Thursday, September 2, 2010

JNSAR - a Stop And Reverse Trading method.

Trading based on JNSAR:
JNSAR is a number based on market's strength and weakness as well as the balance of demand and supply. Whatever the number may be, a choppy market could whipsaw the number occasionally to shake off your confidence in them. However, staying with one method brings you consistent winnings.
Step:1: As the JNSAR for yesterday was 5468 and the previous trade taken was a sell @ 5483 on 25.08.10, the moment Nifty breached 5468 yesterday, you close out your earlier short and take a long position in minimum 2 lots - Stop and reverse (SAR).
Step:2: If after triggering a reversal trade @ 5468 and markets fall again, you do not change the trade on the same day as JNSAR is done only once a day but do so only the next day based on next day's JNSAR. (Risk averse could have a Stop loss in extreme choppiness but the essence of JNSAR is to keep the trade once triggered and manage it the next day only. If and when such extremes take place, I'll be around to alert you. This has not happened in the last 3 years).
Step:3:Once a new trade is taken in aminimum 2 lots, you book on one lot with a profit of 50, 100+ points and keep the 2nd lot till a reverse trade is triggered based on each subsequent day's JNSAR.
Step:4: After booking out on the 1st lot, if Nifty climbs back substantially and start to fall again, take a new trade again. For Eg: After triggering a sell @ 5483 on 25.08.10, Nifty fell to 5392 on 27.08.10 and the 1st lot was booked @ 5397 and on Monday, it rebounded to 5469 and started to fall breaking day's low @ 5441, another sell could have been taken and another profit booking would have been done. This step is optional and suited for the experienced.
Step:5: You may use the filter of 0.2% to 0.3% on JNSAR for 2 days once JNSAR new trade is taken to give the new trade a fighting chance & survive. For eg: For the new long trade taken @ 5468 yesterday, the JNSAR of today @ 5457 may be altered to minus 0.3% to 5441.
Step:6:
Donot count your winnings. Stay focussed on each trade. I show the winnings in the table to show you that " I T I S P O S S I B L E".

Some readings are listed below. You will also find some write ups on it under "Always start trading with these"-step:6 on the side of this blog.
The Stop and Reverse (Known as SAR,) is a trend following indicator, that was developed by J. Welles Wilder. The Parabolic SAR is based upon the theory that a strong trend will continue to increase in strength over time, and will therefore follow a parabolic arc. The Parabolic SAR is displayed as a single parabolic line underneath the price bars for a long (upwards) trend, and above the price bars for a short (downwards) trend. The Parabolic SAR is displayed on the same chart as the price bars, and is the yellow lines in the example chart (full size chart).
Calculation

Trading Use

As the Parabolic SAR is a trend following indicator, it is only designed to be used in confirmed trends, and will give very bad results in a small ranging or sideways market. Entries are signaled by the start of a new parabolic arc, and exits are signaled by the price touching the parabolic arc. As the price touching the parabolic arc, is also the reason for the start of a new parabolic arc, the exit from the current trade and the entry into a new trade occur at the same time (hence the name Stop and Reverse). An alternative way of using the SAR might be to indicate the direction of the current trend, and then make entries and exits based upon another indicator (such as a momentum indicator).

More on SAR method.

57 comments:

r m said...

Good Morning all!

Hops said...

Hi Ilango,

Have sent you an email earlier this morning. Could you please check and revert :)

Some back testing results ...

Time frame : 01-Jan-2008 to 31-Aug 2010

Trading on : 23 SMA Sar (take position intraday with 40 point stop loss, which is again your SAR for the day)

No of trades : 59, including 16 double trades in a day (Stop loss gets hit intraday and you reverse your position)

Max consecutive whipsaws : 5

Max loss in a single trade : 82

Max loss due to consecutive whipsaws : 189

Points made : 3500 exclusive of brokerage, and points lost for roll over of position to next month

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

Time frame : 01-Jan-2008 to 31-Aug 2010

Trading on : 12 EMA Sar (take position intraday with 40 point stop loss, which is again your SAR for the day)

No of trades : 120, including 19 double trades in a day (Stop loss gets hit intraday and you reverse your position)

Max consecutive whipsaws : 7

Max loss in a single trade : 50

Max loss due to consecutive whipsaws : 210

Points made : 4600 exclusive of brokerage, and points lost for roll over of position to next month

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

Would it be possible to please have the above data for the JNSAR method.

Warm regards,
Hops

San said...

Good Morning Ilango Sir and friends

Nifty daily chart analysis: LINK

Thank you

GANESH said...

Good Morning Ilango sir and all friends,

Thanks Sir for JSAR trade method posting...

u.k.Raj said...

