Stocks To Keep A Close Eye On - Chapter II

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asnavale

Well-Known Member
Hi,

NEW TRIGGERS on 19-03-2010 (For Trading on 22-03-2010):

BUY TRIGGERS

Code:
-------------------------------------------
Symbol     | C. M. P.|  Target | StopLoss | 
-----------|---------|---------|----------|
LAXMIMACH  | 1868.70 | 2036.45 |  1783.55 |
SBIN       | 2058.45 | 2134.10 |  1997.60 |
-------------------------------------------

SELL TRIGGERS


Code:
------------------------------------------------------------------------------
  Symbol   | Buy Date  |  Price  |  Target | Stop Loss |    CMP    |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|

-------------------------------------------------------------------------------

TARGETS REACHED

Code:
------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
AGRODUTCH  | 04-Mar-10 |   16.05 |   18.80 |     16.00 |     19.00 |   18.4 % |
INDUSINDBK | 02-Dec-09 |  123.10 |  174.00 |    156.50 |    174.25 |   41.6 % |
RELIANCE   | 15-Mar-10 | 1025.00 | 1077.95 |   1013.10 |   1092.05 |    6.5 % |
-------------------------------------------------------------------------------

[I]
AGRODUTCH    Next Target:   23.20,   Stop Loss:   16.20
INDUSINDBK   Next Target:  191.80,   Stop Loss:  158.00
RELIANCE     Next Target: 1179.90,   Stop Loss: 1013.10
[/I]

STOP LOSS HIT


Code:
-------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
ANANTRAJ   | 10-Mar-10 |  139.05 |  160.90 |    135.45 |    134.85 |   -3.0 % |
CESC       | 09-Mar-10 |  401.50 |  434.85 |    397.10 |    395.80 |   -1.4 % |
FEDERALBNK | 07-Jan-10 |  245.45 |  304.40 |    258.00 |    257.60 |    5.0 % |
ZEEL       | 04-Mar-10 |  274.70 |  319.00 |    267.25 |    265.75 |   -3.3 % |
-------------------------------------------------------------------------------

TRADE THESE SIGNALS AT YOUR OWN RISK


The updated Excel file is available for DOWNLOAD HERE


-Anant
 

asnavale

Well-Known Member
Hi,

NEW TRIGGERS on 22-03-2010 (For Trading on 23-03-2010):

BUY TRIGGERS

Code:
-------------------------------------------
Symbol     | C. M. P.|  Target | StopLoss | 
-----------|---------|---------|----------|
PTC        |  111.85 |  120.60 |   107.80 |
RCOM       |  171.10 |  187.90 |   157.90 |
-------------------------------------------

SELL TRIGGERS


Code:
------------------------------------------------------------------------------
  Symbol   | Buy Date  |  Price  |  Target | Stop Loss |    CMP    |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
INDIAINFO  | 18-Mar-10 |  122.80 |  132.05 |    115.75 |    116.60 |   -5.0 % |
-------------------------------------------------------------------------------

TARGETS REACHED

Code:
------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
IPCALAB    | 05-Mar-10 |  234.90 |  262.00 |    244.00 |    263.15 |   12.0 % |
-------------------------------------------------------------------------------

[I]
IPCALAB      Next Target:  359.20, SL:  244.80
[/I]

STOP LOSS HIT


Code:
-------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
ALBK       | 03-Mar-10 |  137.35 |  161.20 |    142.60 |    141.15 |    2.8 % |
CENTURYTEX | 05-Mar-10 |  508.65 |  555.70 |    511.40 |    505.05 |   -0.7 % |
GESHIP     | 05-Mar-10 |  291.50 |  321.40 |    285.60 |    283.00 |   -2.9 % |
GODREJCP   | 05-Mar-10 |  256.90 |  282.70 |    270.00 |    269.25 |    4.8 % |
HDFC       | 25-Feb-10 | 2480.75 | 2784.60 |   2653.00 |   2624.85 |    5.8 % |
IVRCLINFRA | 18-Mar-10 |  170.60 |  184.95 |    164.30 |    163.50 |   -4.2 % |
LITL       | 09-Mar-10 |   52.20 |   59.00 |     52.30 |     51.15 |   -2.0 % |
MOTHERSUMI | 08-Mar-10 |  133.70 |  155.65 |    135.00 |    131.50 |   -1.6 % |
TATAPOWER  | 05-Mar-10 | 1334.65 | 1503.30 |   1337.55 |   1336.20 |    0.1 % |
-------------------------------------------------------------------------------

TRADE THESE SIGNALS AT YOUR OWN RISK


The updated Excel file is available for DOWNLOAD HERE


-Anant
 

SwingKing

Well-Known Member
Detailed result of Anant's AFL

I have back tested Anant's AFL for those who want to see the accuracy and profit % of the signals given by this system. I don't know if this has been done earlier. But anyway I think it will benefit those who have doubts, queries about the system. To earn from a system, one needs to understand it in and out. This is just a small step towards it.

Buy and Hold Vs System Results

The first thing any trader should look in the system is to compare it with the Buy and hold strategy. If your system does not do better than the buy and hold strategy, then I don't think that the system is of any use. The main essence of developing a technical system is to outperform the market. These are the results for Anant's system.

Initial Equity: 10,000
Symbol Used: Only Nifty Spot
Direction: Only long trades considered
Commissions: 0.05% per trade
Stop Loss: 8%
Buy and hold profit: 55,157
Anant's system's profit: 60,429

We can see that the system has outperformed the buy and hold strategy. Look at the graph below. The system has underperformed the index upto 2007-2008 (only marginally). However, it has outperformed the index recently. I would pay more attention to the recent results as that is what that generates equity.



System Statistics

Avg. Profit/Loss: 752.68
Avg. Profit/Loss%: 3.49
Avg. Bars Held: 29.15
Avg. Profit: % 17.28 %
Avg. Loss :% -2.81 %
Max. Consecutive Wins: 17
Max. Consecutive Losses: 17
Max. system % drawdown: 24.84 %
Payoff Ratio: 6.52
Sharpe Ratio of trades: 0.60
Total Trades: 67
Winning Trades: 21 (31.34%)

Now, every system has its advantages and disadvantages. Same applies to this system. However, the number of positives in this system are much more in number than the negatives. First, let us discuss the positives. This system has an excellent Avg. Profit/Loss ratio. Most of the systems struggle to get this at a good level. Secondly, the Avg profit per trade is 17% whereas the Avg loss per trade is -2.81%. This is again excellent. What this signifies is that when the market's are trending, this system is going to give very good returns and during non trending phases, this will not result into heavy losses. Pay off ratio again is very good and favors those who will stick with the system for a long time. Now let us see some negative aspects. The sharpe ratio of trades is just 0.6. Ideally Sharpe ratio should be above 1.0. The more higher it is, the better the investor is rewarded in terms of investment made (in risk terms). The Sharpe ratio is used to characterize how well the return of an asset compensates the investor for the risk taken, the higher the Sharpe ratio number the better. However, I would still be fine with this as the system is outperforming the market. The winning % of trades is just 31.3%. Now this can be looked at in two ways. Either one can be unhappy seeing the winning percentage or one can be delighted by the fact that despite of having a poor winning ratio, the system still outperforms the broader market and yields a high Avg profit per trade. This result signifies that this system is more or less a trend following system.

Overall, I think this system is very good. If somehow, the winning % trades is increased, then this system can yield even better results. Whether that has to be done or not, I will leave that to Anant to decide upon. After seeing the systems in Traderji, I feel this system is certainly one of the better one's around. Some systems (including mine) lack in some aspect or other. But this particular system is certainly a complete package that a trader would definitely want to have.

The results mentioned here depend on many factors. By changing the factors, the results yielded can change. I have just used the setting which I feel are comfortable for me.

Which AFL has been used ?

