Nifty Positional Trading - Super Trend Indicator

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Cubt

Well-Known Member
#1
Guys, with regards to my old thread about Swing Trading system for Nifty, there were many major flaws hence decided to quit that system and continue with my old system that am familiar with. I have back tested it with 6 years of data from 2008 to 2013 October.

System Methodology: Using Super Trend

The Excel sheet contains the detailed list about every trades of 6 years of data, trade type, trade executed time, profit each month, maximum loss in a trade, maximum consecutive loss etc. The backtest results are updated with all time frames, 5 Mins, 15 Mins, 30 Mins and 1 Hr

Kindly review the results and backtest by yourself and Choose the Time Frame that suits you & use it if you are comfortable with it.


Results Summary:

Back Test period: Year 2008 to 2013

Chart: 5 Mins TF

Total no of Trades: 2100

Total no of Nifty Points earned: 12207 (excluding brokerage & other charges)

Maximum Loss in one Trade: -321 points

Maximum continues loss in a trade: -916 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 1130 points

Maximum Consecutive profit: 1471 points

Average points per month: 180 Points


Chart: 15 Mins TF

Total no of Trades: 775

Total no of Nifty Points earned: 8450 (excluding brokerage & other charges)

Maximum Loss in one Trade: -237 points

Maximum continues loss in a trade: -696 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 803 points

Maximum Consecutive profit: 1493 points

Average points per month: 126 Points


Chart: 30 Mins TF

Total no of Trades: 403

Total no of Nifty Points earned: 7041 (excluding brokerage & other charges)

Maximum Loss in one Trade: -633 points

Maximum continues loss in a trade: -868 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 867 points

Maximum Consecutive profit: 933 points

Average points per month: 105 Points


Amount Rs. 50,000 with starting Capital in 2008 Jan becomes Rs. 1269871 in 2013 October.

Note: The above calculation is not based on any excel compounding or any other manipulation. It is the result of actual trades taken place from 2008 Jan to 2013 Oct!

 
Last edited:
#3
Hello Cubt

When we take back testing results we forget to check if we would get a fill at the price the back tests are showing . . .

Besides the trading Cost, Slippage is a big concern but that is know and acknowledged by everyone.
I have seen many people back testing do not even consider Forwardization charges/costs?

2008 to 2013, 5 years => 60 months => that will cost you 1500 to 1800 points to shift your futures position from one expiry to next
2100 trades should cost you 6300 points (1.5 points per trade entry & exit) in brokerage & taxes
minimum slippage can be consider at 4200 points ( avg slippage 1 point per trade i.e. entry & exit)

Without all these how does one arrive at a realistic estimation?

Cheers


:) Happy
 

rkkarnani

Well-Known Member
#4
I dont use Amibroker, but have heard and read a lot abt Supertrend.
Would you like to share, "the how" of the Trades with Supertrend , i.e.
About Entry, Entry SL, Trailed SL, Exits etc. !
 

rkkarnani

Well-Known Member
#5
Hello Cubt

When we take back testing results we forget to check if we would get a fill at the price the back tests are showing . . .

Besides the trading Cost, Slippage is a big concern but that is know and acknowledged by everyone.
I have seen many people back testing do not even consider Forwardization charges/costs?

2008 to 2013, 5 years => 60 months => that will cost you 1500 to 1800 points to shift your futures position from one expiry to next
2100 trades should cost you 6300 points (1.5 points per trade entry & exit) in brokerage & taxes
minimum slippage can be consider at 4200 points ( avg slippage 1 point per trade i.e. entry & exit)

Without all these how does one arrive at a realistic estimation?

Cheers


:) Happy
Happy, Cubt has mentioned in the 30 min. results that the figures are actual trades with real money !
I agree with you on Cost of Trades and slippage. However the shifting of futures position is not always against us, usually when a Short position is shifted it turns out to be favourable as next Month NF are Shorted at higher rates and current month covered Lower !
 

Cubt

Well-Known Member
#6
Hello Cubt

When we take back testing results we forget to check if we would get a fill at the price the back tests are showing . . .