Good Morning ALL
Sir trading range should be 5445<<5460/5470 --- 5495/5505 >>5515+

Hops said...

Hi Ilango,

I just posted a detailed analysis on 2 SAR methods. The post has vanished. Have you deleted it, or else I will post again.

Warm regards,
Amit

assortZ said...

good morning sir and all

Hi RM :)

veer said...

@Ilango

Thank you for JNSAR. I was about to post a hilarious note on the subject to-day and prepared as well. But to my surprise I saw your article on JNSAR. Thanks once again.

Regards,

Veer

@nubhut! said...

Sir
GM
where is the JNSAR for today given in the table?

Hops said...

@nubhut,

Check the Tech table. Under day -> the right most colmun (JNSAR)

Amit

shiva said...

good morning, seniors..

Prabakar said...

Good Morning Sir and Friends,

Thanks for the education on JNSAR to all of us and thanks to all to made this possible.

musti1780 said...

Gm Illango sir & all blogmates,
Calculation of profit on Option Hedging Strategy
Sold 5600 Pe @ 210-152=58
Sold 5300 Ce @ 205-213=-8
profit booked in Nf-90 points
Total MTM- 58-8+90=140 points

ka said...

GM sir & frnds..

Rajagopal said...

Good Morning Sir and Friends.

Thank you sir for your ever persistent effort in getting others rich.

golfdude said...

@musti,

I am wondering by cashing out ur futures, the spread is no more valid and does the possibility of bigger losses show up ? ( since the hedge is removed ).

btw, is this a standard strategy ? ( name ? ).

Thanks

Prabakar said...

Dear skmishraji,

Pl. do not mention it again. you may unknowingly create issues to sir.

arvind said...

Dear Ilango Sir,
Many thanks for the explanation on JNSAR. Too small to advice but Avoid loud and Aggressive persons they are vexationas to the spirit of JN

prakash said...

mishra ji .. probably you could say done my home work. he he he ..

Morse Code... huh

Chandra said...

Hi Ilango,

JNSAR for BN is 10885 (reverse short & go long). But Gapup open around 10950 )low-10931).

Now wait for 10885 level or cover short at mkt rate? Please advice for such gpup/gap down scanerio.

Chandrabose

Hops said...

Hi Ilango,

Now, the post has showed up again :)

ani said...

I shorted nifty @5500. could you tell me whether i can hold or exit. could you give me stoploss?

Vijay said...

ilango sir

good morning
thanks for explain JNSAR

skmishra said...

hi prabhakar and prakash, noted the point. i will use the reminder to others in a more funny way after this... he. he..

musti1780 said...

@ golf dude
I not remove any hedge I just pick some profit from it.
All we know about TA,so Y not use it.
This month Expiry is far away so premium deprciation is slow
So I take a step ahead & cover shorts & take profit.
If Nf breaks below 5350 at that time I will reshort
Only loss is of 20 points & gain U seeing it.

Ilango said...

Hi..Amit,

For some nreason unknown to me, certain comments go straight to "Spam box" like it happened to "Krishna's 4 comments" yesterday. Only on being alerted, I could put them back by noting "Not Spam".

As I do not track the spam boxes regularly, please bring it to my attention and I'll do the needful.

@ Arvind,

Since childhood, from my Vivekananda vidyalaya days, I have got this "water on lotus leaf" approach to things, relationships, etc.
So kicking a few butts wouldn't affect me. If I have to weed out a few, I have no hesitation in doing so even if I get my hands dirtied a bit.

I believe in making my stand clear no matter who gets hurt. It is just that I would prefer things to be clear.

And, Arvind, Thank you for your concern.

manojag said...

Unusually high volumes on Nifty Futures

Dinesh Rishi said...

Smiling face waley Sir ji Good Morning

sryasdmurali said...

Elango sir

what is todays JNSAR level

Ilango said...

@ sryasdmurali,

It is 5457 minu the 0.3% filter = 5441.

I see some taking profits and initiating shorts with a gap up open.

ORB would confirm it below 5488.20 spot.

OK..it is confirmed.

musti1780 said...

Sir 1 query,
As yesterday filter of 5484 in JNSAR Nifty not reach
we not SAR our trade & today morning it gap up above that
level so in such cases yt to do?
SAR @ opening or wait for our level or just hold short position

nifty said...

Ilango,

Do I have to book 1 lot of my Mini Nifty for JNSAR @ 5500-5515. I had taken 2 lots of Mini Nifty based on JNSAR.

mynac said...

G M Everybody,
As Dear manojag said abnormal O.I. addition of 16 lac in NF in first 45 mints with the big volume at 5498 & biggest intraday volume at 5500 for NF suggesting resistance at least in the morning.

r m said...