Code:
_SECTION_BEGIN("SingleMA");

SetChartOptions(0, chartShowDates | chartWrapTitle);
 
Type = ParamList("Average Type", "Wilders,SMA,EMA");
P = Param("Averaging Period", 20, 3, 100,1);
Q = Param("%Change", 1, 0.1, 10, 0.1);
BP = Param("BB Period", 20, 3, 100);
BW = Param("BB Width", 2, 0.5, 10, 0.5);
BBOption = ParamToggle("Plot BB", "No I Yes");

Report = ParamList("Trigs or Update or Tgt-SL?", "Triggers|Update|Tgt-SL");

if(Type == "Wilders") A = Wilders(C, P);
if(Type == "SMA") A = MA(C, P);
if(Type == "EMA") A = EMA(C, P);

SL = Max(LLV(L, 5), Trough(L, Q, 1));

Tgt = 2 * H - SL;
MeanPrice = Prec((O + C) / 2, 2);

Part = 100 * (H - A) / (H - L);

BBTop = BBandTop(C, BP, BW);
BBBot = BBandBot(C, BP, BW);

Buy = (Prec(C, 2) > Prec(A, 2)) AND Part > 70;
Sell = H < A;

Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
Bought = Flip(Buy, Sell);
Sold = Flip(Sell, Buy);
NextTgt = ValueWhen(Buy, Tgt, 1);

for(i = 1; i < BarCount; i++)
	{
		if(Bought[i] AND NOT Buy[i]) 
		{
			SL[i] = Max(SL[i], SL[i - 1]);
			if(C[i - 1] >= 0.9999 * NextTgt[i - 1]) NextTgt[i] = Tgt[i - 1];
			NextTgt[i] = Max(NextTgt[i], NextTgt[i - 1]);
		}			
	}
BuyDate = ValueWhen(Buy, Ref(DateTime(), 1), 1);
BuyPrice = ValueWhen(Buy, Ref(MeanPrice, 1), 1);
SellPrice = ValueWhen(Sell, Ref(MeanPrice, 1), 1);

TgtReached = IIf(Bought AND NOT Buy AND C >= 0.9999 * NextTgt, True, False);
SLHit = IIf(Bought AND NOT Buy AND C < SL, True, False);
SLHit = ExRem(SLHit, Buy);
//
if(TgtReached[BarCount - 1]) NextTgt[BarCount - 1] = 2 * H[BarCount -1] - SL[BarCount - 1];
//
if(Status("action") == actionIndicator)
	{
		Ttl = EncodeColor(colorTurquoise) + "Single MA system, AFL by ANANT NAVALE" + "\n"
			+ WriteIf(Buy, EncodeColor(colorGreen) + "Buy Triggered Today, Buy this stock Tomorrow.","") 
			+ WriteIf(Sell, EncodeColor(colorRed) + "Sell Triggered Today, Sell This stock Tomorrow.", "")
			+  EncodeColor(colorTan) + WriteIf(Bought AND NOT Buy, "Bought @ " + BuyPrice + ". "
			+ "Target Price = " + NextTgt + ", Stop Loss = " + SL + ".\n"
			+ WriteIf(TgtReached, "Target Reached. Next Target = " + Ref(NextTgt, 1) + ".\n", "")
			+ EncodeColor(colorGold) + "Profit / Loss so far = " + Prec(100 * (C - BuyPrice) / BuyPrice, 2) + "%", "")
			+ WriteIf(Sold AND NOT Sell, "Sold @ " + SellPrice + "\nProfit / Loss in Previous Trade = " + Prec(100 * (SellPrice - BuyPrice) / BuyPrice, 2) + "%", "");

		_N(Title = StrFormat("{{NAME}} ({{INTERVAL}}), {{DATE}} ; {{OHLCX}}, V=%1.0f\n {{VALUES}}\n\n", V) + Ttl);
		ChartStyle = ParamStyle("Chart Type", styleBar, maskAll);

