How much annual returns should a good day-trading strategy give?

[kimiroger]

I have recently developed a day-trading strategy using ARIMA model forecast and employing the strategy on out of the sample data was giving a an annual average return of around 23%.

I was wondering how good is the strategy? Is 24% annual with very little risk good?

 

[internet_fanbboy]

Depends.

If this 24% is (Profit - Cost), then it is good, as FD's get you max 10% or so yearly.

But for an intraday strategy that one is manually implementing the returns seem a bit less. (Automated version would be better)

 

[kimiroger]

Depends.

If this 24% is (Profit - Cost), then it is good, as FD's get you max 10% or so yearly.

But for an intraday strategy that one is manually implementing the returns seem a bit less. (Automated version would be better)

Yes it is 24% after brokerage. I am developing it as an automated strategy. One just needs to buy at the open price and sell at the last traded price. Just 2 trades a day.

 

[ramulu]

hello friend,

good idea, go ahead and share the strategy.

 

[bpr]

24% annually is not bad.
But when you say less risk can you quantify it approx compare with other strategy to see where you stand.
Lets say in a scale of risk 0-100 how much risk you are taking.
e.g In FD we are taking 0 risk and getting 8-9% returns.
if your risk is 2 or 3 and the return of 24% is not bad because you can dump a lot of money with eyes closed as risk is less and get the annualized return which will again be lumpsum.
On the other hand lets say if you have a intraday startegy which gives intraday returns of 5 percent per day but with very high risk say 35.
With this method you can not put huge sums of money.
Even if your successful still your annualized return might be less.

 

[kimiroger]

24% annually is not bad.
But when you say less risk can you quantify it approx compare with other strategy to see where you stand.
Lets say in a scale of risk 0-100 how much risk you are taking.
e.g In FD we are taking 0 risk and getting 8-9% returns.
if your risk is 2 or 3 and the return of 24% is not bad because you can dump a lot of money with eyes closed as risk is less and get the annualized return which will again be lumpsum.
On the other hand lets say if you have a intraday startegy which gives intraday returns of 5 percent per day but with very high risk say 35.
With this method you can not put huge sums of money.
Even if your successful still your annualized return might be less.

With the strategy that I am using, after back testing with multiple stocks and data of more than 1.5 years, the maximum loss that is incurred is less than 1.92% of the portfolio value in a day, the average being 1.3%. Is the risk level too high for the returns?

 

[TraderRavi]

I have recently developed a day-trading strategy using ARIMA model forecast and employing the strategy on out of the sample data was giving a an annual average return of around 23%.

I was wondering how good is the strategy? Is 24% annual with very little risk good?

see if you have 1lakh capital then 23000/- annual income does not look good, but for 10 lakh , 230000/- looks good.......so it depends upon capital too........

 

[GuluGulu]

Find books written by Dr. Van Tharp in Amazon and read. You will get your answer. It is a must read for every serious reader.

 

[SaravananKS]

With the strategy that I am using, after back testing with multiple stocks and data of more than 1.5 years, the maximum loss that is incurred is less than 1.92% of the portfolio value in a day, the average being 1.3%. Is the risk level too high for the returns?

Calculate the Maximum draw down if it is less than 15% of total capital then it is good Strategy since it is giving 24% Per annum :thumb: