I have attached NIFTY Futures contract back testing sheet. The data collected is for the period from 27th Mar'09 to 27th Nov'09 (total of 164 days) I have taken the investment of Rs.30000/- with trading of 1 lot. The minimum profit % i kept for this back testing is 0.50%. Out of 164 days trading the buy/sell trigerred on 98 days/trades with 80 days/trades in Profit and 18 days/trades in Loss. The overall gain is 168% :thumb:which is awesome with a gain of Rs.50426/- for investment of Rs.30000/- This 168% gain is on 0.50% exit margin and if it has been run more than 0.50% with trailing results will be further mindblowing:clap:.
I request members view and comment on the same. Since data range is more i didn't work on the entry time.
Cheers,
Karthik
Dear Karthik, It is indeed very nice to see your great effort in analysing this strategy. The effort is even more laudable as the strategy is someone else's.
I have a few pointers for you. I may be wrong but do take care while analysing and making excel sheet.
o1. Are you referring to just EOD levels to arrive at your profit and loss figures of a day?
02. Are you taking into account intraday movement?
03. Do you account for Gap up openings!!!
As i had mentioned earlier in the thread that I had used siimilar strategy hence these observations are per my own expirience.
The results shall indeed be good but I fear may not be as good as projected in your sheet. Just have a look back again at your analysis and put my fears to rest!!
Moreover we also must specify a SL , we cannot just take entry for a meagre 0.5% profit and allow the trade to hit 4 day low which may be several percentage points away!!!
You will notice that at times our long trade is triggered and before reaching our T1 of 0.5% retraces and goes down , the southward journey may be more than 1% , however from there it reverses and goes on to reach our T1!!! But Karthik, how can we be sure of its turn, if it would continue to keep going down, we have the risk of loosing a few days accumulated profit in a single trade.
I will request you to have a look at these sample trades I am pointing out and see that the result would be a bit different than what is projected in our Excel Sheet.
On 4th May you have taken a Long position at 3519.70 (the previous 4 days high), and you show that price to have moved up by a whooping 4.27% but Karthik if you see the chart you will notice that the market opened on 4th May at 4621, almost a 100 points gap!! Ideal in such situation is to follow a rule : We go long above previous 4 Days high or present days opening high, which ever is higher!!! (Reverse would be true for short). On this basis the high of opening 5 minutes bar was 4631 , we would go long above this level, and as the high of the day was 4669 thus giving you your T1. But there is a small catch here. The Long was triggered above the days high of 3631 at 10.05 with high at 3636. The market from there came down to 3605 before moving up. We were in almost 1% loss before we reached our target.
Now look at 5th May, the 4 days HH was 3669.90, market opened at 3650, so we went long above 3669.90. Our T1 would be 3669.90+0.5%=3688.25
Now the market moved up to 3685 only , just missing our T1 by 3 points and comes down to 3623, almost 1.25% below our entry level and then at 2.30 goes on to make a high of 3693.60 to give us T1!!
Do have a look at your figures for May18th and 19th, both were gap days. You are showing a max Gain% of 18+ and 4+ where as in fact these trades would not even trigger for the 0.5% gain we have included in our calculation.
Just have a look at your Loss figures!!! Arent they much bigger than our 0.5% T1!!
This not to discourage or ridicule the theory, but for applying more thought to the short coming it has to make it more Robust!! I am sure this should work well with proper RR, maoney and SL management!!!
All the best.
Regards.
-R K Karnani