		PlotOHLC(O, H, L, C, "", colorLightGrey, ChartStyle);
		Plot(A, Type + "(" + P +")", colorYellow, styleLine | styleThick);
		Plot(IIf(Bought, NextTgt, Null), "Target", colorBlueGrey, styleLine);
		Plot(SL, "Trail SL", colorTeal, styleLine); 
		PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-20);
		PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-30); 
		PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-25); 
		PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=20);
		PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=30); 
		PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-25);
		if(BBOption) Plot(BBtop, "BB-Top", colorPink, styleLine);
		if(BBOption) Plot(BBBot, "BB-Bot", colorPink, styleLine);
	}

if((Status("action") == actionExplore) AND Report == "Triggers")
	{
		Filter = Buy OR Sell;

		SetOption("NoDefaultColumns", True);

		AddTextColumn(Name(), "Symbol", 77, colorDefault, colorDefault, 120);
		AddColumn(DateTime(), "Trigger Date", formatDateTime);
		AddColumn(IIf(Buy, 66, 83), "Signal", formatChar, colorYellow, IIf(Buy, colorGreen, colorRed));
		AddColumn(C, "C. M. P.", 6.2);
		AddColumn(IIf(Buy OR Bought, NextTgt, Null),  "Target", 6.2);
		AddColumn(IIf(Buy OR Bought, SL, Null), "StopLoss", 6.2);
	}
if((Status("action") == actionExplore) AND Report == "Update")
	{
		Filter = True;
		
		SetOption("NoDefaultColumns", True);

		AddColumn(DateTime(), "Updated On", formatDateTime, colorDefault, colorDefault, 96);
		AddTextColumn(Name(), "Symbol", 77, colorDefault, colorDefault, 120);
		AddColumn(BuyDate, "Buy Date", formatDateTime, colorDefault, colorDefault, 96);
		AddColumn(BuyPrice, "Buy Price", 6.2);
		AddColumn(NextTgt, "Target", 6.2);
		AddColumn(SL, "StopLoss", 6.2);
		AddColumn(C, "CMP", 6.2, colorDefault, colorDefault, 96);
	}
if((Status("action") == actionExplore) AND Report == "Tgt-SL")
	{
		Filter = TgtReached OR SLHit;
		
		SetOption("NoDefaultColumns", True);

		AddColumn(DateTime(), "Updated On", formatDateTime, colorDefault, colorDefault, 96);
		AddTextColumn(Name(), "Symbol", 77, colorDefault, colorDefault, 120);
		AddColumn(BuyDate, "Buy Date", formatDateTime, colorDefault, colorDefault, 96);
		AddColumn(BuyPrice, "Buy Price", 6.2);
		AddColumn(NextTgt, "Target", 6.2);
		AddColumn(SL, "StopLoss", 6.2);
		AddColumn(C, "CMP", 6.2, colorDefault, colorDefault, 96);
		AddColumn(IIf(TgtReached, 89, 32), "Tgt Hit?", formatChar, colorYellow, IIf(TgtReached, colorGreen, colorDefault));
		AddColumn(IIf(TgtReached, 2 * H - SL,  Null), "Next Tgt", 1.2);
 		AddColumn(IIf(SLHit, 89, 32), "SL-Hit", formatChar, colorYellow, IIf(SLHit, colorRed, colorDefault));
	}

_SECTION_END();
 

asnavale

Well-Known Member
Hi,

NEW TRIGGERS on 23-03-2010 (For Trading on 25-03-2010):

BUY TRIGGERS

Code:
-------------------------------------------
Symbol     | C. M. P.|  Target | StopLoss | 
-----------|---------|---------|----------|
ALLCARGO   |  186.30 |  199.70 |   176.50 |
GSFC       |  210.65 |   233.80 |   200.70 |
-------------------------------------------

SELL TRIGGERS


Code:
------------------------------------------------------------------------------
  Symbol   | Buy Date  |  Price  |  Target | Stop Loss |    CMP    |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
INDIANB    | 19-Mar-10 |  170.50 |  182.10 |    163.50 |    163.55 |   -4.1 % |
-------------------------------------------------------------------------------

