Hi all,
I do a a little bit of backtesting to come up with trade strategies on and off.. I was testing on bank nifty last week and thought will share with you guys...
Timeframe - 15min chart
Two EMA crossover system.
Fast EMA - 6 period
Slow EMA - 19 period
Strategy is simple, on a positive crossover of 6period EMA on 15mins chart over a 19period EMA go long and hold till reverse signal. On reverse signal go short and hold till reverse signal.
Data used - Bank nifty SPOT over past 3 yrs.
Total profit of 12200 points after assuming friction/slippage/trading costs of 5 points per trade.
Couple of disclaimers before you try this -
Testing was done on spot data, but trades can only be executed on futures. There might be more slippage there. Large no of trades. There are a total of around 800 trades over a period of 3 yrs. By itself, that would mean slightly more than 1 trade a day, but profit per trade would come out to be just 15 points. I'm no expert on this, but my sense is that this while this figure is not mindblowing its not bad either.
The best bit is the profit curve, quite smooth and upward trending.. that's what one would want to see in a rule based strategy - consistency.
I do a a little bit of backtesting to come up with trade strategies on and off.. I was testing on bank nifty last week and thought will share with you guys...
Timeframe - 15min chart
Two EMA crossover system.
Fast EMA - 6 period
Slow EMA - 19 period
Strategy is simple, on a positive crossover of 6period EMA on 15mins chart over a 19period EMA go long and hold till reverse signal. On reverse signal go short and hold till reverse signal.
Data used - Bank nifty SPOT over past 3 yrs.
Total profit of 12200 points after assuming friction/slippage/trading costs of 5 points per trade.
Couple of disclaimers before you try this -
Testing was done on spot data, but trades can only be executed on futures. There might be more slippage there. Large no of trades. There are a total of around 800 trades over a period of 3 yrs. By itself, that would mean slightly more than 1 trade a day, but profit per trade would come out to be just 15 points. I'm no expert on this, but my sense is that this while this figure is not mindblowing its not bad either.
The best bit is the profit curve, quite smooth and upward trending.. that's what one would want to see in a rule based strategy - consistency.