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**NOTOC**
__NOTOC__


'''Alpha Research: MCX Crude Oil MA21 Strategy'''
'''Alpha Research: MCX Crude Oil MA21 Strategy'''
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''Single Source of Truth for the PlusEV Trading System''
''Single Source of Truth for the PlusEV Trading System''


---
----


== Quick Reference: Backtest Proof ==
== Quick Reference: Backtest Proof ==
{| class="wikitable"
{| class="wikitable"
! Metric !! Value !! Notes
|-
| Total P&L || Rs +25,48,101 || 19-month validation period
|-
| Win Rate || 57.6% || Above 55% threshold
|-
| Profit Factor || 1.20 || Risk-adjusted returns
|-
| Total Trades || 7,534 || Statistical significance
|-
| Initial Capital || Rs 1,00,000 || Starting portfolio
|-
| Final Capital || Rs 26,48,101 || 2548% return
|}


| ! Metric !! Value !! Notes |  |              |  |                            |
'''Branch''': <code>rikk_mtf_backtest001</code>
| -------------------------- | - | ------------- | - | -------------------------- |
| Total P&L                  |  | Rs +25,48,101 |  | 19-month validation period |
| -                          |  |              |  |                            |
| Win Rate                  |  | 57.6%        |  | Above 55% threshold        |
| -                          |  |              |  |                            |
| Profit Factor              |  | 1.20          |  | Risk-adjusted returns      |
| -                          |  |              |  |                            |
| Total Trades              |  | 7,534        |  | Statistical significance  |
| -                          |  |              |  |                            |
| Initial Capital            |  | Rs 1,00,000  |  | Starting portfolio        |
| -                          |  |              |  |                            |
| Final Capital              |  | Rs 26,48,101  |  | 2548% return              |
| }                          |  |              |  |                            |
 
'''Branch''': <code>rikk_mtf_backtest001</code>
'''Commit''': <code>68dae212</code>
'''Commit''': <code>68dae212</code>


''"In trading systems, empirical results > theoretical understanding. If the backtest shows it works, we ship it."''
''"In trading systems, empirical results > theoretical understanding. If the backtest shows it works, we ship it."''


---
----


== Core Trading Philosophy ==
== Core Trading Philosophy ==


=== Foundational Principles ===
=== Foundational Principles ===
* Simple systems outperform complex ones
* Simple systems outperform complex ones
* Market behavior is probabilistic, not predictive
* Market behavior is probabilistic, not predictive
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=== Asymmetric Probability Edge ===
=== Asymmetric Probability Edge ===
When probability of continuation drops, reversal odds rise.
When continuation probability drops, reversal odds rise.


* 15% continuation ⇒ ~85% reversal probability
* 15% continuation ⇒ ~85% reversal probability
* Strategy positions on the higher-probability side
* Strategy positions on the higher-probability side


---
----


== Probability Zones (Halves & Thirds) ==
== Probability Zones (Halves & Thirds) ==
Large moves are divided into probability zones.


* Top Third → ~80% continuation (ideal SHORT zone)
* Top Third → ~80% continuation (SHORT zone)
* Top Half → ~65% continuation
* Top Half → ~65% continuation
* Bottom Half → ~35% continuation
* Bottom Half → ~35% continuation
* Bottom Third → ~15% continuation (ideal LONG zone)
* Bottom Third → ~15% continuation (LONG zone with 85% reversal odds)
 
'''Code Reference''':


<pre>
<pre>
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</pre>
</pre>


---
----


== Crash Play (Core Strategy) ==
== Crash Play (Core Strategy) ==


=== Crash Bar Definition ===
=== Crash Bar Definition ===
* Bar > 2x recent average size
* Bar > 2x recent average size
* Fast, violent, elongated move
* Fast, violent, elongated move
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=== Crash Play Logic ===
=== Crash Play Logic ===
<pre>
1. Identify crash bar
2. Divide into halves & thirds
3. Watch for bounce into zones
4. Enter on color change or upper-zone test
</pre>


# Identify crash bar
'''Statistical Edge'''
 
# Divide into halves & thirds
 
# Wait for bounce into zones
 
# Enter on color change or upper-zone test
 
'''Statistical Edge''':
 
* ~85% odds favor continuation after crash
* ~85% odds favor continuation after crash
'''Code Reference''':


<pre>
<pre>
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</pre>
</pre>


---
----


== Pullback vs Collapse ==
== Pullback vs Collapse ==


=== Healthy Pullback ===
=== Healthy Pullback ===
 
* 45-degree drift
* 45° drift, no violent bars
* No violent bars
* Holds above midpoint of prior run
* Holds above midpoint
* Odds favor continuation
* Odds favor continuation