TARGETS REACHED

Code:
------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
APIL       | 05-Mar-10 |  562.55 |  601.75 |    578.00 |    606.50 |    7.8 % |
DRREDDY    | 26-Feb-10 | 1141.65 | 1289.85 |   1207.00 |   1303.55 |   14.2 % |
-------------------------------------------------------------------------------

[I]
APIL         Next Target:  642.00, SL:  578.00
DRREDDY      Next Target: 1406.00, SL: 1208.00
[/I]

STOP LOSS HIT


Code:
-------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
ACC        | 15-Feb-10 |  880.90 | 1059.00 |    960.15 |    957.50 |    8.7 % |
EVEREADY   | 08-Mar-10 |   62.10 |   70.35 |     62.10 |     61.65 |   -0.7 % |
GRASIM     | 27-Nov-09 | 2353.10 | 2994.00 |   2867.00 |   2852.90 |   21.2 % |
HINDZINC   | 03-Mar-10 | 1153.55 | 1394.80 |   1234.10 |   1213.25 |    5.2 % |
IDFC       | 02-Mar-10 |  162.30 |  179.70 |    161.25 |    158.40 |   -2.4 % |
MLL        | 08-Mar-10 |   60.35 |   68.00 |     57.55 |     57.15 |   -5.3 % |
TATATEA    | 04-Mar-10 |  968.90 | 1057.55 |    945.25 |    939.00 |   -3.1 % |
-------------------------------------------------------------------------------

TRADE THESE SIGNALS AT YOUR OWN RISK


The updated Excel file is available for DOWNLOAD HERE


-Anant
 
Last edited:

asnavale

Well-Known Member
Hi,

NEW TRIGGERS on 25-03-2010 (For Trading on 26-03-2010):

BUY TRIGGERS

Code:
-------------------------------------------
Symbol     | C. M. P.|  Target | StopLoss | 
-----------|---------|---------|----------|
MINDTREE   |  590.95 |  640.10 |   553.50 |
PANTALOONR |  404.30 |  439.95 |   375.05 |
RPOWER     |  149.25 |  160.00 |   139.60 |
-------------------------------------------

SELL TRIGGERS


Code:
------------------------------------------------------------------------------
  Symbol   | Buy Date  |  Price  |  Target | Stop Loss |    CMP    |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
GAIL       | 09-Mar-10 |  409.80 |  443.50 |    405.00 |    401.70 |   -2.0 % |
KSK        | 19-Mar-10 |  183.30 |  194.60 |    177.20 |    176.15 |   -3.9 % |
TTML       | 19-Mar-10 |   24.85 |   28.50 |     23.55 |     23.75 |   -4.4 % |
-------------------------------------------------------------------------------

TARGETS REACHED

Code:
------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
CAIRN      | 15-Mar-10 |  275.30 |  295.20 |    278.20 |    298.85 |    8.6 % |
CIPLA      | 08-Mar-10 |  321.55 |  347.65 |    318.50 |    348.80 |    8.5 % |
HDFCBANK   | 19-Feb-10 | 1681.95 | 1887.45 |   1790.50 |   1926.15 |   14.5 % |
MARICO     | 02-Mar-10 |  104.05 |  110.30 |    104.10 |    111.30 |    7.0 % |
PATNI      | 24-Feb-10 |  480.70 |  555.85 |    513.10 |    577.50 |   20.1 % |
PNB        | 03-Mar-10 |  926.90 | 1000.00 |    915.55 |   1002.75 |    8.2 % |
-------------------------------------------------------------------------------

[I]
CAIRN         Next Target:  322.70, SL:  278.20
CIPLA         Next Target:  377.60, SL:  326.00
HDFCBANK      Next Target: 2069.50, SL: 1790.50
MARICO        Next Target:  125.40, SL:  104.10
PATNI         Next Target:  674.90, SL:  513.10
PNB           Next Target: 1105.65, SL:  915.55
[/I]

