Nifty Pivot-based Mechanical Trading System coupled with 2 and 3 Day Swing Calls

[Sunil]

POSITION AS AT END OF 13-JAN-09

1. Pivot Based mechanical system (Excel file):
SHORT signal as at close of 7-Jan @ SPOT 2920 / FUT 2914 maintains & continues.

2. 2 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2852 (which is the highest high of the last two trading sessions)

3. 3 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2930 (which is the highest high of the last three trading sessions)


OVERALL POSITION
SHORT signal/call @ closing on 7-Jan @ SPOT 2920 is being maintained.
Signal will reverse to LONG if SPOT closes above 2852 on 14-Jan.

 

[Sunil]

POSITION AS AT END OF 14-JAN-09

1. Pivot Based mechanical system (Excel file):
SHORT signal as at close of 7-Jan @ SPOT 2920 / FUT 2914 has been reversed to LONG signal as at close of 14-Jan @ Spot 2835 / Fut 2812.

2. 2 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last two trading sessions)

3. 3 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last three trading sessions)


OVERALL POSITION
The Excel pivot system has given a LONG signal.
But the 2Day Swing (kept specially to prevent whipsaws or being neutral) is still SHORT, with stop of 2853 (also with 3Day Swing)

SHORT signal/call @ closing on 7-Jan @ SPOT 2920 is being maintained.
We have to keep an eye on Spot 2853 on intraday basis. If broken on intraday basis, we will exit shorts; and if closes above 2853, we will go LONG

 

[Sunil]

Personal views (mentioned intraday in live, intraday thread):

http://www.traderji.com/derivatives/18953-nifty-futures-trading-1864.html#post267282

 

[lvgandhi]

POSITION AS AT END OF 15-JAN-09

1. Pivot Based mechanical system (Excel file):
SHORT signal as at close of 7-Jan @ SPOT 2920 / FUT 2914 has been reversed to LONG signal as at close of 14-Jan @ Spot 2835 / Fut 2812.

2. 2 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last two trading sessions)

3. 3 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last three trading sessions)


OVERALL POSITION
The Excel pivot system has given a LONG signal.
But the 2Day Swing (kept specially to prevent whipsaws or being neutral) is still SHORT, with stop of 2853 (also with 3Day Swing)

SHORT signal/call @ closing on 7-Jan @ SPOT 2920 is being maintained.
We have to keep an eye on Spot 2853 on intraday basis. If broken on intraday basis, we will exit shorts; and if closes above 2853, we will go LONG

Sunil, dates are one day ahead in your recent two posts. It is at the end of 14-jan if I am correct.
second you have said that all 12 saying buy, we will go long. I have seen all 12 says buy.

 

[Sunil]

POSITION AS AT END OF 9-JAN-09

1. Pivot Based mechanical system (Excel file):
SHORT signal as at close of 7-Jan @ SPOT 2920 / FUT 2914 maintains & continues.

2. 2 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
SAR = CLOSE ABOVE SPOT 3147 (which is the highest high of the last two trading sessions)

3. 3 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
SAR = CLOSE ABOVE SPOT 3147 (which is the highest high of the last three trading sessions)


OVERALL POSITION
SHORT signal/call @ closing on 7-Jan @ SPOT 2920 is being maintained.
Signal will reverse to LONG if SPOT closes above 3050 on 12-Jan.

How this 3050 was arrived at?

Read the first page...
Signal reverses if:
1. All 12 indicators of Excel file (pivot calculations) give such a reversal call
or
2. Majority of the aforesaid 12 indicators PLUS 2Day Swing Signal give such a reversal Call.

Now, Excel file per se does not give any reversal level & 2Day Swing reversal level is still far off.
So, I take the R3 level (using the floor pivot calculations) for a reasonable swing reversal level. (R3 in case of short position, & S3 in case of long position).

Now, I have to ascertain whether such level 3 closing actually reverses the signal in Excel file.
If you enter reasonable levels for 12-Jan in the excel file right now, with a closing at 3050, ALL 12 indicators will give a buy signal.
So, 3050 seems right as a tentative figure....
If the closing is somewhat near this level, make sure to enter the actual values at around 3:25pm, and see if the changes in the 12 indicators (6 of Spot, 6 of FUT) of the Excel file.
(even a neutral signal will caution me to exit in all my positions, and wait for next day's action)

Sunil,
you have said that all 12 saying buy, we will go long. I have seen all 12 says buy.

A similiar logic, as at end of 9-Jan, was followed here. I have been following both Excel (pivot) method & 2Day swing more than 6 months now.
Pivot method has a tendency to give whipsaws during pullbacks of good trending markets.
Swing method has a tendency to give whipsaw during tight-ranged days.
That's why, I have to combine these two methods to negate their weakness, and reduce the frequency of whipsaws (which is inevitable in any mechanical trading system).
If both signals are mixed, then I prefer to stay neutral - no need to be in a position all the time.

