Backtesting results for SAR, Swing and Positional trades

As I have been spending time these-days back-testing and scanning for setups. I would like to share some results which a SAR, Swing and positional trader might find useful :

1) Don't take the next 2-3 trades after the system gives a "big profit" trade.Implementing this idea will significantly increase your "average profit per trade".

2) Trade in stocks which are showing momentum like stocks with have given more than 80-100 percent return yearly or showing better relative performance or stocks at 52 week high. Opposite for short trades.

3) Trade a trend from only one particular direction i.e "buy only" or "short only". Preferably "buy only" in bull market and vice-versa.

If someone wants to make things more complicated or feels lazy about doing their own back testing, she/he can read Quantitative Strategies for Achieving Alpha, by Richard Tortoriello, the book is more oriented toward fundamentals than technicals of a stock :(

Good luck with your trading.

89 comments:

  1. Hi Anuj!

    Thanks for sharing the results of your research. I hope that we can exchange good mornings regularly now. :)

    regards.
    rm

    ReplyDelete
  2. @rm
    Hi, no one stopped you from saying good morning!
    I visit this blog regularly.
    I also tried to make sense of "Desi MO" during these days!
    The snow hasn't melted during summers in your blog, how about a new picture to welcome summers/rainy season?

    Aren't you going inviting "Dinesh bhai" this time to climb up the litchi tree, he seemed to miss your presence in "just nifty"!

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  3. @Anuj

    My mistake, I thought that you were on a leave from blog too.

    Desi MO helps in keeping an eye over the broader markets and managing risk (in Shai's words.)

    Snow is unlikely to melt till I get a camera. :))

    Dinesh bhai is too busy counting money from his BN profits and timber trade and may not be able to devote much time to litchi climbing!

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  4. Hi Anuj,

    Hope this pause will shine your trades better :)

    Since you are in backtest, i beleive your foremost agenda would be reducing whipsaws.. This link from Mr.Sudarshan's blog will help incase you have not read it before.. thanks to him..

    whipsaws-in-trend-following-systems


    RM,

    Hi to you :)

    ReplyDelete
  5. Hi good morning rm
    So what are you trading these days, futures or options? What do you think, are we in a bull market or a bear market?

    ReplyDelete
  6. I trade futures intraday and sometimes buy options for carrying positions overnight.

    This is neither bear nor bull, just a dull market. :D

    ReplyDelete
  7. Thank you r m!
    What kind of average Stop loss and target we get with intraday trades in Nifty, if we take a certain set of trades?

    Most people generally talk about a 20 point Stop loss and 30 as target, how practical is this "talk"?

    ReplyDelete
  8. Hi Anuj,

    I did a comment yesterday and wondering where is it? :)

    blogger chokes now a days!!

    will re-post it now..

    ReplyDelete
  9. I trade on vtrender2 taking advantage of their order analysis tools. However there is not much advantage in trading breakouts in Nifty. The failed breakouts far exceed the succesful breakouts, meaning that the trader will spend more on Stop Loss than the total earnings. BN is better that way, the breakouts generally give good yield.

    ReplyDelete
  10. Hi Anuj,

    Hope this pause will shine your trades better :)

    Since you are in backtest, i beleive your foremost agenda would be reducing whipsaws.. This link from Mr.Sudarshan's blog will help incase you have not read it before.. thanks to him..

    whipsaws-in-trend-following-systems.html


    RM,

    Hi to you :)

    ReplyDelete
  11. Hi assortZ

    That comment landed in my mail box but I could not respond because it was missing from the blog. :D

    ReplyDelete
  12. Hi assortZ
    How are you bro, after a really long time!
    the message went to spam box! I wonder why? :(

    I will read that post now, I must have read it before as I was regular visitor at Sudarshan's blog at that time.

    Is the face red or orange? :))
    r m don't wish to give an answer to my question, about a bear or bull market, may be the color of your avatar can help me resolve my confusion!
    keep posting more stuff :)

    ReplyDelete
  13. // However there is not much advantage in trading breakouts in Nifty. The failed breakouts far exceed the succesful breakouts //

    100% agreed RM :)

    But as anuj said in his point #1 and 3, we should try to get away from false signals.. but I know how hard it is to apply practically..

    ReplyDelete
  14. Anuj,

    me good..hope you are also doing good!!

    It seems blogger marked me “SPAM” due to long absent..

    You always have a ? on my aggressive colour :).. let us come to a conclusion that it is reddish orange ..

    RM is clever to cash-in consistently in either of the markets.. so, he doen’t bother to name it bull or bear mkt :)

    Bye.. catch u later :)

    ReplyDelete
  15. @assortZ

    I wish I was clever, maybe someday I'll be. :D

    ReplyDelete
  16. Good morning r m!
    After so many years I have experienced summers like this one.Every other day it rains. Sitting without a fan! Such luxury was not there in Delhi :)

    ReplyDelete
  17. Yes Anuj. I lived in Delhi for almost 26 years but can't survive there for even a couple of hours now. :D

    ReplyDelete
  18. @rm
    :)

    @abhishek
    Hi....good morning

    ReplyDelete
  19. hi anuj,

    it is interesting..can you provide link for downloading ebook ..
    it seems to be good one for fundamental picking like the one written by william o neil...
    on going through comments on amazon, wondering whether stock scanner as per parameters outlined in the book is possible in the indian context
    keep exploring ...

    ReplyDelete
  20. Hi Sri Sri!

    http://ebookee.org/Quantitative-Strategies-for-Achieving-Alpha-McGraw-Hill-Finance-amp-Investing-_610456.html

    Check out the above link, second download link should work.

    Reliable financial data is a problem in India.I don't think it will work for Indian markets as a quality screener is not there. This is one of the reasons why I trade/invest on technicals.
    But the book has some interesting data. If you find a good fundamental screener do let me know
    Cheers

    ReplyDelete
  21. hi anuj

    thanks for the link

    free scanner based on fundamental data is very rare...if i come across anything, sure will let you know.

    best

    ReplyDelete
  22. Good evening, Anuj!
    Fantastic post and contents.
    FA is the best, when it comes from you and Sri.
    Thanks.
    Will come again in the next break.
    Take care, bye!!

    ReplyDelete
  23. @mo h
    Thanks....
    You are too generous with your words. I hardly know any FA!
    Take care :)

    ReplyDelete
  24. Good Morning AJ, happy weekend!

    ReplyDelete
  25. Good Morning r m....have a great weekend! :)

    ReplyDelete
  26. Good Morning AJ!
    Are bhai, kuchh to post karo, comment karne ke liye bahut scroll karna padta hai. :))

    ReplyDelete
  27. Hi r m
    Same applies to your blog, I am just learning from you!
    Good morning :)

    ReplyDelete
  28. Ha Ha! You picked the right person to learn laziness from. :)

    ReplyDelete
  29. @rm
    trying to beat you in "scrolling competition", need active contribution from mo h and his new found love for poetry!

    ReplyDelete
  30. Good Morning AJ! Thanks for providing the opportunity for morning exercise of pulling water from a deep well (equivalent in cyber world is scrolling to the bottom of a looooong page.)
    :))

    ReplyDelete
  31. Hey RM, good morning bossman.
    Q. Why do u think IBM PC was given Ctrl+End ?
    A. To avoid pulling water from a deep (dehradun sealevel elevation deep) well only ... :D

    ReplyDelete
  32. Good Mornign, Anuj,
    here is a poem on options [lifted from web] with credit to the writer ...


    Twas third Friday Eve and all through the exchange,

    Traders checked on time value and profitable range.

    Those in the money were twinkling with glee

    As they counted their gains (less applicable fee).



    The cranky old pessimists, put buyers all,

    Heaped derision on every debit long call.

    And for those up the creek with nary a paddle,

    Expiration was near for the short-sided straddle.