STOP LOSS HIT


Code:
-------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
AMARAJABAT | 08-Mar-10 |  157.80 |  170.25 |    163.65 |    162.20 |    2.8 % |
BRFL       | 03-Mar-10 |  211.25 |  249.65 |    216.50 |    215.05 |    1.8 % |
GAIL       | 09-Mar-10 |  409.80 |  443.50 |    405.00 |    401.70 |   -2.0 % | 
JAGRAN     | 17-Mar-10 |  126.00 |  142.70 |    119.85 |    118.25 |   -6.2 % |
KSK        | 19-Mar-10 |  183.30 |  194.60 |    177.20 |    176.15 |   -3.9 % |
TATACHEM   | 05-Mar-10 |  308.65 |  344.25 |    303.30 |    302.50 |   -2.0 % |
-------------------------------------------------------------------------------

TRADE THESE SIGNALS AT YOUR OWN RISK


The updated Excel file is available for DOWNLOAD HERE


-Anant
 

asnavale

Well-Known Member
Hi,

NEW TRIGGERS on 26-03-2010 (For Trading on 29-03-2010):

BUY TRIGGERS

Code:
-------------------------------------------
Symbol     | C. M. P.|  Target | StopLoss | 
-----------|---------|---------|----------|
ADVANTA    |  520.10 |  565.80 |   490.20 |
GMRINFRA   |   60.65 |   65.80 |    56.60 |
GUJFLUORO  |  144.80 |  160.60 |   135.00 |
M&M        | 1080.90 | 1146.80 |  1031.00 |
PANACEABIO |  217.55 |  273.30 |   176.80 |
PUNJLLOYD  |  185.30 |  203.15 |   170.65 |
UTTAMSTL   |  117.40 |  130.80 |   106.00 |
-------------------------------------------

SELL TRIGGERS


Code:
------------------------------------------------------------------------------
  Symbol   | Buy Date  |  Price  |  Target | Stop Loss |    CMP    |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
-------------------------------------------------------------------------------

TARGETS REACHED

Code:
------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
AGRODUTCH  | 04-Mar-10 |   16.05 |   23.20 |     17.70 |     24.00 |   49.5 % |
AIAENG     | 05-Mar-10 |  351.30 |  374.50 |    355.55 |    382.75 |    9.0 % |
AXISBANK   | 02-Feb-10 | 1051.25 | 1178.85 |   1128.60 |   1193.25 |   13.5 % |
SINTEX     | 08-Mar-10 |  261.65 |  287.70 |    263.00 |    288.95 |   10.4 % |
-------------------------------------------------------------------------------

[I]
AGRODUTCH     Next Target:    30.3, Stop Loss:   17.70
AIAENG        Next Target:  419.45, Stop Loss:  355.55
AXISBANK      Next Target: 1267.30, Stop Loss: 1128.60
SINTEX        Next Target:  317.00, Stop Loss:  263.00
[/I]

STOP LOSS HIT


Code:
-------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
ABGSHIP    | 12-Mar-10 |  265.05 |  286.25 |    258.00 |    257.35 |   -2.9 % |
AHMEDFORGE | 25-Nov-09 |   66.00 |  167.90 |    134.05 |    133.90 |  102.9 % |
LAXMIMACH  | 22-Mar-10 | 1839.00 | 2036.45 |   1823.00 |   1816.85 |   -1.2 % |
-------------------------------------------------------------------------------

TRADE THESE SIGNALS AT YOUR OWN RISK


The updated Excel file is available for DOWNLOAD HERE


-Anant
 

asnavale

Well-Known Member
Re: Detailed result of Anant's AFL

I have back tested Anant's AFL for those who want to see the accuracy and profit % of the signals given by this system. I don't know if this has been done earlier. But anyway I think it will benefit those who have doubts, queries about the system. To earn from a system, one needs to understand it in and out. This is just a small step towards it.

Buy and Hold Vs System Results

The first thing any trader should look in the system is to compare it with the Buy and hold strategy. If your system does not do better than the buy and hold strategy, then I don't think that the system is of any use. The main essence of developing a technical system is to outperform the market. These are the results for Anant's system.

