Tweaks/Experiments in Saint's Intraday Miniflow Method.

[jamit_05]

Dear Amit...

If the high/low of the 12.30 bar is taken out with filter ( currently 8... not necessarily by the immediate next bar),

then...

1) 80% of the time, the market does not reverse to that bar, 12.30, in opposite direction (with filter 8)
For Ex : Suppose the High and low of 12.30 bar is 3630 and 3600 resp. Then if this bar is cracked on upper side i.e 3630+8=3638 then there are only 20 % chances that the market will go below 3600-8 = 3592.

2)90% of the time, market moves by at least 13 points in the direction of the crack.
For Ex: Taking the above example, it will go to 3630+8+13=3651 for 90% time.
(This means we can very well book profit at 21 points (8+13) above/below the 12.30 bar if the trade is in our favor.)

For the above study , I have taken data from 12-03-09 to 14-05-09...40 tradings days.) The results of the study before this date is posted on 1st page of this thread which almost match with this study)

IMHO, we can utilize this information as an additional confirmatory signal along with our 30 min flow ( of course, when in doubt) for reversal /add and profit booking.

PS. This study does suggest that we should reverse at 12.30 bar crack ( as neither it is as per Miniflow rules nor it is tested for its positive results for profitability on such reversal) Mostly in my opinion we can very well utilize this information for part profit booking ( especially when the trade is in our favor but not showing enough strength to go in our favor)

Hope this clarifies your doubts. If not, please do ask.

Thanks and regards
Manoj

Thanks Manoj.

You are suggesting that we can use this to book part profit, which seems sensible. I am sure if one does it each day it will work for the better... let me test it myself first.

Tks again. A few such high probablity observation should add signigicant edge to our method. I do not see any drawback.

 

[jatayoo]

Looks like we forgot the idea proposed by 'humble'.
One of the key questions in my mind today was that what if the MF does not materialise after a slide of 100 points?
Keep waiting?
The 15 min charts showed no reversal that took out the previous high on 30 TF / 60 TF.
On failure of the 15 min bar to take out the 30 min bar top, should not I ignore it and watch the next bar.
If the next bar is also declining without the MF materialising then what to do?
This happened for 6/7 bars. NF was +100 points down.
Perhaps the system has limitations in strongly trending markets... just like momentum indicators have their limitations. For example the 'Rate of change' indicator is known to give erroneous readings in 'gap up' or 'gap down' situations.

I think that this has perhaps gone unnoticed.To my mind this situation shall definately reoccur and therefore requires our attention and some discussion.
Pl coment on this issue for action in future whenever the need arises.:clapping::clapping:

 

[veekay304]

Sri,
Include me too in this list....

:thumb: :clapping: :thanx:

And that goes for Manoj too....


Eagerly waiting for 30-March now, and hoping for two 1:30 type bars in a day for next 6 months

Hi,

Just gone through this thread. Can you please elaborate "hoping for two 1:30 type bars in a day for next 6 months".

VK

 

[veekay304]

Dear Amit...

If the high/low of the 12.30 bar is taken out with filter ( currently 8... not necessarily by the immediate next bar),

then...

1) 80% of the time, the market does not reverse to that bar, 12.30, in opposite direction (with filter 8)
For Ex : Suppose the High and low of 12.30 bar is 3630 and 3600 resp. Then if this bar is cracked on upper side i.e 3630+8=3638 then there are only 20 % chances that the market will go below 3600-8 = 3592.

2)90% of the time, market moves by at least 13 points in the direction of the crack.
For Ex: Taking the above example, it will go to 3630+8+13=3651 for 90% time.
(This means we can very well book profit at 21 points (8+13) above/below the 12.30 bar if the trade is in our favor.)

For the above study , I have taken data from 12-03-09 to 14-05-09...40 tradings days.) The results of the study before this date is posted on 1st page of this thread which almost match with this study)

IMHO, we can utilize this information as an additional confirmatory signal along with our 30 min flow ( of course, when in doubt) for reversal /add and profit booking.

PS. This study does suggest that we should reverse at 12.30 bar crack ( as neither it is as per Miniflow rules nor it is tested for its positive results for profitability on such reversal) Mostly in my opinion we can very well utilize this information for part profit booking ( especially when the trade is in our favor but not showing enough strength to go in our favor)

Hope this clarifies your doubts. If not, please do ask.

Thanks and regards
Manoj

Hello Manoj,

Appreciates you for this tweak/observations.

Can you please elaborate "This means we can very well book profit at 21 points (8+13) above/below the 12.30 bar if the trade is in our favor".

I think we can book only 13 points as profit as we use 8 as the filter to enter trade.

Correct me if I am wrong.

thanks
VK

 

[manojkch]

Hello Manoj,

Appreciates you for this tweak/observations.

Can you please elaborate "This means we can very well book profit at 21 points (8+13) above/below the 12.30 bar if the trade is in our favor".

I think we can book only 13 points as profit as we use 8 as the filter to enter trade.

Correct me if I am wrong.

thanks
VK

Dear VK...
This means, if we are already in trade and the trade is in the direction of 12.30 bar crack with filter, we can book profit at 8+13= 21 because we are already in trade. ( The sentence : "If the trade is in our favour" is imp here).

I am not talking about fresh entry after 12.30 based on this study.'