=== Collapse (No Trade) ===
=== Collapse (No Trade) ===
* Vertical, violent selling
* Vertical, violent selling
* Deep break of structure
* Deep structural break
* Institutional liquidation
* Institutional liquidation


---
----


== Identifying Market Tops ==
== Identifying Market Tops ==
Major tops usually show 2+ of the following:
Major tops usually show 2+ of the following:


# 3–5 leg run-up
# 3–5 leg run-up
# Vertical acceleration in final leg
# Vertical acceleration in final leg
# Exhaustion bar
# Exhaustion bar
# Three-Finger Spread (Price–MA21–MA200)
# Three-Finger Spread (Price–MA21–MA200)
'''Code Reference''':


<pre>
<pre>
Line 129: Line 114:
</pre>
</pre>


---
----


== Entry Methodology ==
== Entry Methodology ==


=== The Fab Four ===
=== The Fab Four ===
* Previous Day High/Low
* Previous Day High/Low
* 21-period MA
* 21-period MA
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* Yesterday’s Close
* Yesterday’s Close


MA is treated as a ''zone'', not a line.
MA is treated as a zone, not a line.
 
'''Code Reference''':


<pre>
<pre>
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=== Entry Hierarchy ===
=== Entry Hierarchy ===
 
* Shorts → price just below Fab Four (ceiling)
* Shorts: price just below Fab Four (ceiling)
* Longs → price just above Fab Four (floor)
* Longs: price just above Fab Four (floor)


=== Multi-Timeframe Alignment ===
=== Multi-Timeframe Alignment ===
2m, 5m, 15m, Daily alignment = high-quality setup
2m, 5m, 15m, Daily alignment = high-quality setup


---
----


== Stop Loss Methodology ==
== Stop Loss Methodology ==


=== Stop Types ===
=== Stop Types ===
* Event-based stop (preferred)
* Event-based stop (preferred)
* Maximum loss stop (fallback)
* Maximum loss stop (fallback)


Goal: Stop beyond Fab Four helping zone.
Goal: Stop beyond Fab Four helping zone.
'''Code Reference''':


<pre>
<pre>
Line 174: Line 152:
</pre>
</pre>


---
----


== Color Change Confirmation ==
== Trading Glossary (Engineer-Friendly) ==


=== Entry Trigger ===
* Short: red closes below prior green low
* Long: green closes above prior red high
Rule: Do not wait for bar completion.
=== Profit Taking (Two-Bar Rule) ===
* First opposite bar → ignore
* Second follow-through bar → take profit
---
== Trading Glossary (Engineer-Friendly) ==
{| class="wikitable"
{| class="wikitable"
! Term !! Meaning !! Why It Matters
|-
| Creeper Move || Small bars, quiet trend || Reversal risk
|-
| Railroad Trend || Alternating bars near MA || Healthy trend
|-
| Two-Day Trend || Sustained MA bias || A+ requirement
|-
| Crash Bar || >2x bar size || Structural break
|-
| Fab Four || Key reference levels || Stop logic
|}


| ! Term !! Meaning !! Why It Matters |  |                          |  |                  |
----
| ----------------------------------- | - | ------------------------ | - | ---------------- |
| Creeper Move                        |  | Small bars, quiet trend  |  | Reversal risk    |
| -                                  |  |                          |  |                  |
| Railroad Trend                      |  | Alternating bars near MA |  | Healthy trend    |
| -                                  |  |                          |  |                  |
| Two-Day Trend                      |  | Sustained MA bias        |  | A+ requirement  |
| -                                  |  |                          |  |                  |
| Crash Bar                          |  | >2x bar size            |  | Structural break |
| -                                  |  |                          |  |                  |
| Fab Four                            |  | Key reference levels    |  | Stop logic      |
| }                                  |  |                          |  |                  |


---
== System Architecture Overview ==


== System Architecture Overview ==
<pre>
Data → Trend → Market State → Setup Quality → Signal → Execution
Data → Trend → Market State → Setup Quality → Signal → Execution
</pre>


---
----


== Setup Quality Scoring ==
== Setup Quality Scoring ==
{| class="wikitable"
{| class="wikitable"
! Factor !! Weight
|-
| Timeframe Alignment || 30%
|-
| Trend Strength || 20%
|-
| Entry Quality || 15%
|-
| Key Levels || 20%
|-
| Risk/Reward || 15%
|}


| ! Factor !! Weight  |  |    |
=== Grade Thresholds ===
| ------------------- | - | --- |
* A+ ≥ 90 → Auto
| Timeframe Alignment |  | 30% |
* A ≥ 80 → Auto
| -                  |  |    |
* B–D ≥ 60 → Manual
| Trend Strength      |  | 20% |
* F < 50 → Skip
| -                  |  |    |
| Entry Quality      |  | 15% |
| -                  |  |    |
| Key Levels          |  | 20% |
| -                  |  |    |
| Risk/Reward        |  | 15% |
| }                  |  |    |
 
