Nifty Future Day Trading System with 100% return on 30/40 trades a year.

#11
When compounding is used the strategy performs wonderfully. Maximum lot size reached starting with Jan 1 2012 is 18 lots which not too big, with a starting capital of 50k. The best thing is Max. System DrawDown is only 15.45%

All trades Long trades Short trades
Initial capital 50000.00 50000.00 50000.00
Ending capital 534022.50 363845.50 220177.00
Net Profit 484022.50 313845.50 170177.00
Net Profit % 968.04 % 627.69 % 340.35 %
Exposure % 11.76 % 7.25 % 4.51 %
Net Risk Adjusted Return % 8231.32 % 8658.51 % 7544.83 %
Annual Return % 269.81 % 199.20 % 126.73 %
Risk Adjusted Return % 2294.22 % 2747.81 % 2809.23 %

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All trades 75 44 (58.67 %) 31 (41.33 %)
Avg. Profit/Loss 6453.63 7132.85 5489.58
Avg. Profit/Loss % 0.38 % 0.45 % 0.29 %
Avg. Bars Held 99.35 104.32 92.29

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Winners 41 (54.67 %) 27 (36.00 %) 14 (18.67 %)
Total Profit 683482.00 397291.50 286190.50
Avg. Profit 16670.29 14714.50 20442.18
Avg. Profit % 0.97 % 0.94 % 1.03 %
Avg. Bars Held 120.95 121.00 120.86
Max. Consecutive 5 8 4
Largest win 72902.00 72902.00 60469.50
# bars in largest win 121 121 121

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Losers 34 (45.33 %) 17 (22.67 %) 17 (22.67 %)
Total Loss -199459.50 -83446.00 -116013.50
Avg. Loss -5866.46 -4908.59 -6824.32
Avg. Loss % -0.33 % -0.33 % -0.32 %
Avg. Bars Held 73.29 77.82 68.76
Max. Consecutive 6 4 4
Largest loss -18003.00 -11003.00 -18003.00
# bars in largest loss 107 29 107

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Max. trade drawdown -66375.00 -38535.00 -66375.00
Max. trade % drawdown -1.24 % -0.98 % -1.24 %
Max. system drawdown -66375.00 -38535.00 -66375.00
Max. system % drawdown -15.42 % -14.90 % -31.18 %
Recovery Factor 7.29 8.14 2.56
CAR/MaxDD 17.49 13.37 4.06
RAR/MaxDD 148.75 184.41 90.09
Profit Factor 3.43 4.76 2.47
Payoff Ratio 2.84 3.00 3.00
Standard Error 55685.18 30230.42 30322.02
Risk-Reward Ratio 3.48 4.61 1.80
Ulcer Index 5.96 5.49 14.57
Ulcer Performance Index 44.39 35.31 8.33
Sharpe Ratio of trades 8.37 9.99 6.21
K-Ratio 0.0077 0.0101 0.0040
 

Cubt

Algo Trader
#18
Value,
I suggest u backtest ur system with 6 years of nifty ieod and find out which time frame yeilds more points and find which tf will suit ur style and decide accordingly..

I tell u, its very very tough to follow a system based trading
 
#19
Value,
I suggest u backtest ur system with 6 years of nifty ieod and find out which time frame yeilds more points and find which tf will suit ur style and decide accordingly..

I tell u, its very very tough to follow a system based trading
Over the last 6 years the structure of trading has changed a lot at NSE, the introduction of algos, market timing etc. So I do not see much value in back testing certain systems to long years back.
 

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