Thanks and regards
Manoj

 

[fjl24]

Hi Manoj, Humble, Jatayooji & all seniors on this thread

Thanks for all the efforts put in by youll to backtest the tweaks and also a big thank you for sharing it with us.:clapping:

Could youll please guide me on how to arrive at the various filters for NF & SF using ATR.

What ATR parameters should we use - ATR(15) or ATR(10)?
Also, Should it be based on Daily TF ?
What is the % of ATR value for NF & SF - is it 15% or 10% of the ATR value computed as above?

Please advise.

Thanks in advance
Regards
Floyd

Dear VK...
This means, if we are already in trade and the trade is in the direction of 12.30 bar crack with filter, we can book profit at 8+13= 21 because we are already in trade. ( The sentence : "If the trade is in our favour" is imp here).

I am not talking about fresh entry after 12.30 based on this study.'

Thanks and regards
Manoj

 

[jamit_05]

Manoj,

I have made an observation in the historical NF data and am on the verge of including it in my system. Please go through the following and provide your observations too.

Action:
In two situations:
1) After the third add, whose SAR has not been raised
2) And when the risk is double i.e. when two positions (say the initial entry and the first add) have the same sar

if in these situations there are consecutively two dull bars (ones that have small bodies and big or small tails), then we can relieve our risk by squaring off one position.

LOGIC:

In case ONE:
Once the momentum stops after the third add, 8 out of 10 times one the two things happen:

1) Either the market complete reverses
2) Or the RR on the third add is poor, in fact negligible.

In other words, the third add becomes somewhat of a liability after that. Hence the action. Besides, this move often coincides with first profit booking.

In case TWO:
The logic is that, It feels a little nauseous to hold two positions at same SAR AND seeing the market losing momentum. So we just let off one position.

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

The overall idea behind the tweak is of risk protection when the market settles down after a huge run-up or when the risk is high.

 

[manojkch]

Dear Amit..... Thanks a lot for your observations. I completely agree on all your observations and corresponding actions. Only thing is that I personally don't prefer to take third add in Miniflow because I think it is little bit risky from day trading perspective.

Your Logic very much resembles to the Rule 1 of Phantom of Pits. " Positions Established must be reduced or removed until and unless the market proves the position correct ".... We should not allow the market to prove us wrong rather we allow the market to prove us correct.

But I think (not sure), our trading method is such that we allow the market to prove us wrong and then only we take out and reverse our positions. but still its is very profitable and comfortable to trade. That's the uniqueness of Saint's Method. and this method very much suits to my personality. Thanks a lot to Saint Sir for giving a perfect method to suit me.

I am really amateur to comment on how POP's Rule 1 can be incorporated ( or it is already incorporated) in our method but I certainty feel that what ever you have suggested can be done for add positions.

Thanks and regards

Thanks
Manoj

 

[jamit_05]

Vineet bhai,

This post is just a reminder for you to make a suggestion regarding the above tweak. You were about to say something but the time didnt permit.

 

[sdebu_2000]

Dear Amit...

If the high/low of the 12.30 bar is taken out with filter ( currently 8... not necessarily by the immediate next bar),

then...

1) 80% of the time, the market does not reverse to that bar, 12.30, in opposite direction (with filter 8)
For Ex : Suppose the High and low of 12.30 bar is 3630 and 3600 resp. Then if this bar is cracked on upper side i.e 3630+8=3638 then there are only 20 % chances that the market will go below 3600-8 = 3592.

2)90% of the time, market moves by at least 13 points in the direction of the crack.
For Ex: Taking the above example, it will go to 3630+8+13=3651 for 90% time.
(This means we can very well book profit at 21 points (8+13) above/below the 12.30 bar if the trade is in our favor.)

For the above study , I have taken data from 12-03-09 to 14-05-09...40 tradings days.) The results of the study before this date is posted on 1st page of this thread which almost match with this study)

IMHO, we can utilize this information as an additional confirmatory signal along with our 30 min flow ( of course, when in doubt) for reversal /add and profit booking.

PS. This study does suggest that we should reverse at 12.30 bar crack ( as neither it is as per Miniflow rules nor it is tested for its positive results for profitability on such reversal) Mostly in my opinion we can very well utilize this information for part profit booking ( especially when the trade is in our favor but not showing enough strength to go in our favor)

Hope this clarifies your doubts. If not, please do ask.

Thanks and regards
Manoj

Dear Manoj,
Firstly I should appreciate your great effort for this Tweaks and congratulate you.I noticed about this just today in Miniflow thread where Amit posted a link of this thread. I could not read all the post here but read almost all the main posts.I found it very interesting and went to the nifty 30min chart with this 12.30bar system roughly and discovered it would be really effective one if we punch it with the actual miniflow system as you said.
As an Afl(Amibroker formula Language) code lover I tried to write a code for it so that backtesting would be much more easier (Sincethe level is visible after 12.30).
In this code I tried to Point out the 12.30Bar and Plot the Buy and sell level every day after 12.30 bar gets completed.
I am posting nifty chart (30Min Offcourse) with this code.
If anybody is willing to get this can mail me at [email protected]
Hope we can analyse your system much more effectively with this .
Please Note that We can change the filter by changing it from the property menu of this chart.
Regards
Debdulal