Swing Bank Nifty - With Backtested report !

[areebs]

@ it seems, y r a day trader?

No. I just follow my System. Like today I got a Long entry then Short and then Long again which I am holding .

It could be a trade for intraday or even a swing trade holding for a week.

 

[4076699]

Would u tell, how u decide yr entry? if u pls.

 

[areebs]

Would u tell, how u decide yr entry? if u pls.

I think I have already mentioned that as of now I will only be updating the Live calls .

 

[savkar]

Thanks for sharing your gyan. efforts are appreciated ! :thumb:

I have uploaded the Excel File of the Backtested report of Bank Nifty from Jan 1 2007 to 30 April 2010 , this period saw the Bull market , bear market , consolidation and my this System still gave good returns over these all but different 40 months.

As you can see in the Report it gave a return of 4303.93% in 40 months so Rs 1 lac invested would have turned into Rs 4303000 .
Please note this Report is not on margin , so margin trading would yield much more higher returns.

The total points earned in Bank Nifty in the period was 31954 which gives an average of 798 points/month.

I have attached 4 Files :

File 1 : Bank Nifty Backtest Report JAN 2007- APRIL 2010
File 2 : Bank Nifty Backtest Trades 1 JAN - 31 DEC 2007
File 3 : Bank Nifty Backtest Trades 1 JAN - 31 DEC 2008
File 4 : Bank Nifty Backtest Trades 1JAN 2009 - 30 APRIL 2010.

I had to attach it seperately as the file size was quite large.

Comments are welcome !

 

[areebs]

Exit Long and Go Short at 9514 at 12.02pm

Profit of Last Call 5 points .

 

[areebs]

Exit Short and Go Long at 9560 at 1.26pm

Last Call Loss -45 points

 

[AW10]

areebs,

Are u putting your real money on this system or just giving paper trading calls ?
I just looked at trade list of 2009-10 and here is my views on it..
- Total winning trade = 218
- total loosing trades = 219
- biggest winner - 33% (1 trade) -- If I take out the this big winner then next biggest winner is 10.7%
- biggest looser - 10.6%

So where is the edge in this system ? How is it better then coin-flip system which also has 50/50 chances of winning. Max Risk to Max Reward ratio is also 1:1 (after taking out the 1 big winner).. So why would anyone will risk 1 rs to make 1 rs.

Here is extract from overall summary as given by you

Winners	             556 (41.09 %)	Losers	797 (58.91 %)
*Max. Consecutive	7		*Max. Consecutive	11
*Largest win	   4932975		*Largest loss	-991845
*# bars in largest win	100		*# bars in largest loss	5

- system is producing more loosers then winners
- largest loss of 9.9 lacks in 5 bars ? (can someone really hold on to this? What kind of human psychology is required ?)
- largest Win of 49 lacks in 100 bars ? (can someone really hold on to winning trade for such a long time ? What was MAE in this big winner trade? Can someone leave so much of profit on table ?)

If one takes optimistic view (which happens quite often to system developer), then every system looks great on backtesting... but when u put it to real test with money, it becomes difficult to trade.

These are very practical points that a trader has to address when moving from theory to reality.
At the end of we are human being and human psychology can't be backtested. But it plays 90% role in real trading.
If you can live with such a wild psychological swings, then great.. You can trade this system.. but I guess most of other people won't be (atleast I can't)

Areeb, you have raised my favourite topic of system development hence posting my views here. No other intention to hurt your effort. Infact, I appreciate it when someone comes up with system. Hope you take it as +ive criticism.

All the best and Happy Trading

 

[areebs]

Firstly let me thank you for having a look at my System and studying it in detail .

I will like to answer your queries in points :

1.I am trading this System in Real Money and I have advised people here to paper trade or observe it before they feel comfortable in trading it.

2.Comparing it with the Coin Flip System , then I can only comment if you do some hard work and post the Backtest result of Coin Flip System according to you of the same period. That will be an answer for itself.
You have posted the % Winners and % Losers but I dont know why you did not see the Average Profit and Average Loss per trade.Let me post it for you :

Winners 556 (41.09 %)
Total Profit 102168877.50
Avg. Profit 183756.97
Avg. Profit % 2.20 %
Avg. Bars Held 47.74

Losers 797 (58.91 %)
Total Loss -59129610.00
Avg. Loss -74190.23
Avg. Loss % -0.90 %
Avg. Bars Held 16.75

Now If you see even though the Winning trades are 41% but the average profit per trade is 183756.97 or 2.20% and the Losing trades is 58.91%, loss per trade is -74190 or 0.90% .
It clearly shows you that the Profit Potential is much higher than the Loss Risk. The difference between the Avg Profit and Avg Loss is 109566.74 or 1.3%.You can even see the Winners Avg Bars Held is 47.74 as compared to the Losers Avg Bars Held is 16.75, which clearly indicates Profits are held much longer and the Loses are cut short.

The Risk to Reward ratio is 1:2.13(Check my Report) and not 1:1 . I dont think you know how to calculate the Risk Reward Ratio so its better if you search the formula for it.

Regarding the Largest Loss of 9.9lacs then let me inform you its just -245 on (29/10/09) Bank Nifty points which is nothing exceptional and the amount is 9.9lacs because the Trading Capital has grown from 2007 and hence more lots are being Traded.Its just 2.92% of the Trading Capital.
Regarding the Largest Profit of 4932975 and holding it for 100 bars, then let me inform you this trade happened on 14/5/09 at 2.35pm and was booked at 19/5/09 2.40pm, so holding for only 3 trading days as 16th and 17th were Sat and Sunday. So if for you holding a position for 3 days is long then maybe Swing trading is not for you.