Initial Equity: 10,000
Symbol Used: Only Nifty Spot
Direction: Only long trades considered
Commissions: 0.05% per trade
Stop Loss: 8%
Buy and hold profit: 55,157
Anant's system's profit: 60,429

We can see that the system has outperformed the buy and hold strategy. Look at the graph below. The system has underperformed the index upto 2007-2008 (only marginally). However, it has outperformed the index recently. I would pay more attention to the recent results as that is what that generates equity.


System Statistics

Avg. Profit/Loss: 752.68
Avg. Profit/Loss%: 3.49
Avg. Bars Held: 29.15
Avg. Profit: % 17.28 %
Avg. Loss :% -2.81 %
Max. Consecutive Wins: 17
Max. Consecutive Losses: 17
Max. system % drawdown: 24.84 %
Payoff Ratio: 6.52
Sharpe Ratio of trades: 0.60
Total Trades: 67
Winning Trades: 21 (31.34%)



Hi Raunak,

First of all a BIG BIG THANK YOU.

For taking so much interest and pains to systematically test the system. Though I saw your post earlier I did not want to just put a Thank you. I wanted to express more and so i needed time to put my thoughts in a proper form.

As you have said it is a good trend following system like most of the systems that use Averages. Some fine tuning is still required to improve the profitability and winning proportions as well as the Sharpe Ratio.

I would like to know a little more detail about your back test.

1) What is the period over which the test was carried out?
2) Whether the BUY and SELL signals only were used? What I mean is, the system gives SL hit signals also which take us out with smaller losses. As there is no trigger generated by the AFL when SL is hit, probably your test took the Sell triggers only for exiting. If we get out when SL is hit the loss is less and the profit/loss ratio improves.
3) Did you use only the 20-day Wilders Average?

The answers to above will help me in improving the system.

I am trying to include this SL part also in the AFL. There is catch here. Some times when SL is hit, the SL is above the Average, the price again moves above SL without hitting the Average line. Therefore, there will not be a BUY trigger and we are left out and do not enter as there is no BUY signal. (The price is still above Avg so it is in 'Bought' condition). An example of this is AHMEDEFORGE. It gave a BUY trigger on 24-11-2009 and has hit SL five times but remained above Avg and hence no SELL triggers (and therefore no further BUY signals). As of today it is in profit of above 100%. If we had exited after the first SL we would not have re-entered and lost a big chance. In my updates Excel sheet I remove the stock when SL is hit. But I had purposely left AHMEDFORGE in the list. Of course, I had no idea that it would perform so well. I had just left it by random selection. There are similar cases which need a better way of handling the signals including exit on SL and re-entry. I am trying to implement these.

For all those who are interested in short selling using this AFL:

Presently I will fine tune the system for LONG only. Thereafter, I will look into SHORT side. I do not want to try optimising two different strategies in one AFL simultaneously and end up spoiling both.

Thanks once again raunak.

-Anant
 

SwingKing

Well-Known Member
Re: Detailed result of Anant's AFL


I would like to know a little more detail about your back test.

1) What is the period over which the test was carried out?
2) Whether the BUY and SELL signals only were used? What I mean is, the system gives SL hit signals also which take us out with smaller losses. As there is no trigger generated by the AFL when SL is hit, probably your test took the Sell triggers only for exiting. If we get out when SL is hit the loss is less and the profit/loss ratio improves.
3) Did you use only the 20-day Wilders Average?
-Anant
Dear Anant,

Thanks a lot for your kind words.

1. I tested this from 1/1/97 to current date. Test was carried out only on Nifty as I am primarily an Index trader. I did not test the AFL on any stock. Although I plan to post results of this AFL on stocks which are very active in F&O segment.

2. Only Buy and Sell triggers were used. I did not take SL into consideration.

3. I did not change the MA specified. So I don't know what was the default value. If 20-day Wilders average is default, then this is used.

Hope this helps.

Tc.
 

cnbondre

Well-Known Member
Re: Detailed result of Anant's AFL



Hi Raunak,

First of all a BIG BIG THANK YOU.