    Many traders were left just scratching their head

    For the theory looked good for the dub-naked spread,

    But now those positions seemed not quite as funny

    With one side or the other now deep in the money.



    A cheerful lot they on the eve of the witch

    When options and futures cause many a glitch

    And while on the subject, forget not the dread

    In Reg T and margin (for more, see “The Fed”).



    Yet more of disclosures, important to note,

    That even on Christmas your profits don’t float,

    And those that you realize, remember the facts,

    Are subject to federal and state income tax.



    So many details to keep in relation

    To timing of close to avoid expiration.

    Advice at a premium that many will like:

    Remember proximity of price to the strike.



    So the OCC caveat rang loud in my ear:

    In this season be happy and be of good cheer,

    But remember, my friends, I cannot tell a lie,

    When trading in options, some risks do apply.



    © Michael C. Thomsett

    ReplyDelete
  33. ahhhh .... my share of good deed, to make RM use a little longer rope ...
    [pssst, ANUJ, dont remind him of the Ctrl+End]
    :))

    takecare guyz, bye!!!

    ReplyDelete
  34. @moh

    Wow! limericks being written on options too!

    I have stolen it from here and posted on google doc, the credit has duly been given to original thief. :)

    ReplyDelete
  35. @moh

    Here is my contribution to this collection of poems! I am wise enough to steal from those who expired long back (Charles Dicken's "Pickwick Papers") hence no fear of being sued. :))

    Ode to an Expiring Frog

    Can I view thee panting, lying
    On thy stomach, without sighing;
    Can I unmoved see thee dying
    On a log
    Expiring frog!

    Say, have fiends in shape of boys,
    With wild halloo, and brutal noise,
    Hunted thee from marshy joys,
    With a dog,
    Expiring frog!

    ReplyDelete
  36. Good morning amruta, r m and all :)

    ReplyDelete
  37. @r m
    Hi,good morning.Do you trade in commodities? If yes then which one?

    ReplyDelete
  38. @AJ

    Arre nahin bhai, i lose enough money between 9 to 3.30, why extend the time? :)

    ReplyDelete
  39. Hi friends
    EOD and Intraday data in amibroker format upto 30th June 2011 loaded on 4shared.com

    ReplyDelete
  40. Hi r m, amruta and all....good morning

    ReplyDelete
  41. Hi r m and abhishek, Good morning!
    @abhishek
    how is trading and life going?
    @r m
    No need to ask you....picture says it all! :D

    ReplyDelete
  42. Gm Aj :)
    Looks like quote going paid... When r u coming back into action

    ReplyDelete
  43. @Vj
    I don't know, I depended on Quote for much of my analysis...right now I am experiencing paralysis! :D

    ReplyDelete
  44. Apart from Yahoo, Google is there any alternative for online free charts?

    ReplyDelete
  45. @ Anuj,

    I am fine,for trading LONG in NIFTY @ 5527 & long AXIS @ 1293 :)

    ReplyDelete
  46. @abhishek
    Yeah me too long Stop at 5610 Futures

    ReplyDelete
  47. Yeah kind of, trading will also be over with this new chart problem :D

    ReplyDelete
  48. Good morning abhishek and all :)

    ReplyDelete
  49. @abhishek
    5610 stop on futures holds well! :D. How do you set your targets? Can you share some ideas?
    @r m
    Hi, good morning

    ReplyDelete
  50. @ Anuj

    Waiiting to cross over 5740 OR 5580

    ReplyDelete
  51. Right on target abhishek! Congrats :)

    ReplyDelete
  52. Good Morning AJ!
    Very soon blogger will institute an award for the longest comment thread, and the winners are ...
    :)

    ReplyDelete
  53. Hi,
    New post done!

    I have withdrawn from the nominations for the award or the longest comment thread, looks like this guy will will the award finally!

    http://osteoporous.blogspot.com/2011/01/snows.html

    and the winner is ...

    ReplyDelete