General Trading Chat

[oldtrader]

Backtest of a simple ADX (>35) based system for NF over last month or so on 5-min



I didn't build the exit logic, so trade is closed when the reverse trade is initiated. Performance may be better if exit is done manually.

Need to backtest for at least 6 months.

 

[arsh22g]

Need to backtest for at least 6 months.

Yes, how can I do that on Pi? It doesn't show Nifty Spot as a security, only current and future NFs. Backtesting Mar future for more than a month will be wrong. Also, backtest is limited to 3 months on Pi.

Maybe a high beta stock can be used as a proxy.

 

[vivektrader]

Yes, how can I do that on Pi? It doesn't show Nifty Spot as a security, only current and future NFs. Backtesting Mar future for more than a month will be wrong. Also, backtest is limited to 3 months on Pi.

Maybe a high beta stock can be used as a proxy.

In pi first select NSE and the to the right tab select indices and then from indices select nifty50.

 

[oldtrader]

Yes, how can I do that on Pi? It doesn't show Nifty Spot as a security, only current and future NFs. Backtesting Mar future for more than a month will be wrong. Also, backtest is limited to 3 months on Pi.

Maybe a high beta stock can be used as a proxy.

I can do it on Amibroker. I will need the Buy and Sell conditions. Data is not a problem, I have lots of data.

 

[arsh22g]

In pi first select NSE and the to the right tab select indices and then from indices select nifty50.

Thanks, this helped.

Performance dropped to 17% in 3 months.

 

[arsh22g]

I can do it on Amibroker. I will need the Buy and Sell conditions. Data is not a problem, I have lots of data.

Try these on 5-min

Case 1:
Buy : ADX(14)>35 AND DIP(14)>DIN(14)
Sell : ADX(14)>35 AND DIN(14)>DIP(14)

Case 2:
Buy: SET A = MACDSignal(13, 26, 9, SIMPLE)
SET B = MACD(13, 26, 9, SIMPLE)
A>B AND ADX(14)>35 AND DIP(14)>DIN(14)

Sell: SET A = MACDSignal(13, 26, 9, SIMPLE)
SET B = MACD(13, 26, 9, SIMPLE)
A<B AND ADX(14)>35 AND DIN(14)>DIP(14)

No logic for exit yet.

 

[oldtrader]

Try these on 5-min

Case 1:
Buy : ADX(14)>35 AND DIP(14)>DIN(14)
Sell : ADX(14)>35 AND DIN(14)>DIP(14)

Case 2:
Buy: SET A = MACDSignal(13, 26, 9, SIMPLE)
SET B = MACD(13, 26, 9, SIMPLE)
A>B AND ADX(14)>35 AND DIP(14)>DIN(14)

Sell: SET A = MACDSignal(13, 26, 9, SIMPLE)
SET B = MACD(13, 26, 9, SIMPLE)
A<B AND ADX(14)>35 AND DIN(14)>DIP(14)

No logic for exit yet.

ADX and MACD is OK, But DIP and DIN are new to me. Will search in Ami Help section.

 

[arsh22g]

ADX and MACD is OK, But DIP and DIN are new to me. Will search in Ami Help section.

DI+ or DI- maybe in Ami

 

[oldtrader]

DI+ or DI- maybe in Ami

Have a look here, gives more than 25% monthly avg, backtested from 2006 till 2015

http://www.traderji.com/advanced-trading-strategies/101198-nf-swing-trading-using-fractal-afl.html

 

[arsh22g]

Have a look here, gives more than 25% monthly avg, backtested from 2006 till 2015

http://www.traderji.com/advanced-trading-strategies/101198-nf-swing-trading-using-fractal-afl.html

Sir, were you able to test the cases I mentioned?