For all those who are interested in short selling using this AFL:

Presently I will fine tune the system for LONG only. Thereafter, I will look into SHORT side. I do not want to try optimising two different strategies in one AFL simultaneously and end up spoiling both.

Thanks once again raunak.

-Anant
Hi,

Anant,

I would like to repeat the words of "Raunak himself", that you are a "GOD" of AFL,

--------------------------------------------------------------------------------------
19th December 2009, 10:26 PM
raunakagarwal

Quote:
Originally Posted by asnavale
I have not seen Prides method. The AFL was written based on bandlabs criteria given in his post.

-Anant

Yes I know that ... I think u r the god of AFL's :thumb: have seen a lot of 'quick' AFL's posted by u ...

Simply superb!!!
__________________
Raunak Agarwal

------------------------------------------------------------------------------------------------


This above analysis of yours on Raunak's bactesting has again proved it.

May God bless you,
With Best Regards,

CNBONDRE
 

asnavale

Well-Known Member
Hi,

NEW TRIGGERS on 29-03-2010 (For Trading on 30-03-2010):

BUY TRIGGERS

Code:
-------------------------------------------
Symbol     | C. M. P.|  Target | StopLoss | 
-----------|---------|---------|----------|
ANDHRABANK |  103.90 |  111.85 |    97.15 |
AUTOAXLES  |  363.45 |  479.85 |   340.05 |
BAJAJHLDNG |  598.20 |  648.35 |   561.25 |
BHEL       | 2394.80 | 2488.80 |  2324.00 |
ESSAROIL   |  140.50 |  150.30 |   135.30 |
HINDUNILVR |  239.70 |  254.80 |   226.00 |
NAGARCONST |  162.10 |  182.55 |   154.25 |
NIITTECH   |  177.55 |  205.30 |   163.30 |
SRF        |  190.55 |  205.95 |   182.05 |
YESBANK    |  257.45 |  284.00 |   236.00 |
-------------------------------------------

SELL TRIGGERS


Code:
------------------------------------------------------------------------------
  Symbol   | Buy Date  |  Price  |  Target | Stop Loss |    CMP    |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
BALMLAWRIE | 18-Mar-10 |  598.05 |  683.50 |    585.50 |    581.90 |   -2.7 % |
-------------------------------------------------------------------------------

TARGETS REACHED

Code:
------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
ITC        | 10-Mar-10 |  253.50 |  269.15 |    256.20 |    269.20 |    6.2 % |
-------------------------------------------------------------------------------

[I]
ITC          Next target:  285.80, Stop Loss:  256.20
[/I]

STOP LOSS HIT


Code:
-------------------------------------------------------------------------------
Symbol     | Buy Date  |  Price  |  Target |  StopLoss |   C.M.P.  |  P / L % |
-----------|-----------|---------|---------|-----------|-----------|----------|
BALMLAWRIE | 18-Mar-10 |  598.05 |  683.50 |    585.50 |    581.90 |   -2.7 % |
BATAINDIA  | 26-Feb-10 |  219.85 |  267.10 |    236.20 |    232.20 |    5.6 % |
DCHL       | 04-Mar-10 |  161.05 |  183.30 |    164.50 |    161.00 |   -0.04% |
GILLETTE   | 04-Mar-10 | 1389.55 | 1559.90 |   1400.00 |   1377.85 |   -0.8 % |
GRAPHITE   | 17-Mar-10 |   85.60 |  111.60 |     85.00 |     84.05 |   -1.8 % |
IPCALAB    | 05-Mar-10 |  234.90 |  359.20 |    252.20 |    269.75 |   14.8 % |
TATACOFFEE | 19-Mar-10 |  362.65 |  384.10 |    355.00 |    351.25 |   -3.2 % |
ZYLOG      | 10-Mar-10 |  384.10 |  540.55 |    428.10 |    427.40 |   11.3 % |
-------------------------------------------------------------------------------

TRADE THESE SIGNALS AT YOUR OWN RISK


The updated Excel file is available for DOWNLOAD HERE


-Anant
 
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