LinTRA – Intraday Trading System
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This document discusses LinTRA, a linear regression-based intraday trading system for trading volatile stocks. It provides advantages and disadvantages of intraday trading. LinTRA uses breakout entry and exit signals in real time. Backtesting shows the system's performance on Bank Nifty futures from 2010-2016, with different brokerage fee parameters significantly impacting returns. Access to LinTRA's real-time signals is available on the listed website.
LinTRA – Intraday Trading System
- 1. LINTRA INTRADAY TRADING SYSTEM & SYSTEM PERFORMANCE RAJANDRAN R – FOUNDER (MARKETCALLS)
- 2. Disclaimer Futures trading contains substantial risk and is not suitable for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only consider risk capital that should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. Copyright @ 2016 www.marketcalls.in
- 3. About Author of Marketcalls Since 2007 System Trader + Discretionary Trader Interested in Building Trading Analytics, Algos & Timing Models Most Recent Focus is on Trading Sentimental Analysis More about me at www.Marketcalls.in/about Copyright @ 2016 www.marketcalls.in
- 4. Advantages of Intraday Trading No Overnight Risk No Need to Worry About After Market News, Global Sentiments Copyright @ 2016 www.marketcalls.in
- 5. Disadvantages of Intraday Trading High Leveraged Trading Kills Requires constant monitoring of positions and constantly look for oppurtunities Cannot benefit from Gap ups or Gap Downs News Generated Intraday Volatility is tough to handle Requires to Operate with Low Cost Discount Brokerage Solutions Copyright @ 2016 www.marketcalls.in
- 6. How Most of the Day Traders Trade? Trend line Breakouts EMA Cross-Overs, Bollinger Bands, Renko, Ichimoku Classical Technical Indicators Fibonacci Ratios Pivot Points (Camarilla, Woodies, Classical) Gann Levels News, Rumors , Global Sentiments, Earnings Results/ Corporate Announcements. Copyright @ 2016 www.marketcalls.in
- 7. How Professional Day Traders Do? They have Trading Process, Records their trades/emotions Prepare for the Trading Day Solid Trading Plan/ Trading System Never Goes with too much of Leverage Understands the Reality of the Market Returns and Risk Involved Avoids Overtrading Invest in Quality Trading/Charting tools. Copyright @ 2016 www.marketcalls.in
- 8. What is Lin-TRA? Linear Regression based Intraday trading system designed to trade high volatile scrips It is simple but a responsive trading strategy looks for a breakout entry and breakout exit trades. Trading Decisions are taken in realtime rather than waiting for the bar to close or next bar to open. Copyright @ 2016 www.marketcalls.in
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- 13. Settings Copyright @ 2016 www.marketcalls.in
- 14. Entry and Exit Signals and Timings Intraday Entry time is at 9:30a.m i.e the time where the first signal arrives and whatever the position left open it will be closed by 3:00p.m. No Positions are Carry Fwded For Next Day Green Up Arrow Represents – Buy Signal Green Star Indicates – Exit Buy Positions Red Down Arrow Represents – Short Signal Red Star Represents – Exit Short Positions Green Up Arrow and Red Star on the Same Bar Indicates – Reverse your Position from Short to Long Red Up Arrow and Green Star on the Same Bar Indicates – Reverse your Position from Long to Short Copyright @ 2016 www.marketcalls.in
- 15. How Brokerage Affects Trading System Copyright @ 2016 www.marketcalls.in
- 16. How Brokerage Affects Trading System Copyright @ 2016 www.marketcalls.in
- 17. Backtesting Bank Nifty Futures Input Parameters Value Lin-TRA Lookup Period 100 Brokerage (No Slippage) 0.01% (includes Brokerage + Taxes) Backtesting Period OCT 2010 – May 2016 Initial Capital 200000 Trading Size 40 shares (Fixed Lot) Bank Nifty lot size 1 lot = 40 shares Copyright @ 2016 www.marketcalls.in
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- 19. Different Brokerage Parameters Parameters 0.01% 0.02% 0.03% 0.05% CAGR 37.21% 30.14% 20.64% -21.94% Max Draw Down 18.78% 20.42% 25.44% 82.75% CAR/MDD 1.98 1.48 0.81 -0.27% Sharp Ratio 2.18 1.54 0.91 -0.26% Winning Ratio 43% 41.47% 40.45% 38.08% Consecutive Losers 14 14 14 20 Total Brokerage + Taxes 3.09 lakhs 6.19 lakhs 9.29 lakhs 11.64 lakhs Copyright @ 2016 www.marketcalls.in
- 20. How to Access Lin-TRA? Access LinTRA & LinPOS online at www.marketcalls.in/lintra To Access Realtime Ninjatrader 7 + Marketcalls-Globaldatafeed Data Subscription http://www.marketcalls.in/premium/globaldatafeeds/nimbledatapropluslite Support : 09738383344 (9a.m – 6p.m Mon – Sat) Copyright @ 2016 www.marketcalls.in
- 21. Thank You Follow us at: Twitter : marketcalls_ Facebook : marketcalls Copyright @ 2016 www.marketcalls.in