Besides the trading Cost, Slippage is a big concern but that is know and acknowledged by everyone.
I have seen many people back testing do not even consider Forwardization charges/costs?

2008 to 2013, 5 years => 60 months => that will cost you 1500 to 1800 points to shift your futures position from one expiry to next
2100 trades should cost you 6300 points (1.5 points per trade entry & exit) in brokerage & taxes
minimum slippage can be consider at 4200 points ( avg slippage 1 point per trade i.e. entry & exit)

Without all these how does one arrive at a realistic estimation?

Cheers


:) Happy
Yes, you are right. Made me realize what I need to focus on...
 

Cubt

Well-Known Member
#7
Happy, Cubt has mentioned in the 30 min. results that the figures are actual trades with real money !
I agree with you on Cost of Trades and slippage. However the shifting of futures position is not always against us, usually when a Short position is shifted it turns out to be favourable as next Month NF are Shorted at higher rates and current month covered Lower !
No, rk. I have not traded with real money for 6 years, it just back test results of 6 years. Only last few months am trading with real money using super trend
 
#8
Guys, with regards to my old thread about Swing Trading system for Nifty, there were many major flaws hence decided to quit that system and continue with my old system that am familiar with. I have back tested it with 6 years of data from 2008 to 2013 October.

System Methodology: Using Super Trend

The Excel sheet contains the detailed list about every trades of 6 years of data, trade type, trade executed time, profit each month, maximum loss in a trade, maximum consecutive loss etc. The backtest results are updated with all time frames, 5 Mins, 15 Mins, 30 Mins and 1 Hr

Kindly review the results and backtest by yourself and Choose the Time Frame that suits you & use it if you are comfortable with it.


Results Summary:

Back Test period: Year 2008 to 2013

Chart: 5 Mins TF

Total no of Trades: 2100

Total no of Nifty Points earned: 12207 (excluding brokerage & other charges)

Maximum Loss in one Trade: -321 points

Maximum continues loss in a trade: -916 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 1130 points

Maximum Consecutive profit: 1471 points

Average points per month: 180 Points


Chart: 15 Mins TF

Total no of Trades: 775

Total no of Nifty Points earned: 8450 (excluding brokerage & other charges)

Maximum Loss in one Trade: -237 points

Maximum continues loss in a trade: -696 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 803 points

Maximum Consecutive profit: 1493 points

Average points per month: 126 Points


Chart: 30 Mins TF

Total no of Trades: 403

Total no of Nifty Points earned: 7041 (excluding brokerage & other charges)

Maximum Loss in one Trade: -633 points

Maximum continues loss in a trade: -868 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 867 points

Maximum Consecutive profit: 933 points

Average points per month: 105 Points


Amount Rs. 50,000 with starting Capital in 2008 Jan becomes Rs. 1269871 in 2013 October.

Note: The above calculation is not based on any excel compounding or any other manipulation. It is the result of actual trades taken place from 2008 Jan to 2013 Oct, real money!

Hello cubt, can you provide backtest results on 4 hourly time frame also.
 

Cubt

Well-Known Member
#9
Hello cubt, can you provide backtest results on 4 hourly time frame also.
Back Test period: Year 2008 to 2013

Chart: 240 Mins TF

Total no of Trades: 72

Total no of Nifty Points earned: 4951 (excluding brokerage & other charges)

Maximum Loss in one Trade: -480 points

Maximum continues loss in a trade: -821 points (It's due to the 2008 Crash)

Maximum Profit in one trade: 1485 points

Maximum Consecutive profit: 1785 points
 

Rish

Well-Known Member
#10
Back Test may not give you true Picture.

Trading based on 30 Minutes Candle......

Take last 2 trades of nifty, where is the buy level and where is the sell signal....where you would have initiated the buy and sell......

Last 30 minutes sell below 6153 (candle closing basis), whether shall u take trade at 5975 at 11.30 candle on friday ?. i.e.almost 80 points below the sell level ?
 
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