Simple trading strategy in NIFTY futures using SMA

Greetings All Experts,

I want to find out from yo'all if you find below strategy profitable.

1) Long position will be always present
2) Initiate short position once NIFTY spot goes below a key SMA
3) Cover short position once NIFTY spot goes above same SMA

Log position will be preferably next month future, Rolled over on expiry. (May be buying NIFTY ETF would be better idea, but will require large capital)
Short position will be preferably current future.

I have checked on charts, this looks promising but I don't know how to back test nor I have any back testing software.

Why long and short together, and pay spread margin?

Why don't you just exit the long when below SMA, and buy back again when above SMA?

Approach is sensible. Always being long in Nifty is not a bad idea. If done correctly, you will get subdued returns, but with a peaceful mind.

Now, I will share a very important point: To always be long in Nifty, buy NiftyBees instead of Futures. And when you want to short, you could short NF. This will give atleast 25 point more every month.

To Buy Niftybees, let nifty correct sharply back to 5200 levels.

And finally, to know exactly whats in store be sure to make a thorough backtest before starting off.

Good Luck.

PS: Look at Feb to april of 2012 for backtesting. That is a difficult time.

Yes that was the initial thought but to reduce risk and trading costs one position (long or short) should always stay put.

No matter what magical combination of long and shorts you come up with, the profit will come only when/if you get the direction right . . .

every expiry you will have to pay charges (brokerage and tax) for moving both your position to next one . . .

Now here is what you should do instead

Write down the proposed positions as per your existing plans in excel (for last 2 years)

Once you have these trades post them here, then you can see it is purely directional system with additional burden of cost and extra margins


Happy

Big Investors employ this trick. Due to their inability to get in and out of stocks (due to them being pledged or considering the high expenses in trading stocks, which is around 1%) they short Index Futures.

Your approach is similar, but much simpler. Just buy NiftyBees at 5100 levels for enternity, and seek tried and tested setup to short NF to hedge your portfolio.... quite interesting really. Worth a discussion.

More than the charges the premium will dent his account. The premium on NF ranges from 10 points to 60 points! which becomes NiL at expiry.

But, instead if he buys NiftyBees and Shorts NF, then the premium shorting (instead of buying) will work in his favour. However, he won't get the joy of margin trading

Thanks for sharing your thoughts..
1) Even I would like to buy nifty etf (niftybees), but that would require atleast 3 lacs, I don't have that many ...
2) I will check out the time frame from feb to april 2012 using above strategy.
3) For backtesting I have written code in java, can any one help me crosschecking the correctness?