Re: 1 lakh to 652 lakhs in 497 trading days - Winning 20% of Trade in NIFTY Futures -
Raj
I have taken care to see that only the current month's future contract data are taken for the futures data that i uploaded.
The way to do this is only take data for a month, for each month fo ryour time frame with the current months expiry and dates between the first day of the new contract and expiry day.
For example to get to May month's futures data (May 2012)
April month expiry is 26th April,
So choose the expiry as 31-may-2012, From date as 27th april-2012, to-date as 31-may-2012. Do this for all the months that are required. Its a labourious process...but i did that for the period in your backtest in about an hour.
The link is http://www.nseindia.com/products/content/derivatives/equities/historical_fo.htm#
I think the way to go about this is, we need to define some rules for dealing with Futures
Due to discount or premium attached we need to change the stop loss
Playing around with the stop loss is one way to get an ideal SL defined. But i believe this would at most enable you to be in some trades and increase ur stop loss in others.
I have the entire data if you want to look at volumes and other stuff..
The other thing which i noticed was that, you choose the open value to determine your entry position. Its not possible to always get a trade at the opening rate. This would also decrease the profits or change the stop loss in a real case scenario.
Let me know
Raj
I have taken care to see that only the current month's future contract data are taken for the futures data that i uploaded.
The way to do this is only take data for a month, for each month fo ryour time frame with the current months expiry and dates between the first day of the new contract and expiry day.
For example to get to May month's futures data (May 2012)
April month expiry is 26th April,
So choose the expiry as 31-may-2012, From date as 27th april-2012, to-date as 31-may-2012. Do this for all the months that are required. Its a labourious process...but i did that for the period in your backtest in about an hour.
The link is http://www.nseindia.com/products/content/derivatives/equities/historical_fo.htm#
I think the way to go about this is, we need to define some rules for dealing with Futures
Due to discount or premium attached we need to change the stop loss
Playing around with the stop loss is one way to get an ideal SL defined. But i believe this would at most enable you to be in some trades and increase ur stop loss in others.
I have the entire data if you want to look at volumes and other stuff..
The other thing which i noticed was that, you choose the open value to determine your entry position. Its not possible to always get a trade at the opening rate. This would also decrease the profits or change the stop loss in a real case scenario.
Let me know
