Re: 1 lakh to 652 lakhs in 497 trading days - Winning 20% of Trade in NIFTY Futures -
Testing period 18-July-2002->20-July-2012
I tested a file which I downloaded from this forum
http://search.4shared.com/postDownload/4ujFBdWE/positional_trading_-_nifty_-_b.html
With nifty spot total cumulative profit for 10 years was 490 crores
I tested the data with nifty futures
the total cumulative profit dropped from 490 crores to 190 crores
I added round trip commissions (including STT and all of 0.045%)
and the profit dropped from 190 crores to
Rs. 1.28 crores
I then added round trip impact cost of 0.015%
and the total profit dropped to Rs. 1.3 lakhs in 10 years
http://www.nseindia.com/products/content/equities/indices/cnx_nifty.htm
Just to get a quick double check
Can someone else confirm or refute my findings?
The conclusions I can come to are as follows
1) the house always wins... that 490 crores of frequent trading profits goes down to 1.2 crores just by adding 0.045% round trip commissions (house=broker+nse+govt (stt))
Also I used to be an active trader 2005-2008
I am pretty sure that nifty ohlc on eod basis never showed gaps properly.
the gaps started showing up properly much later
I have nifty intraday data which shows lots of huge 1 min bars for the very first bar of the day. The opening price is artificial because it used to be derived from the previous day's closing price and you would almost never see more than 0.05% volatility on the first reported nifty open price.
However if we trade after 1-2 minutes
a) the reported opening price might not be tradeable
especially in periods of strong trends which the trading system in this post is trying to catch
Nifty futures opening has been cleaner because the nifty futures opening tick is based on actual trades.
However even there I suspect trying to trade this system could result in lots of slippage during fast moves.
The only way to test what price can be achieved is to test using intraday data.
We can assume lets say either the end of 1 min or 5 mins into the opening as the tradeable price.
If anyone wants to test using intraday data and post the results here I think that would be a great help for everyone.
I'll post a picture to show what I am talking about regarding extreme volatility in the opening 1 minute on strong trend days in nifty spot.