Grades:
 
* A+ ≥ 90 (Auto)
* A ≥ 80 (Auto)
* B–D ≥ 60 (Manual)
* F < 50 (Skip)
 
---
 
== Decision Trees ==
 
* Hour filter → MA alignment → Probability zone → Setup score → Grade → Execute


---
----


''Last Updated: 2026-01-05 | Branch: rikk_mtf_backtest001 | Validated: 19-month backtest''
''Last Updated: 2026-01-05 | Branch: rikk_mtf_backtest001 | Validated: 19-month backtest''

Revision as of 19:59, 4 January 2026


Alpha Research: MCX Crude Oil MA21 Strategy

Single Source of Truth for the PlusEV Trading System

Quick Reference: Backtest Proof

Metric Value Notes
Total P&L Rs +25,48,101 19-month validation period
Win Rate 57.6% Above 55% threshold
Profit Factor 1.20 Risk-adjusted returns
Total Trades 7,534 Statistical significance
Initial Capital Rs 1,00,000 Starting portfolio
Final Capital Rs 26,48,101 2548% return

Branch: rikk_mtf_backtest001 Commit: 68dae212

"In trading systems, empirical results > theoretical understanding. If the backtest shows it works, we ship it."

Core Trading Philosophy

Foundational Principles

  • Simple systems outperform complex ones
  • Market behavior is probabilistic, not predictive
  • Goal is asymmetric probability positioning, not prediction

Asymmetric Probability Edge

When continuation probability drops, reversal odds rise.

  • 15% continuation ⇒ ~85% reversal probability
  • Strategy positions on the higher-probability side

Probability Zones (Halves & Thirds)

  • Top Third → ~80% continuation (SHORT zone)
  • Top Half → ~65% continuation
  • Bottom Half → ~35% continuation
  • Bottom Third → ~15% continuation (LONG zone with 85% reversal odds)
enable_probability_zone_filter = True
probability_zone_swing_lookback = 20
probability_zone_min_range = 20.0

Crash Play (Core Strategy)

Crash Bar Definition

  • Bar > 2x recent average size
  • Fast, violent, elongated move
  • Indicates structural break

Crash Play Logic

1. Identify crash bar
2. Divide into halves & thirds
3. Watch for bounce into zones
4. Enter on color change or upper-zone test

Statistical Edge

  • ~85% odds favor continuation after crash
crash_bar_multiplier = 2.0

Pullback vs Collapse

Healthy Pullback

  • 45-degree drift
  • No violent bars
  • Holds above midpoint
  • Odds favor continuation

Collapse (No Trade)

  • Vertical, violent selling
  • Deep structural break
  • Institutional liquidation

Identifying Market Tops

Major tops usually show 2+ of the following:

  1. 3–5 leg run-up
  2. Vertical acceleration in final leg
  3. Exhaustion bar
  4. Three-Finger Spread (Price–MA21–MA200)
three_finger_spread_threshold = 0.02

Entry Methodology

The Fab Four

  • Previous Day High/Low
  • 21-period MA
  • 200-period MA
  • Yesterday’s Close

MA is treated as a zone, not a line. 

ma_buffer_points = 25.0

Entry Hierarchy

  • Shorts → price just below Fab Four (ceiling)
  • Longs → price just above Fab Four (floor)

Multi-Timeframe Alignment

2m, 5m, 15m, Daily alignment = high-quality setup

Stop Loss Methodology

Stop Types

  • Event-based stop (preferred)
  • Maximum loss stop (fallback)

Goal: Stop beyond Fab Four helping zone. 

min_stop_distance = 40
default_stop_distance = 40

Trading Glossary (Engineer-Friendly)

Term Meaning Why It Matters
Creeper Move Small bars, quiet trend Reversal risk
Railroad Trend Alternating bars near MA Healthy trend
Two-Day Trend Sustained MA bias A+ requirement
Crash Bar >2x bar size Structural break
Fab Four Key reference levels Stop logic

System Architecture Overview

Data → Trend → Market State → Setup Quality → Signal → Execution

Setup Quality Scoring

Factor Weight
Timeframe Alignment 30%
Trend Strength 20%
Entry Quality 15%
Key Levels 20%
Risk/Reward 15%

Grade Thresholds

  • A+ ≥ 90 → Auto
  • A ≥ 80 → Auto
  • B–D ≥ 60 → Manual
  • F < 50 → Skip

Last Updated: 2026-01-05 | Branch: rikk_mtf_backtest001 | Validated: 19-month backtest

Retrieved from "https://wiki.plusev.in/index.php?title=Alpha_Research&oldid=89"