Here is a simple mean reversion trading system using Autocorrelation and Stochastic osciallator crossover. In the last article we seen about autocorrelation that negative correlation attracts mean reversion trading and positive correlation attracts trend trading. But only the long only positive crossover signals when the autocorrelation is negative. Trading Strategy Rules 1 Enter Long trade at the next day open only if the auto-correlation is negative and there is a positive stochastic crossover.
Strategy tested with Nifty Futures Daily timeframe with shares 4 lots x25 shares of Nifty for Long only trades. Tested with historical data right from the year And the holding time of the trading strategy range from 2 days to 10 days max. Check out the complete backtest report since for Nifty futures. Rajandran is a Full time trader and founder of Marketcalls, hugely interested in building timing models, algos , discretionary trading concepts and Trading Sentimental analysis.
He now instructs users all over the world, from experienced traders ,professional traders to individual traders. Rajandran has a broad understanding of trading softwares like Amibroker, Ninjatrader, Esignal, Metastock, Motivewave, Market Analyst Optuma ,Metatrader,Tradingivew,Python and understands individual needs of traders and investors utilizing a wide range of methodologies. The current blog spot i. You have optimized them to catch the specific aspect, in this case going long only and though we can take signals for shorting, you advise not to because we are increasing the risk factor for fraction of the profit generated by the long.
Kindly clarify my doubt, say in a month like December when there was a down trend in Nifty, even though we have a specific system to catch longs, but the market was not conductive and there is not a possibility of of not taking trades or possible whipsaws.
It would be really beneficial if you can give us a system that specializes in short only, for higher time frames for volatile scrips like BN etc…. To be frank i havent searched for a pure short only system yet. And one thing i want to point you here. Iam not optimizing each and every entity here. If i do so mostly probably we will end up with curve fitting. My optimization variable will be around parameters max at any given trading system. More the Optimization variable more it does only curve fitting.
Yes the system is designed accordingly since it is a EOD based strategy. You can either choose the days closing or at the next day open for your entry or exit. You can set the trade delay in the AFL code to 0,0,0,0 if you want to enter on the same day close to the market close.
No broker in India will offer MT4 because MT4 is not made for stock exchanges so none of the stock exchange in the world will approve such trading terminals for trading.
Your email address will not be published. Related Readings and Observations High Probability Mean Reversion in Nifty Futures Nifty Futures 10 day autocorrelation turned negative for the last two days also the smooth oscillator holding near oversold zone which indicates possible mean reversion trades in nifty […] Codesnippet: Autocorrelation Amibroker AFL and Pinescript Code "Autocorrelation, also known as serial correlation, is the cross-correlation of a signal with itself.
And our IBS mean reversion strategy is a slight variation of the Internal Bar Strength by taking a […] Introduction to Backtesting a Trading System using Amibroker Backtesting is a simple process which helps a trader to evaluate his trading ideas and provides information about how good the trading system performs on the given historical dataset.
In this section we will be dealing with python com server to integrate […] Supertrend Multi Timeframe Based Trading System — Amibroker AFL Code Here is the first prototype from Marketcalls which demonstrates multi-timeframe based trading system which compares two timeframes 5min and hourly in this case and takes a trade decision […]. Comments Hello Rajandran, Thanks for the blog post. One point i wanted to run by you: I see that you like to dissect the trading set up and optimize each entity.
Hi Sai, To be frank i havent searched for a pure short only system yet. Anyways thanks for your ping to look out for pure Short only strategies. We have to trade with caution. What are the pros and cons of this strategy?
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