Regarding the emotions when trading then let me inform you that if you are trading a system then please keep your emotions away.The Simple reason why my System has resulted in Profits is because emotions were not a part of it.That is the reason I have posted the System Reports right from 2007 so that almost all kinds of markets are covered in it including the biggest bear market of the decade.
You need to hold your loss or profit till the System doesnot ask you to book it.You can backtest the System and check its results but you cannot backtest your emotions and test it that whether they resulted in more profits or no.So I simply go by the System because the Results are infront of me.
If you can inform me any System which has given similar or more results with the input of emotions then I will be happy to trade it.
In the end its about belief and nothing else.If you fear of losing then forget winning.
If you see the results of each year ie 2007 , 2008 , 2009 and 2010 all have resulted profits.If a system has resulted profits in the all past 4 years and after that also if you feel your emotions are better than the System , then Many Congrats from my side, you must be a genius.

Lastly I have not forced anyone to trade this system.

 

[saivenkat]

Firstly let me thank you for having a look at my System and studying it in detail .

I will like to answer your queries in points :

1.I am trading this System in Real Money and I have advised people here to paper trade or observe it before they feel comfortable in trading it.

2.Comparing it with the Coin Flip System , then I can only comment if you do some hard work and post the Backtest result of Coin Flip System according to you of the same period. That will be an answer for itself.
You have posted the % Winners and % Losers but I dont know why you did not see the Average Profit and Average Loss per trade.Let me post it for you :

Winners 556 (41.09 %)
Total Profit 102168877.50
Avg. Profit 183756.97
Avg. Profit % 2.20 %
Avg. Bars Held 47.74

Losers 797 (58.91 %)
Total Loss -59129610.00
Avg. Loss -74190.23
Avg. Loss % -0.90 %
Avg. Bars Held 16.75

Now If you see even though the Winning trades are 41% but the average profit per trade is 183756.97 or 2.20% and the Losing trades is 58.91%, loss per trade is -74190 or 0.90% .
It clearly shows you that the Profit Potential is much higher than the Loss Risk. The difference between the Avg Profit and Avg Loss is 109566.74 or 1.3%.You can even see the Winners Avg Bars Held is 47.74 as compared to the Losers Avg Bars Held is 16.75, which clearly indicates Profits are held much longer and the Loses are cut short.

The Risk to Reward ratio is 1:2.13(Check my Report) and not 1:1 . I dont think you know how to calculate the Risk Reward Ratio so its better if you search the formula for it.

Regarding the Largest Loss of 9.9lacs then let me inform you its just -245 on (29/10/09) Bank Nifty points which is nothing exceptional and the amount is 9.9lacs because the Trading Capital has grown from 2007 and hence more lots are being Traded.Its just 2.92% of the Trading Capital.
Regarding the Largest Profit of 4932975 and holding it for 100 bars, then let me inform you this trade happened on 14/5/09 at 2.35pm and was booked at 19/5/09 2.40pm, so holding for only 3 trading days as 16th and 17th were Sat and Sunday. So if for you holding a position for 3 days is long then maybe Swing trading is not for you.

Regarding the emotions when trading then let me inform you that if you are trading a system then please keep your emotions away.The Simple reason why my System has resulted in Profits is because emotions were not a part of it.That is the reason I have posted the System Reports right from 2007 so that almost all kinds of markets are covered in it including the biggest bear market of the decade.
You need to hold your loss or profit till the System doesnot ask you to book it.You can backtest the System and check its results but you cannot backtest your emotions and test it that whether they resulted in more profits or no.So I simply go by the System because the Results are infront of me.
If you can inform me any System which has given similar or more results with the input of emotions then I will be happy to trade it.
In the end its about belief and nothing else.If you fear of losing then forget winning.
If you see the results of each year ie 2007 , 2008 , 2009 and 2010 all have resulted profits.If a system has resulted profits in the all past 4 years and after that also if you feel your emotions are better than the System , then Many Congrats from my side, you must be a genius.

Lastly I have not forced anyone to trade this system.

Areeb ji..

What AW10 has reflected in his views that human tendency will have its role play in minds of all traders and investors.. and when a trade is in huge profit, irrespective of the fact how accurate the system gives buy and sell signals..the emotional part will have its role play....

Finally let me tell you, that i am not here, to say your response holds air of sarodonicism, but to tell you that AW10 IS A REAL GENIUS...

Regards
Saivenkat

 

[areebs]

@Saivenkat

As I have explained before , emotions can turn a good system bad because of fear and greed.

If in a trade you are losing 2%, emotions will cause fear and ask you to exit and if you follow your emotions and if the same trade turns into a profit of 1 % then you cannot blame the system.

I simply believe you either follow your emotions or a system. I dont mean my system but any system.Both cant go together for long.

Regarding my reply, I think I answered every point which caused a problem to AW10, my intension was only to clarify all his doubts.In some matters in which I felt he had incorrect information about my system I corrected him there.

If you find my reply holds air of sarodonicism then thats your view.

I dont know AW10 personally but if you say hes a real genius then I surely stand by you.

If anyone has any problems or doubts about this system , then I will be happy to answer them.

I am not saying this system is the best or even close to the best.Its a system that I have made which had resulted good profits for the past 4 years and I would be happy if someone has a better system and can post its results here.