Good Morning Dinesh Bhai!
I hope you are not releasing more waters from Tajewala headquarters. Have pity on Delhi. :)

u.k.Raj said...

Sir,
Yesterday @JNSAR 5468 we bought. Today’s JNSAR is 5457. If nifty trades @5457 or with filter @5441, we have to go short. Is it right sir?

golfdude said...

@musti,

So in your strategy, your profits were limited
and losses unlimited. Because above 5600,
ur CE will lose money and below 5300, your PE will.
Between 5300 and 5600, you are always in the money.

So I am not sure how you make money ? Your original strategy
had buying/selling NF at certain levels also.

I am asking this to understand the risks with this trade.
( profit/loss )

Krishna said...

Even after spoonfeeding, if questions like this pop up, really, God save this earth.....

Whats next?

"Ilango, I am short on Nifty at 5468, should I hold or exit?"

sryasdmurali said...

@Elango sir

So I have to short nifty 5488 and tgt aroung JNSAR 5457

Am I correct sir ?

mynac said...

This series just started and 1 CR. plus O.I. built up in 5400 PE is also surprising.It looks that Bulls have challenged Bears and Bears have accepted it.So we would witness big fight in this series.

Dinesh Rishi said...

Every thing has got good as well bad affect –

JN SARs good effect Healthy Bank Balance
JN SARs bad effect Trading becomes boring

Ilango said...

@ musti,

I feel the discriminatory use of filter at the start of a trade is better and once a trade is more than 2 days old, taking the actual JNSAR is better.

Incase of a gap up, take the trade within 5-10 minutes. Using Asian cues, it was obvious for a pull back.

@ U.K.raj,

Your understanding is correct.

Crorepathi said...

Ravanan had a quality of morphing himself to anyone he wanted to. In cyber world there are many Ravanans. :)

mojib said...

Dear ilango sir and blog readers plz tell me from I can get intraday data to feed in amibroker .earlier I was getting it from investbulls .com but now they have closed it

Ilango said...

NEW POST DONE.

@ mojib,

RM might have an answer.

r m said...

@mojib

1 min intraday data upto 31JUL is available at:
http://rapidshare.com/files/411538634/Intraday.zip.html
Will update upto August at this weekend.
Live intra-day data has to be subscribed.
regards.

musti1780 said...

@ golf dude I think u have to reread the whole strategy.
I short 1 Ce & 1 Pe ok
I hedge them with nf long or short as per levels ok
I short Nf @ 5450 & cover @ 5360 only because 5350 is a
tough suport just taking a chance only nothing else.
Its against original strategy rules but I just take chance
for quick profit.
So I get full 90 points.
Again if nF goes above 5500 I will long
Nf goes below 5450 I will short.
Uptill I get My target of 200 points
That it
I hope now u made clear.

mojib said...

@ RM sir can u provide intraday data everyday at the end of market here in this blog so that anyone like me who needs it can use it

r m said...

@Mojib
I am afraid I won't be able to do that.
And please don't address me as Sir. :)

alphabet1 said...

@ Golfdude
@ Musti

Short Straddle construction is
Buy 1 ATM Call, 5500
Buy 1 ATM Put, 5500
This is what has been proposed. It is hedged to the extent of Total Sum Premium received on either side.

To hedge it usually a Iron Butterfly Condor is formed as under (there are variants in form of Condor)
Buy 1 OTM Put, 5300
Sell 1 ATM Put, 5500
Sell 1 ATM Call, 5500
Buy 1 OTM Call, 5700

Whenever we take another Nifty Long or short, it is independent of the Option combo-hedge-strategy. It is pure naked long or short depending on our reading of the market.

There are other simple and exotic strategies to hedge naked long or short ; a simple strategy would be,say,in case your bias is Nifty will rise from here.
Long Nifty and
hedge with long(plus) OTM Put, 5400/5300

Hope this helps.

sryasdmurali said...

@alphabet1

what is meant by ATM OTM ?

shaji said...

Illango sir
Please clarify whether j10 sar once triggered need to be managed only on the next day like
jnsar?

SUMITBA said...

Dear HOPS,

What is your mail id.
Your observation for 12 EMA and 23 SMA is good.But once you enter
on 12 EMA AND 23 SMA in intraday with 40 poin
SAR what is the target at which you exit-PLEASE ELABORATE.

ritesh said...

I am a daily visitor of your blog and i am interested
to view your excel sheet .
Plz forward me.Thanks
ritesh444@gmail.com

Learning said...

Dear Ilango Sir,

I've Tech Table with and I could see J10.SAR however not able to find JNSAR. Are these two refer to two different numbers?
Could you please point me to a place where I can find more information on these?

Thanks a lot.
Ravi

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