NIFTY Futures Mechanical Trading

[vinst]

NF : Nifty futures
BNF: BankNifty futures.

The data used to analyze is also NF and BNF.
I'll try to post the excel file later.
The system is 85% mechanical (please don't ask for justification of 85%, it may require 100 years of backtesting). 15% discretion is needed on occasions when price action turns arbitrary and too erratic to be captured by set rules.

regards,
vin

 

[VJAY]

For 26 Nov, 2009

NF in Long, R 5165, S 5060 (If NF goes below 5060, reverse TO Short with new SL 5165)
NF reversed to long yesterday 25-Nov at 5095

BNF in long , R 9370, S 9240 (If BNF goes Below 9240, reverse TO Short with new SL 9370)


vin

Dear vinst,
Is entry based on closing basis?or when price goes above/below the levels...

 

[vinst]

Dear vinst,
Is entry based on closing basis?or when price goes above/below the levels...

when price goes above/below the levels. Closing prices are not required to be taken.

vin

 

[Sage2004]

NF : Nifty futures
BNF: BankNifty futures.

The data used to analyze is also NF and BNF.
I'll try to post the excel file later.
The system is 85% mechanical (please don't ask for justification of 85%, it may require 100 years of backtesting). 15% discretion is needed on occasions when price action turns arbitrary and too erratic to be captured by set rules.

regards,
vin

Thanks Vin. Apologies for annoying you with my queries, but your results look very good and I feel that it can compliment a system of my own. Hence I wanted to be sure the trades that are taken are rule based.

Just to be sure of what you are saying, assuming one has 100 trades using this system, can we say that around 85 are based on logic of system and in the remaining trades, personal discretion used. (on a approx basis, not that 15 trades will be, but can / maybe basis)

Thanks

 

[Sage2004]

Levels given are for Nifty Futures!!! also Bank Nifty Futures only. Vinst can say what data he uses to generate the levels, but becoz he is posting the Futures level it seems logical to presume he uses Futures data only to get the trade levels!!

I had assume the same, but for sake of clarity asked the question.

 

[vinst]

For 27 Nov, 2009

NF in Short, R 5150, S 4940 (If NF goes abv 5150, reverse TO Long with new SL 4940)
NF reversed to short 26-Nov at 5060

BNF in short , R 9370, S 8985 (If BNF goes abv 9370, reverse TO Long with new SL 8985)
BNF short entered on 26-Nov

vin

 

[vinst]

hi
I could not post levels for 30-Nov. Both positions were reversed on 30th, so it is unfortunate that no advance post was given.

For 30 Nov, 2009

NF in Short, R 5005, S 4850
BNF in short , R 9115, S 8700

For 01 dec, 2009
---------------------------

NF in Long, R 5100, S 4945
BNF in Long , R 9080 S 8860


vin

 

[vinst]

For 02 dec, 2009
---------------------------
NF in Long, R 5170, S 4960
BNF in Long , R 9350 S 8900

vin

 

[Yogesh Sundaram]

Guys,

Start trading the new mid-month Sensex Futures at BSE, trading started yesterday and I am sure there are plenty of arbitrage opporunties with these 2 indices given that their corrrelation is 0.997.

Thanks,
Yogesh

 

[indiabulz]

For 02 dec, 2009
---------------------------
NF in Long, R 5170, S 4960
BNF in Long , R 9350 S 8900

vin

Yesterdays resistance was 5110. Which when broken should have become support for today. Whats your view?