What is Lintra V3?
Lintra V3 – is a linear regression-based trend following an intraday trading system to trade in Bank Nifty (Futures and Options Trades). It is a simple volatility-based breakout trading system to take advantage of intraday price action moves.
The primary objective of the Lintra V3 trend following system is to capture the intraday trends and bringing consistency in return and reduce the risk with fixed percentage stop loss and optimal stop loss from the Lintra v3 band itself thereby maximizing the overall gain of the portfolio.
What is a Trend Following System?
According to Wikipedia, Trend following or trend trading is a trading strategy according to which one should buy an asset when its price trend goes up, and sell when its trend goes down, expecting price movements to continue.
Traders who employ a trend-following strategy do not aim to forecast or predict specific price levels; they simply jump on the trend (when they perceived that a trend has been established with their own peculiar reasons or rules) and ride it.
Backtesting Performance
In order to test the system parameters following parameters are used
| Parameters | Value |
| Trading Instrument | Bank Nifty Futures |
| Backtesting Timeframe | 5min timeframe (Continous Data) |
| Backtest Length | Jan 2011 – Jul 2021 |
| Strategy Type | Volatility based Trend Following |
| Position Size | 2 Lakhs (Max Position Value) |
| Slippage + Commissions | 0.02% |
| Trading Capital | RS 4,00,000 |
| Current Trading Margin as of 6th Aug 2021 | Rs 1,64,432/Lot or 18.23% NRML Margin |
| Preferred Execution Type | Entry Limit Order and Exit Market Order |
| Fixed Stoploss | 1.5% |
| Fixed Target | 5.0% |
| Signals in Futures and Execution in Options | Yes Possible |
| Which Option Strike to Select | 4 Strike ITM (Ensure Sufficient Liquidity is available) |
Rough Theoretical Brokerage Charges involved in a typical Buy and Sell Transaction with Bank Nifty at 35,000 levels
| Parameters | Value |
| Total Turnover | Rs 1750000 (Buy Side + Sell Side) |
| Brokerage | Rs 40 |
| STT total | Rs 88 |
| Exchange txn charge | Rs 35 |
| Clearing charge | RS 0 |
| GST | Rs 13.5 |
| SEBI charges | Rs 1.75 |
| Stamp duty | RS 17.45 |
| Total Charges | Rs 195.75 (0.011%) |
| Points to breakeven | 7.83 points |
Backtesting Results
Key Backtesting Performance Metrics
| Key Performance Metrics | Value |
| Sharp Ratio | 1.08 |
| Max System Drawdown | 1.74L/lot (unhedged risk) |
| Calmar Ratio (CAR/MDD) | 0.79 |
| Recovery Factor | 10.90 |
| Profit Factor | 1.16 |
| Payoff Ratio | 1.53 |
| Risk-Reward Ratio | 0.62 |
Trading Parameters
| Parameters | Values |
| Channel Length | 110 |
Equity Curve
Drawdown Curve (Absolute Drawdown in rupee terms)
Profit Table (Absolute PNL)
