Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in)

SDA2 Trend Trading Ver2 – Backtesting Results for Nifty Future

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Iam backtesting my SDA2 Trend Trading System Ver 2 afl code against Nifty future. After backtesting with various timeframe i found that SDA2 suits 15min timeframe. Though i had backtested with minimal 1min IEOD data its advisable to backtest yourself with minimum 2-3 years of intraday 1min data before trying to use this trading system against different timeframe to choose your best.

Backtest Results on 15 min timeframe

Equity Curve

Backtested Data

SymbolTradeEx. dateEx. PriceProfit/LossSharesPosition valueCum. Profit
NIFTYFUTLong1/11/2012 13:29:5948652.75%2.1119810000274.77
NIFTYFUTLong1/12/2012 12:14:594849-0.57%2.1069510274.77216.62
NIFTYFUTLong1/13/2012 11:14:594849.95-0.14%2.1035710216.62202.21
NIFTYFUTLong1/13/2012 14:44:594870.050.09%2.0968510202.21211.75
NIFTYFUTLong1/18/2012 9:44:594964.152.18%2.101910211.75434.13
NIFTYFUTLong1/19/2012 13:14:594996.50.71%2.1030410434.13507.84
NIFTYFUTLong1/20/2012 13:29:5950290.16%2.0927610507.84524.48
NIFTYFUTLong1/23/2012 11:44:595041.55-0.43%2.0785410524.48479.06
NIFTYFUTLong1/24/2012 15:44:595107.41.14%2.0750610479.06598.17
NIFTYFUTLong1/27/2012 11:44:5951730.55%2.0600810598.17656.78
NIFTYFUTLong1/30/2012 9:44:595180-0.51%2.0468410656.78602.64
NIFTYFUTLong2/1/2012 11:29:595247.41.69%2.0547810602.64782.23
NIFTYFUTLong2/6/2012 11:59:595356.31.46%2.042310782.23939.18
NIFTYFUTLong2/6/2012 14:59:595344.35-0.71%2.0323210939.18861.44
NIFTYFUTLong2/7/2012 14:29:595369.05-0.63%2.010310861.44793.39
NIFTYFUTLong2/8/2012 14:29:595363.95-0.26%2.0070310793.39765.6
NIFTYFUTLong2/10/2012 11:29:595421.50.67%1.9989810765.6837.46
NIFTYFUTLong2/15/2012 14:29:595521.22.07%2.003610837.461062.26
NIFTYFUTLong2/16/2012 11:14:595517.55-0.55%1.993911062.261001.45
NIFTYFUTLong2/17/2012 14:29:595585.951.05%1.9901311001.451116.78
NIFTYFUTLong2/21/2012 14:14:595604.35-0.03%1.9829311116.781113.01
NIFTYFUTLong2/22/2012 10:29:595611-0.18%1.9770311113.011093.14
NIFTYFUTLong2/22/2012 14:44:595537.5-1.34%1.9764911093.14944.8
NIFTYFUTLong2/23/2012 15:29:595487-0.52%1.9842610944.8887.66
NIFTYFUTLong (max loss)2/24/2012 14:14:595469.31-1.5%1.9608210887.66724.34
NIFTYFUTLong2/29/2012 11:29:595468.51.55%1.991610724.34891.04
NIFTYFUTLong3/1/2012 12:29:595367.9-0.45%2.0198110891.04842.16
NIFTYFUTLong3/2/2012 13:29:595387.85-0.22%2.0078310842.16817.87
NIFTYFUTLong3/5/2012 9:44:595344.8-0.91%2.0056710817.87719.89
NIFTYFUTLong3/6/2012 13:59:595298.65-0.97%2.0034910719.89615.81
NIFTYFUTLong3/9/2012 11:59:595337.151.52%2.0193710615.81777.66
NIFTYFUTLong3/12/2012 11:59:5953600%2.0107410777.66777.56
NIFTYFUTLong3/13/2012 12:14:5954531.17%1.9995510777.56903.53
NIFTYFUTLong3/16/2012 12:14:595426.1-0.84%1.9925710903.53811.87

Key Notes about the trade & Backtest
1)Trade will be initiated only for long signals (Buy Signals)
2)Position will be closed for Sell Signals
3)Position is initiated/closed based on the next bar open occuring after the Buy/Sell Signal
4)2% Stop loss is added. If the stop loss hits then Position will be forecefully closed without waiting for sell signal.
5)If the stop loss is hits then next long is initiated on the next buy signal.

Hope this could give an idea how SDA2 Trend Trading System ver2 works

Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in)

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6 Replies to “SDA2 Trend Trading Ver2 – Backtesting Results for Nifty…”

  1. Thanks Rajandran for this modifed indicator….it did give better results than SDA V1 and Nick’s MA…

    1. @Yashodhan : Thanks for backtesting and comparing between the trading systems. And Nick’s MA is a worst trading system which gives breakout signals when trend had run up heavily. It gives signals very late.

  2. Dear Mr.Rajandran,

    Is it not advisable to take the short signals??? I guess if we dont take the short trades then we may have to sit out big moves…..

    Regards,

    Abhinay

    1. @Abhinay : Still now SDA2 trend trading system is optimized only for Long signals. For short the current performance is poor and let you in loss most of the time…. though it catches good downtrends. Yes its advisable only to go longs with SDA2 ver 2

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