Presenting an exceptional Intraday trading strategy here. This strategy leverages the RSI and ADX combination to identify Buy/Sell opportunities.
Contrary to conventional wisdom, we Buy when RSI crosses the upper limit and Sell when it crosses the lower limit. ADX serves as a trend identifier in our decision-making process. All positions are closed at the end of the day.
Explore more on AFL coding to create your personalized trading systems.
AFL Overview
| Parameter | Value |
| Preferred Timeframe | Intraday 1 minute |
| Indicators Used | RSI(17), ADX(14) |
| Buy Condition | RSI(17) >= 75 AND ADX(14) > 25 |
| Short Condition | RSI(17) <= 25 AND ADX(14) > 25 |
| Sell Condition | Same as Short Condition OR Time >= 03:15 PM |
| Cover Condition | Same as Cover Condition OR Time >= 03:15 PM |
| Stop Loss | 0.5% |
| Targets | No fixed target, Stop and reverse when AFL gives the opposite signal |
| Position Size | 150 (fixed) or 80% of equity (based on your risk appetite) |
| Initial Equity | 200,000 |
| Brokerage | 50 per order |
| Margin | 10% |
//------------------------------------------------------
//
// Formula Name: Nifty Intraday Strategy using RSI and ADX
// Website: zerobrokerageclub.com
//------------------------------------------------------
_SECTION_BEGIN("Nifty Intraday Strategy");
SetTradeDelays( 1, 1, 1, 1 );
SetOption( "InitialEquity", 200000);
SetOption("FuturesMode" ,True);
SetOption("MinShares",1);
SetOption("CommissionMode",2);
SetOption("CommissionAmount",50);
SetOption("AccountMargin",10);
SetOption("RefreshWhenCompleted",True);
SetPositionSize(150,spsShares); //Use this for fixed position size
//SetPositionSize(80,spsPercentOfEquity); //Use this for position size as a percent of Equity
SetOption( "AllowPositionShrinking", True );
BuyPrice=Open;
SellPrice=Open;
ShortPrice=Open;
CoverPrice=Open;
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} – {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( Close, "Price", colorWhite, styleCandle );
RSIPeriods=17;
ADXPeriods=14;
Buy=RSI(RSIPeriods)>=75 AND ADX(ADXPeriods)>25;
Short=RSI(RSIPeriods)<=25 AND ADX(ADXPeriods)>25 ;
Buy=ExRem(Buy,Short);
Short=ExRem(Short,Buy);
Sell=Short OR TimeNum()==151500;
Cover=Buy OR TimeNum()==151500;
StopLoss=0.5;
ApplyStop(Type=0,Mode=1,Amount=StopLoss);
Plot( RSI(RSIPeriods), "RSI", color=colorBlue, ParamStyle( "Style", styleOwnScale) );
Plot( ADX(ADXPeriods), "ADX", color=colorRed, ParamStyle( "Style", styleOwnScale) );
/* Plot Buy and Sell Signal Arrows */
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Cover, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);
_SECTION_END();
AFL Screenshot
Backtest Report
Below is the backtest report for two different variations of this strategy. One employs a fixed position size of 150, while the other adjusts position size as a percentage of Equity. Notably, the second one outperforms the first, illustrating The Magic of Compounding.
Can you calculate the Final capital for the second one? Give it a try!
Moral of the Story: Profitable strategies need not be complex or lengthy.
| Parameter | Value | |
| Fixed Position Size | Position Size = 80% of Equity | |
| Initial Capital | 200,000 | 200,000 |
| Final Capital | 1,439,280.45 | 11,219,716,562.40 |
| Backtest Period | 01-Jan-2008 to 22-03-2016 | 01-Jan-2008 to 22-03-2016 |
| Timeframe | 1 Minute | 1 Minute |
| Net Profit % | 619.64% | 5,609,758.28% |
| Annual Return % | 27.10% | 277.59% |
| Number of Trades | 1,913 | 1,913 |
| Winning Trade % | 43.49% | 43.49% |
| Average Holding Period | 128.08 periods | 128.08 periods |
| Max Consecutive Losses | 12 | 12 |
| Max System % Drawdown | -18.14% | -31.51% |
| Max Trade % Drawdown | -31.51% | -44.43% |
Download the detailed backtest report here.
Equity Curve
This strategy boasts a smooth and linear equity curve with minimal drawdowns. Take a look.
Additional Amibroker settings for backtesting
Visit Symbol–>Information to specify the lot size and margin requirement. The screenshot below illustrates a lot size of 75 and a margin requirement of 10% for NSE Nifty:
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