3x5 MACO System

advertisement
Review of the original system has been designed and
shared by Vishwanathan Sundaresan (Vish)
And discussion of modifications done by Shiva Galrani
3x5 MACO System Overview





Works great on Nifty Futures (NF) or BankNifty Futures (BNF)
Time frame – Daily
Use Nse Adj close price (Future – Not Spot)
3EMA – 3 day EMA of the Adjusted EOD close
5EMA – 5 day EMA of the Adjusted EOD close
 Buy when 3EMA crosses above 5EMA
 Sell when 3EMA crosses below 3EMA
 On last day of Future series expiry, cover existing position and
carry forward the position to next month series.
3x5 Entries on Chart
Entry & Exits – What to do & When
C/f Longs in Bank Nifty Future - Reversal Point – 11,250
Markets at 9:30 am
Open below 11250,
9:30 below 11,250
Enter Market
order to cover
Longs & Go
short
Open above 11250,
9:30 below 11,250
Open below 11250,
9:30 above 11,250
Open above 11250,
9:30 above 11,250
Enter Stop
Loss Order
@11250 to
Cover Longs
& Go Short
9:30 to 3:00 pm
Avoid watching
markets “regularly”
Markets at 3:15 pm
Market order
or SLO hit in
day and BNF
is Above 11250
Enter Market
Order to
Cover Shorts
& Go Long
You may only enter
a Stoploss for your
Intraday order as
per your risk
appetite (I don’t
enter it)
Market order
or SLO hit in
day and BNF
is Below 11250
Intraday
Shorts C/f to
next day
Above all try not to
worry on what
markets are doing.
SLO not hit
and BNF is
still Above
11250
SLO expires.
Longs C/f to
next day
Never Modify your
Stop Loss order.
Entry & Exits – What to do & When
C/f Shorts in Bank Nifty Future - Reversal Point – 11,250
Markets at 9:30 am
Open above 11250,
9:30 above 11,250
Enter Market
order to cover
Shorts & Go
Long
Open below 11250,
9:30 above 11,250
Open above 11250,
9:30 below 11,250
Open below 11250,
9:30 below 11,250
Enter Stop
Loss Order
@11250 to
Cover Shorts
& Go Long
9:30 to 3:00 pm
Avoid watching
markets “regularly”
Markets at 3:15 pm
Market order
or SLO hit in
day and BNF
is Below 11250
Enter Market
Order to
Cover Longs
& Go Short
You may only enter
a Stoploss for your
Intraday order as
per your risk
appetite (I don’t
enter it)
Market order
or SLO hit in
day and BNF
is Above 11250
Intraday
Longs C/f to
next day
Above all try not to
worry on what
markets are doing.
SLO not hit
and BNF is
still Below
11250
SLO expires.
Shorts C/f to
next day
Never Modify your
Stop Loss order.
3x5 Modifications - Synopsis
 Risk Management – Trade in one lot of NF / BNF for every 50K of





capital invested. So if investing 2 lakhs, maximum lots I trade is 4. (This
needs to be adapted as per your risk appetite. For conservative traders
suggested level is to trade 1 lot per lakh)
Initial lots – Minimum quantity of lots that is always in trade (My
personal preference is to keep this at 50% of maximum lots).
Addition to existing lots – To be done after 3 days of trend & only on
3ema touch. (Reasons follow in upcoming slides)
3ema touch rule for booking profits– Exiting at beginning of day to reenter at lower prices (in case of longs)
50% of capital is actually invested as margin requirement. Instead of
keeping the other half idle, Invest at least 60% of the same using 3x5
long only on cash stocks. Select Nifty 50 stocks give superior results
(DLF, SBIN, ICICIBANK for example)
20% of annual gains are set aside for donations, 30% invested on
personal needs and 50% ploughed back in the system
Adding to a current position
Add to a current position only if ALL the following criteria is satisfied.
 The trend is at least 3 days old. So if the intial trade was signalled on day




