This was one of the strategies that could be back tested in just an excel sheet. I have taken the Nifty F1 data from January 01 2009 till 20 Nov from NSE website.
Entry: Break of 4 day High/Low
Stops for Longs: Highest Low of 4 days
Stops for shorts: Lowest High of 4 days.
No entry on the date of exit. On the days it opened beyond entry level no trade taken. On the day the trade is taken, if the stops were triggered we exit else carry forward. Yes that happened on quite a few days. Please take a look at the data analyzed in excel sheet and make your comments. Column M defines the stops for the day, and Column L indicates whether the stops were triggered or not. If it was triggered then no entry is seen on that day. Cost of transaction is taken at 0.1%. If there are any errors in data or analysis, will be happy to amend.
http://www.4shared.com/file/163901032/6e89a30b/4DHL.html
Entry: Break of 4 day High/Low
Stops for Longs: Highest Low of 4 days
Stops for shorts: Lowest High of 4 days.
No entry on the date of exit. On the days it opened beyond entry level no trade taken. On the day the trade is taken, if the stops were triggered we exit else carry forward. Yes that happened on quite a few days. Please take a look at the data analyzed in excel sheet and make your comments. Column M defines the stops for the day, and Column L indicates whether the stops were triggered or not. If it was triggered then no entry is seen on that day. Cost of transaction is taken at 0.1%. If there are any errors in data or analysis, will be happy to amend.
http://www.4shared.com/file/163901032/6e89a30b/4DHL.html
I donot have Nifty futures data to express my doubts.
If you donot mind can you please open Nifty chart from 1.1.2009.
We can see that 5th trading day ie 7.1.2009 has breached both HH and LL of last 4 days.
What could be result if we opened long and short on the same day. No doubt there is loss.
But as per this setup we have to open the trade when either HH and LL is broken.
How could be the strategy to hold first initiated trade only and neglecting the other signal for the day. To test its impact, we need intraday data/chart. Is it not?
See my VISUAL backtesting on Nifty FROM 1/1/2009 TO 31/1/2009.
07/1/2009 LONG 3141
07/1/2009 COVERED 3056 (-85 POINTS)
09/1/2009 SHORT 2888
14/1/2009 COVERED 2802 (+86 POINTS)
15/1/2009 SHORT 2720
16/1/2009 COVERED 2802 (-82 POINTS)
19/1/2009 LONG 2853
20/1/2009 COVERED 2819 (-24 POINTS)
22/1/2009 SHORT 2690
23/1/2009 COVERED 2744 (-54 POINTS)
28/1/2009 LONG 2783
30/1/2009 COVERED 2795 (+12 POINTS)
NET RESULT = -147 POINTS
There is lot of variation between excel which is drawn on Nifty futures data and above is drawn on Nifty data. A point to be noted.
Hi...RKKarnani...I think I have given u the breakout day both on HH and LL.ie 7.1.2009.
Please have a look at it.
Also looking forward your patch up for Gap Up and Downs.
Thanks
Last edited: