system as it is.
Now since there is no vendor with which i could autotrade the system. Symohony is there but their partner brokers would charge hefty brokergae i.e 20 per order which would come out to be 20*15*2*2=1200 per day.
So again i decided i should do it then coz the system was worth it. I would like to know from that how to close each stock candle at a diff minute.. eg for first stock it closes at 1001, for 2nd it closes at 1002 and so on. This way i will be able to tarck easily as decisions are taken at the close of the candle only.
I am asking from you coz i read this in some of your posts that you had done this for one of your systems.
Thanks for reading..
Any suggestions and comments are welcome.
Thx
If you have Amibroker, then the code given here should work... http://www.traderji.com/trading-diary/90116-dasara-system-26.html#post897072
You will have to paste this code in the AFL above your current system code. (that's how I do it, though there might be better methods of doing the same thing)
Since the code is looping, it may be resource intensive for 10 scrips. Try it out and let me know if face issues.
Change the first line of the code to
Period=10;
And in the section below, add the scrips that you need with the shifts - 1,2,3,4....9,10
Shift=IIf(Name()=="YESBANK13NOVFUT",1,Shift);
Shift=IIf(Name()=="DLF13NOVFUT",2,Shift);
Shift=IIf(Name()=="SBIN13NOVFUT",3,Shift);
Shift=IIf(Name()=="AXISBANK13NOVFUT",4,Shift);
Shift=IIf(Name()=="ICICIBANK13NOVFUT",5,Shift);
In Amibroker, select the 1-minute timeframe.