1, we add only from day 4
Add on pullback to 3ema only.
Order entry follows same rule as initial trade day.
Enter order at 9:30 to buy additional lots at 3ema touch
By day end if the signal has whipped back, cover the added lots also
along with the initial lots.
Subsequent addition follows the same rule as above. Only replace first rule
that the last addition was done at least 2 days ago. So if Initial trade was on
day 1, 1st add was on day 4, 2nd add to be done only on day 6
How much to add : My personal rule is Initial lots are 50% of maximum
allowed lots and maximum 2 additions of 25% each
3EMA Touch rule to book profits
Enter this trade only if ALL the following are True (assuming you are holding
long positions)
 Gap up or jump in initial 15 mins till 9:30
 Your initial position was traded at least 3 days ago
 Your current position is in profit (as of yesterday close)
 Difference between NF / BNF and their 3ema is at least 50 / 125
Action to do if ALL above are satisfied
 Sell at the most half your position at 9:30
 Enter Buy order at 3ema of yesterday’s close price. This is the price at which
traded price = 3ema
 If Buy back order is executed you have made 50 / 125 points on NF / BNF
 If the order is not executed (markets have gone up without touching 3ema, you
wait for them to do so and enter as per addition rule.
 In the meantime you still have half your position to keep the cash coming in.
Backtest results analysis (Jun-05 to Oct-12)
Yearly comparison
(1 Lot trades only...25K margin per lot, 50K capital per lot…No Pyramiding or increase in lots assumed)
Bank Nifty
Intraday trades
System Trades
2005
6
18
2006
20
34
2007
21
32
2008
19
34
2009
20
38
2010
22
30
2011
19
43
2012
17
28
Total
Brokerage paid
3,600
8,100
7,950
7,950
8,700
7,800
9,300
6,750
60,150
Intraday points loss
System Gain / Loss
(585)
2,200
(1,696)
4,326
(4,102)
5,914
(4,597)
10,471
(4,151)
7,921
(4,209)
7,397
(2,919)
5,583
(2,990)
6,675
(25,250)
50,486
Net Points Gain / Loss
1,616
2,630
1,812
5,874
3,770
3,187
2,664
3,685
25,237
Rs Gain per Lot
36,790
57,660
37,342
138,894
85,543
71,882
57,288
85,365
570,763
Nifty
Intraday trades
System Trades
7
15
18
32
22
32
28
32
24
38
29
40
23
39
19
18
170
246
Brokerage paid
3,300
7,500
8,100
9,000
9,300
10,350
9,300
5,550
62,400
Intraday points loss
System Gain / Loss
(294)
856
(1,240)
2,403
(2,729)
3,351
(3,195)
4,618
(2,487)
3,200
(1,480)
2,651
(2,540)
3,488
(1,563)
2,524
(15,527)
23,092
Net Points Gain / Loss
562
1,163
623
1,424
712
1,172
949
961
7,565
Rs Gain per Lot
24,780
50,656
23,038
62,187
26,315
48,241
38,137
42,482
315,836
Diff b/w BNF & NF
12,010
7,003
14,304
76,707
59,229
23,641
19,151
42,883
254,927
144
257
Backtest results analysis on trades
More profits in longs than in shorts
Nifty
Long Buy
Short sell
Lose Trds
49
69
118
Long Buy
Short sell
Bank Nifty
Long Buy
Short sell
42%
58%
Lose Trds
56
63
119
Long Buy
Short sell
47%
53%
Losing Pts Win Trds
(1,685)
74
(2,053)
54
(3,738)
45%
55%
128
58%
42%
Losing Pts
Win Trds
(4,977)
73
(4,304)
65
(9,281)
54%
46%
138
53%
47%
Winning Pts Total Trds
Total Pts
14,992
123
13,307
11,838
123
9,785
26,830
56%
44%
246
50%
50%
23,092
58%
42%
Winning Pts Total Trds Total Pts
34,146
129
29,169
25,621
128
21,317
59,768
57%
43%
257
50%
50%
50,487
58%
42%
Backtest results analysis (Jun-05 to Oct-12)
Nifty
No. of Days Total system Net P&L Total Losing Net P&L on
in Trade
trades
on Trades
Trades
Losing Trades
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16 to 40
39
27
23
26
15
17
11
11
12
6
10
6
7
6
4
26
(1,433)
(726)
(622)
(274)
339
792
617
739
1,449
790
2,027
1,232
2,349
1,474
978
13,362
38
27
22
19
4
5
2
1
-
(1,447)
(726)
(623)
(512)
(171)
(73)
(172)
(14)
-
246
23,092
118
(3,738)
Total
Winning
Trades
1
7
11
12
9
10
12
6
10
6
7
6
4
26
Net P&L on
Winning
Trades
14
1
238
510
864
789
753
1,449
790
2,027
1,232
2,349
1,474
978
13,362
128
26,830
1
-
Backtest results analysis (Jun-05 to Oct-12)
Bank Nifty
No. of Days Total system Net P&L on
in Trade
trades
Trades
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16 to 40
Total Losing
Trades
33
36
27
23
23
16
18
9
11
13
9
3
5
3
1
27
(3,017)
(2,645)
(1,658)
(828)
334
2,628
2,135
2,202
3,192
4,621
3,458
2,941
3,264
2,016
495
31,350
33
35
23
15
9
1
3
-
257
50,487
119
Net P&L
Net P&L on
Total Winning
on Losing
Winning
Trades
Trades
Trades
(3,017)
(2,646)
1
0
(1,765)
4
107
(1,055)
8
228
(611)
14
945
(8)
15
2,635
(179)
15
2,314
9
2,202
11
3,192
13
4,621
9
3,458
3
2,941
5
3,264
3
2,016
1
495
27
31,350
(9,281)
138
59,768
Moment to reflect
Double your money every year (based on backtest
results)




With Minimal knowledge of technical analysis
Investing about 15-30 minutes twice a day
No Software. Only spreadsheet is required.
Important requirement is discipline and Risk
management.
 Most important task is to take all trades as signaled by
the system as the next trade could be a big trend
Disclaimer
Backtest results are not indicative of future returns
and please do your own due diligence before
investing.
I have to present all the possible scenarios in the
system and its backtest. But markets do tend to
surprise and test you in new ways always.
So please please do some due diligence and paper
trade this system before committing real money on
this system
Any Questions
Download
Related flashcards

Financial markets

19 cards

Securities (finance)

22 cards

Currencies of Africa

22 cards

Currencies of Europe

37 cards

Currencies of Asia

20 cards

Create Flashcards