That's why, in my overall anaylysis, I mentioned to exit longs on break of 2853, and go long when it closes above 2853. This was done purposely, because 2 day + 3 day swing reversal levels, BOTH, were same & nearby.

I have to go to level-3 classical pivot levels (R3 or S3), like on 9-Jan, when the Day Swing reversal levels are far off. But, when I have the privilege of having a DEFINED exit level so near, then why to pre-empt its break.
If if breaks intraday, we exit our shorts, and stay neutral; because we don't know during intraday, whether it will close above 2853 or not.
If, at around 3:15 - 3:25, it seems that it will close above 2853 comfortably, then we initiate LONG position.

In fact, as mentioned in my intraday thread, I added small quantity to my existing shorts, at yesterday's close - the stop was so nearby & hence the risk:reward ratio was tempting. (at that time, I had no idea how Dow will perform at night - I just followed the technicals & had a major comfort of having the stop so close). - THIS WAS NOT AS PER THE SYSTEM, BUT FOLLOWED A GENERAL RULE OF SELLING ON RALLIES...

The excel file has the backtest results of both methods individually over 2008. You will find 2Day swing to be better in terms of results/profits; but there have been some days, where its whipsaw could be avoided.
Also, % of whipsaws in pivot method is more than that in day swings.

I try to be on side of both the signal (pivot + day swing). If both are opposite, then either go with 12 indicators of pivot (if swing SAR is far), or be neutral & wait-n-watch, if Swing SAR is near.

Thank you for bringing out this discussion.

 

[Sunil]

POSITION AS AT END OF 15-JAN-09

1. Pivot Based mechanical system (Excel file):


LONG signal as at close of 14-Jan @ SPOT 2835 / FUT 2812 has been whipsawed to SHORT signal as at close of 15-Jan @ Spot 2737 / Fut 2712.

2. 2 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last two trading sessions)

3. 3 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last three trading sessions)


OVERALL POSITION
The Excel pivot system, which had given a LONG signal yesterda, has been whipsawed to SHORT signal today.
The 2Day Swing (kept specially to prevent whipsaws or being neutral) saved the day & is still SHORT, with stop of 2853 (also with 3Day Swing)

SHORT signal/call @ closing on 7-Jan @ SPOT 2920 is being maintained.
The system will reverse to LONG signal if SPOT closes above 2853 on 16-Jan.

 

[Sunil]

today being 6th day (after 5 continuous negative days) , there's a high chance of closing in green...
but, that should not disturb the LH LL pattern from 3150...
acc to my chart wave observation, such prev. LH is spot 2910.
Between 2850 & 2910, i prefer to be positionally neutral...

The downtrend from 3150 has been in form of Lower-Highs Lower-Lows (LH LL) pattern.
Such a pattern breaks when the previous LH is broken on upside.

As on 13-Jan's close, such crucial previous LH level was Spot 2910.

With today's price movement, the tag shifts to SPOT 2853.
Spot 2853 is also a common High of 12-Jan & 14-Jan.
After tomorrow's trading session (unless Spot 2853 is taken out), Spot 2853 will also be the last 5 day swing high / WEEKLY HIGH.

Close below 2800 (known RSR level) on 14-Jan had nailed the coffin for intermediate bulltrend too.
Simply keep an eye on the previous LHs as trailing stops.
Don't dream of sub-2500 levels so soon. Still, spot has layers of supports, with Spot 2600 band being a master-RSR level.

 

[Sunil]

POSITION AS AT END OF 16-JAN-09

1. Pivot Based mechanical system (Excel file):
SHORT signal as at close of 15-Jan @ SPOT 2737 / FUT 2712 has been whipsawed AGAIN to LONG signal as at close of 16-Jan @ Spot 2828 / Fut 2815.

2. 2 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2836 (which is the highest high of the last two trading sessions)

3. 3 Day Swing
Current Signal: SHORT as at close of 7-Jan @ SPOT 2920
New SAR = CLOSE ABOVE SPOT 2853 (which is the highest high of the last three trading sessions)


OVERALL POSITION
The system will reverse to LONG signal if SPOT closes above 2836 on 19-Jan.

 

[Sunil]

The excel file has been updated with latest Nifty data, and its link is available, as usual, in Post # 3 of this thread.

I have reduced the size of the file from 12MB to just 2MB.

(I have not compromised or deleted any past data; I had unnecessarily made the file too much future-ready - just deleted the hidden formulae from rows 800 to 4000!!!
yeah, it was earlier 4000 rows.....
no wonder, it was so FAT with 12MB..)

I think 2MB should be comfortable now.

I had to do this after a few members complained about the size of file. 12MB is also beyond the normal limit of 10MB fixed by free email service providers like yah00 & hot_mail.

 

[MARKETBHAVISHYA]

sirji on what basis have you taken the 2,3 days calls?can you give me idea