i did some backtest of this strategy on stocks for last 3 months (that is as far as i have the data). i dont have nifty futures data, so cant test it.
Tata Motor
10000 rs has become 12006 rs today
Tata Motor
10000 rs has become 12006 rs today
Code:
Ticker Trade Entry Exit % change Profit Shares Pos. value Cum. profit # bars Profit/bar MAE/MFE Scale In/Out
TATAMOTOR Long 03/11/09 9:11:30 AM
574.9 03/11/09 9:11:30 AM
553.35 -3.75% -374.85
-3.75% 17.3943 10000.00 -374.85 1 -374.85 -4.58%
0.81% 0/0
TATAMOTOR Short 04/11/09 9:11:30 AM
555.7 06/11/09 9:00:25 AM
583.5 5.00% -481.52
-5.00% 17.3208 9625.15 -856.37 3 -160.51 -5.00%
1.90% 0/0
TATAMOTOR Long 06/11/09 9:00:25 AM
578.6 26/11/09 9:55:30 AM
641.8 10.92% 998.75
10.92% 15.803 9143.63 142.39 15 66.58 -2.26%
14.66% 0/0
TATAMOTOR Short 26/11/09 9:55:30 AM
618.3 30/11/09 9:55:00 AM
663.15 7.25% -735.70
-7.25% 16.4037 10142.39 -593.32 3 -245.23 -7.25%
1.26% 0/0
TATAMOTOR Long 30/11/09 9:55:00 AM
647.7 04/12/09 9:55:00 AM
703 8.54% 803.13
8.54% 14.5232 9406.68 209.82 5 160.63 -1.65%
14.82% 0/0
TATAMOTOR Short 04/12/09 9:55:00 AM
710.25 08/12/09 9:55:00 AM
723.5 1.87% -190.47
-1.87% 14.375 10209.82 19.35 3 -63.49 -1.87%
2.13% 0/0
TATAMOTOR Long 08/12/09 9:55:00 AM
723.25 11/12/09 9:55:35 AM
711.5 -1.62% -162.78
-1.62% 13.8532 10019.35 -143.43 4 -40.69 -3.89%
0.72% 0/0
TATAMOTOR Short 11/12/09 9:55:35 AM
711.9 17/12/09 9:11:30 AM
709.8 -0.29% 29.08
0.29% 13.8454 9856.57 -114.35 5 5.82 -1.97%
3.53% 0/0
TATAMOTOR Long 17/12/09 9:11:30 AM
717.2 07/01/10 9:00:00 AM
805.2 12.27% 1212.96
12.27% 13.7837 9885.65 1098.61 13 93.30 -1.85%
17.39% 0/0
TATAMOTOR Short 07/01/10 9:00:00 AM
783 15/01/10 9:00:00 AM
797 1.79% -198.44
-1.79% 14.1745 11098.61 900.17 7 -28.35 -4.46%
1.36% 0/0
TATAMOTOR Long 15/01/10 9:00:00 AM
794.1 21/01/10 9:00:00 AM
799.35 0.66% 72.06
0.66% 13.7264 10900.17 972.23 5 14.41 -2.41%
3.06% 0/0
TATAMOTOR Short 21/01/10 9:00:00 AM
782.75 02/02/10 9:00:00 AM
706.8 -9.70% 1064.63
9.70% 14.0175 10972.23 2036.86 8 133.08 -2.52%
14.21% 0/0
TATAMOTOR Long 02/02/10 9:00:00 AM
723 04/02/10 9:00:00 AM
705.15 -2.47% -297.18
-2.47% 16.6485 12036.86 1739.69 3 -99.06 -2.47%
1.78% 0/0
TATAMOTOR Short 04/02/10 9:00:00 AM
691.1 09/02/10 9:00:00 AM
675.4 -2.27% 266.70
2.27% 16.987 11739.69 2006.38 4 66.67 -3.96%
6.67% 0/0
TATAMOTOR Open Long 09/02/10 9:00:00 AM
687.2 10/02/10 9:00:00 AM
669.7 -2.55% -305.75
-2.55% 17.4715 12006.38 1700.63 3 -101.92 -3.24%
0.10% 0/0