Analyze my intraday strategy results

[gan.sal]

Hi,

I want feedback on the results of my trading strategy. I have a custom .net program to simulate trades as per my strategy on intraday data. I need feedback because of the huge volume of trades generated, and whether the profit justifies these trades.

I am from India, and for 2011 and 2012 NSE India sotck market data, for 50 stocks that composite the NSE Index, here are the results [I have verified results manually as well for most of the trades]:

Total number of trades: 19,878
Total profit (after deducting brokerage & [email protected]% per trade): Rs. 18,53,508
Pls. note currency is Indian Rupees [Rs]

Max loss in a day: -18,839
Max profit in a day: 51,935

Month wise profit summary:

Lets keep aside the following facts for some time:
1. Ignore the capital required to trade for now.
2. Number of trades done per day vary from 10 to 40, and only one trade per stock
3. Whether to trade manual or some sort of automation is required is a different thing
4. Didn't take into account any slippages.


Please comment.

 

[jw1981]

Hard to go by the data you provided. But I were you, i'd start with:

1. How were the markets during the 2 years of testing... Trending? Up or down markets?
2. How was the performance when comparing # of longs to # of shorts

The above two should give you an idea if your strategy is tweaked to a trending or a sideways market.

I think the best option would be to do a random visual backtest to see how your trades perform against the market. Its easy in forex as you can simply plugin to a 3rd party analytics which does the donkey's work for you, but with something as niche as the NSE, I think you are on your own, unless there is some analytics tweaked for the Indian stock markets.

Also, I think that different traders have a different approaches to managing risk, so don't be surprised if you see contradictory views on the above.

 

[gan.sal]

Ok Thanks. I took a look at the longs versus shorts results, and I see that shorts performed well and contribute to 68% of the profit that I have reported above. Also, here is the chart for the major NIFTY index for 2011-12 on weekly timeframe which does not really appear to be trending downwards but still shorts performed well. What can we conclude about it ?

 

[malaguti]

Ok Thanks. I took a look at the longs versus shorts results, and I see that shorts performed well and contribute to 68% of the profit that I have reported above. Also, here is the chart for the major NIFTY index for 2011-12 on weekly timeframe which does not really appear to be trending downwards but still shorts performed well. What can we conclude about it ?

looks to be trending downwards to me, at least up until the beginning of 2012 and that great big stonking reverse head and shoulders might suggest your longs will be favouring well after july/august 2012

 

[DionysusToast]

What is the size in ticks of your average loss & average win?

What is the average time in trade of your winners vs your losers?

What presumptions did you make about the method of entry/exit - market or limit orders and if limit orders, how aggressive is your expectancy of a fill?

 

[gan.sal]

Hi DionysusToast - Well, the time a trade takes to turn out to be a winner or loser varies from 15 mins to 4 hours. Our intraday market itself runs for 6 hrs daily.
Also, there are no presumptions. Just market orders, or I can place market stoploss orders for entry. Since all the stocks that I trade are a part of the composite index, they are pretty much liquid (volume wise). But yes, I have not accounted for slippages here.
And I didn't understand your first question. Can you please elaborate?

 

[MoneyRush]

Hi,

I want feedback on the results of my trading strategy. I have a custom .net program to simulate trades as per my strategy on intraday data. I need feedback because of the huge volume of trades generated, and whether the profit justifies these trades.

I am from India, and for 2011 and 2012 NSE India sotck market data, for 50 stocks that composite the NSE Index, here are the results [I have verified results manually as well for most of the trades]:

Total number of trades: 19,878
Total profit (after deducting brokerage & [email protected]% per trade): Rs. 18,53,508
Pls. note currency is Indian Rupees [Rs]

Max loss in a day: -18,839
Max profit in a day: 51,935

Month wise profit summary:

Lets keep aside the following facts for some time:
1. Ignore the capital required to trade for now.
2. Number of trades done per day vary from 10 to 40, and only one trade per stock
3. Whether to trade manual or some sort of automation is required is a different thing
4. Didn't take into account any slippages.


Please comment.

Results are good and it looks like you are doing your jon well, but I think it would be much more better if you will try to risk more in order to go for better profits i guess.