Sebi eases Algo trade rules in commodity exchanges

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In a bid to relax algorithm trading norms at commodity derivatives exchanges, markets regulator Sebi today raised the limit to process up to 100 orders per second by a user for such trade from the existing limit of 20 orders per second.

The decision has been taken after receiving representations from exchanges along with views of Sebi’s sub committee — Commodity Derivatives Advisory Committee.

“It has been decided to permit exchanges to relax the limit on the number of orders per second from a particular … User-ID up to hundred orders per second,” Securities and Exchange Board of India (Sebi) said in a circular.

The markets regulator asked exchanges to ensure that the limit it provides is subject to its ability to handle the load.

Besides, the regulator has decided to do away with the requirement of empanelment of system auditors by the exchanges for system audit of algorithmic trading.

Algorithmic trading or ‘algo’ in market parlance refers to orders generated at a super-fast speed by use of advanced mathematical models that involve automated execution of trade, and it is mostly used by large institutional investors.

 

 

 

 

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HEIKIN-ASHI

Heikin-Ashi Candlesticks use the open-close data from the prior period and the open-high-low-close data from the current period to create a combo candlestick.

[HEIKINASHI]
BUY{
SET hv = MAX(CLOSE,10);
CLOSE > hv and REF(CLOSE,2) < REF(OPEN,2) and REF(CLOSE,1) > REF(OPEN,1) and CLOSE > OPEN and CLOSE > REF(CLOSE,1);}

LONGEXIT{
REF(CLOSE,1) < REF(OPEN,1);}

SELL{
SET Lv = MIN(CLOSE,10);
CLOSE < lv and REF(CLOSE,2) > REF(OPEN,2) and REF(CLOSE,1) < REF(OPEN,1) and CLOSE < OPEN and CLOSE < REF(CLOSE,1);}

SHORTEXIT{
REF(CLOSE,1) > REF(OPEN,1);}

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Moving Average Convergence / Divergence (MACD) AND Commodity Channel Index (CCI)

CCI indicator oscillates between an overbought and oversold condition and works best in a sideways market. The MACD fluctuates above and below the zero line as the moving averages converge, cross and diverge. Traders can look for signal line crossovers, centerline crossovers and divergences to generate signals.

BUY{
SET macd1 = MACD(100,21,9,SIMPLE);
SET macdsig = MACDSignal(100,21,9,SIMPLE); 
SET cci1 = CCI(50,SIMPLE); 
CROSSOVER(macdsig,macd1) and cci1 > 0.1;}

LONGEXIT{
SET macd1 = MACD(100,21,9,SIMPLE);
SET macdsig = MACDSignal(100,21,9,SIMPLE); 
SET cci1 = CCI(50,SIMPLE); 
CROSSOVER(macd1,macdsig) and cci1 < 0.1;}

SELL{
SET macd1 = MACD(100,21,9,SIMPLE);
SET macdsig = MACDSignal(100,21,9,SIMPLE);
SET cci1 = CCI(50,SIMPLE); 
CROSSOVER(macd1,macdsig) and cci1 < 0.1;}

SHORTEXIT{
SET macd1 = MACD(100,21,9,SIMPLE);
SET macdsig = MACDSignal(100,21,9,SIMPLE); 
SET cci1 = CCI(50,SIMPLE); 
CROSSOVER(macdsig,macd1) and cci1 > 0.1;}

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Weighted Moving Average (WMA) With Bollinger Bands

A Weighted Moving Average places more weight on recent values and less weight on older values. Bollinger bands rely on standard deviations in order to adjust to changing market conditions. When a stock becomes volatile the bands widens (move further away from the average). Conversely, when market becomes less volatile the bands contracts (move closer to the average).

SMA(CLOSE,9)  : Simple Moving Average of 9 period on Close
EMA(ma1,9)      : Exponential Moving Average of 9 period on SMA
WMA(ma2,5)    : Weighted Moving Average of 5 period on EMA

BUY{
SET ma1 = SMA(CLOSE,9);
SET ma2 = EMA(ma1,9);
SET ma3 = WMA(ma2,5);
SET vol = SMA(VOLUME,10);
SET bbt = BBT(CLOSE,10,2,SIMPLE); 
SET smab = SMA(bbt,50);
CROSSOVER(ma1,ma3) and CLOSE > bbt and VOLUME > vol and CLOSE > smab AND EMA(ma1,9) > SMA(bbt,50);}
SELL{
SET ma1 = SMA(CLOSE,9);
SET ma2 = EMA(ma1,9);
SET ma3 = WMA(ma2,5);
CROSSOVER(ma3,ma1);}

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Standard Deviation-SuperTrend Strategy

Standard Deviation is a common statistical calculation that measures volatility. Supertrend is a trend following indicator which can be used to identify upward or downward trends.

BUY : when current SD is greater than maximum EMA on SD for previous 40 period.
SELL: when Supertrend crossed above Current close.

BUY{
SET sd = SDV(CLOSE,21,2,SIMPLE); 
SET st = SUPERTREND(200,5,SIMPLE); 
SET av = EMA(sd,50);
SET hv = MAX(av,40);
sd > hv and CLOSE > st;}
SELL{
set sd = SDV(CLOSE,21,2,SIMPLE); 
set st = SUPERTREND(200,5,SIMPLE); 
CROSSOVER(st,CLOSE);}

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Price Volume Trend (PVT)-Ehler Fisher Transform (EFT) Strategy

It is also known as Volume Price Trend. This indicator consists of a cumulative volume that adds or subtracts a multiple of the percentage change in price trend and current volume, depending upon their upward or downward movements.
Fisher transform is a indicator designed for price reversal signal. It is based on the assumption that prices do not have a normal probability density function but gaussian probability density function.

BUY :When PVT crosses above 10% more than previous PVT.
SELL : when signal line crosses above ETF line.

BUY{
SET PV = PVT(CLOSE);
SET PPV = REF(PV,1) * 1.1;
CROSSOVER(PV,PPV);}
SELL{
SET EF = EFT(21);
SET EFTRIG = EFTTIGGER(21); 
CROSSOVER(EFTRIG,EF);}

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Ichimoku Cloud Trading Strategy

Ichimoku Cloud system provides Analysts with a means to identify a trading bias, identify corrections and time turning points.The cloud identify support and resistance and provides a longer perspective on the price trend.

BUY : When current close crossed above Base Line and greater than SPAN A Line                   and SPAN A Line is greater than SPAN B Line.

SELL : When current close crossed below Base Line and lower than SPAN A Line                    and  SPAN A Line is lower than SPAN B Line.

BUY{
SET H9 = MAX(HIGH,9);
SET L9 = MIN(LOW,9);
SET H26 = MAX(HIGH,26);
SET L26 = MIN(LOW,26);
SET H52 = MAX(HIGH,26);
SET L52 = MIN(LOW,26);
SET ten = (H9 + L9)/2;
SET BL = (H26 + L26)/2;
SET spanA = (ten + BL)/2;
SET spanB = (H52 + L52)/2;
CROSSOVER(CLOSE,BL) AND CLOSE > spanA AND spanA > spanB;}
SELL{
SET H9 = MAX(HIGH,9);
SET L9 = MIN(LOW,9);
SET H26 = MAX(HIGH,26);
SET L26 = MIN(LOW,26);
SET H52 = MAX(HIGH,26);
SET L52 = MIN(LOW,26);
SET ten = (H9 + L9)/2;
SET BL = (H26 + L26)/2;
SET spanA = (ten + BL)/2;
SET spanB = (H52 + L52)/2;
CROSSOVER(BL,CLOSE) AND CLOSE < spanA AND spanA < spanB;}

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Supertrend-Parabolic Stop and Reversal Strategy(PSAR) Strategy

When the Supertrend closes below the Price, a Buy signal may be generated, and when the Supertrend closes above the Price, a Sell signal can be generated.

BUY : When current close crossed above PSAR and current close greater than supertrend and EMA 9 period is greater than EMA 21 period.

SELL : When current close is less than PSAR and current close is less than supertrend and EMA 15 period crossed above ema 9 period.

BUY{
set ma1 = EMA(CLOSE,9);
set ma2 = EMA(CLOSE,21);
set st = SUPERTREND(10,2,SIMPLE); 
set ps = PSAR(0.2,0.02); 
CROSSOVER(CLOSE,ps) and CLOSE > st and ma1 > ma2;}
LONGEXIT{
set ma1 = EMA(CLOSE,9);
set ma2 = EMA(CLOSE,15);
set st = SUPERTREND(10,2,SIMPLE); 
set ps = PSAR(0.2,0.02); 
ps > CLOSE and CLOSE < st and CROSSOVER(ma2,ma1);}

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Stochastic Momentum Index(SMI)-Parabolic Stop and Reversal(PSAR) Strategy

SMI shows where the close is relative to the midpoint of the same range.PSAR trails price as the trend extends over time. The indicator is below prices when prices are rising and above prices when prices are falling.

BUY : When current close crossed above PSAR and SMI %K LINE crossed above %D line and EMA 9 period is greater than EMA 21 period.

SELL : When current close crossed below PSAR and SMI %K LINE crossed above %D line and EMA 9 period is greater than EMA 21 period.

BUY{
set ma1 = EMA(CLOSE,9);
set ma2 = EMA(CLOSE,15);
set smik = SMIK(14,2,3,9,SIMPLE,SIMPLE) ;
set smid = SMId(14,2,3,9,SIMPLE,SIMPLE) ;
CROSSOVER(CLOSE,PSAR(0.2,0.02)) and CROSSOVER(smik,smid) and ma1 > ma2;}
LONGEXIT{
set ma1 = EMA(CLOSE,9);
set ma2 = EMA(CLOSE,15);
set smik = SMIK(14,2,3,9,SIMPLE,SIMPLE) ;
set smid = SMId(14,2,3,9,SIMPLE,SIMPLE) ;
CROSSOVER(PSAR(0.2,0.02),CLOSE) or CROSSOVER(smid,smik) and ma1 < ma2;}

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