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When Nifty closed in Red on Friday (8th Nov 2013), it was the 37th occasion that we have seen Nifty Current Month running futures close in negative for the 5th day running. The chart below (which is plotted on Log Scale) shows the occasions of number of Winning / Losing streaks. 1 means that the Win / Loss was just one day before it turned around.
Hi, a bit confusing to understand.. what’s the x-axis? historical data dates back to when? little help pl.. thanks.
Sorry, missed mentioning that data 🙂
X is the consecutive days of fall (Starts at 1 and ends at 11).
Data is from Start of Nifty Futures (16-06-2000) till Yesterday (08-11-2013)
Do you think we could build a simple strategy around this (especially where X= 3 to 5). Just a thought that I could think off:-
– Plot a partner chart for consecutive Open to Close( same day) to gauge the trend for the day. vtrender blog had posted this at http://www.vtrender.com/content/consecutive-closes.
– Plot this when the consecutive close to close is 3,4,5 (i.e say when the consecutive close to close is 3, what is the probability of current day’s move being in the direction of current day’s open
– Based on the above, can we look at the open and take a trade for that day.
Interesting. Let me see what I can do on that front.
You are an expert in AB, but just in case these are the two high level indicators I have for the two partner charts 🙂
// Consecutive closes
ConsecUp = BarsSince(C Ref(C,-1));
Plot(IIf((C >= Ref(C,-1)),ConsecUp,-ConsecDn),”ConsecutiveUp”,ParamColor(“ColorH”, colorDarkRed), ParamStyle(“StyleH”, 0, maskAll ));
// intraday Open to close
ConsecUpIntra = BarsSince(Close Open);
Plot(IIf((Close >= Open),ConsecUpIntra,-ConsecDnIntra),”ConsecutiveUpIntra”,ParamColor(“ColorH”, colorDarkRed), ParamStyle(“StyleH”, 0, maskAll ));