I have mentioned earlier about backtesting. We try to chart out the price movement of a share for the past one or two months and then look at the various strategies that could have been adopted to make profits with the movement of the prices.
This is another opportunity I found to give me good returns if I had just kept following the strategy given below:
1. Place a buy order at open price + 40 points. If this condition is not satisfied then no trade is executed.
2. Place a sell order at Buy Price + 20. If not able to sell then at the close of trading it should be squared up.
For an example:
I have given the share prices of BHEL on the NSE, India from the month of August, 2008 with the trend and when to take the buy decision. The futures trading lot is 75 shares. The average margin for this comes to about Rs.25000/- for one lot.You can observe from the following information that the returns for the month are about 25% of the margin money invested for two months.
| Date |
Exp Date |
Open |
High |
Low |
Close |
|
Buy at |
Sell at |
Buy Signal
|
Profit
|
Loss
|
| 05-Aug-08 |
28-Aug-08 |
1724.40 |
1792.00 |
1713.40 |
1783.90 |
|
1764.40 |
1784.40 |
Buy
|
3000
|
|
| 06-Aug-08 |
28-Aug-08 |
1820.00 |
1880.00 |
1797.30 |
1829.15 |
|
1860.00 |
1880.00
|
Buy
|
3000
|
|
| 07-Aug-08 |
28-Aug-08 |
1821.00 |
1835.00 |
1766.00 |
1781.80 |
|
1861.00 |
1881.00 |
|
|
|
| 08-Aug-08 |
28-Aug-08 |
1768.25 |
1808.90 |
1730.35 |
1794.65 |
|
1808.25 |
1794.65 |
Buy
|
|
-2040.00
|
| 11-Aug-08 |
28-Aug-08 |
1832.00 |
1845.00 |
1812.60 |
1839.50 |
|
1872.00 |
1892.00 |
|
|
|
| 12-Aug-08 |
28-Aug-08 |
1858.85 |
1858.85 |
1780.00 |
1812.70 |
|
1898.85 |
1918.85 |
|
|
|
| 13-Aug-08 |
28-Aug-08 |
1797.45 |
1829.80 |
1786.60 |
1800.55 |
|
1837.45 |
1857.45 |
|
|
|
| 14-Aug-08 |
28-Aug-08 |
1790.00 |
1794.00 |
1709.35 |
1718.95 |
|
1830.00 |
1850.00 |
|
|
|
| 18-Aug-08 |
28-Aug-08 |
1714.00 |
1752.85 |
1691.35 |
1704.45 |
|
1754.00 |
1774.00 |
|
|
|
| 19-Aug-08 |
28-Aug-08 |
1690.00 |
1709.00 |
1656.35 |
1692.55 |
|
1730.00 |
1750.00 |
|
|
|
| 20-Aug-08 |
28-Aug-08 |
1725.00 |
1754.50 |
1707.00 |
1745.55 |
|
1765.00 |
1785.00 |
|
|
|
| 21-Aug-08 |
28-Aug-08 |
1730.95 |
1736.50 |
1658.10 |
1672.60 |
|
1770.95 |
1790.95 |
|
|
|
| 22-Aug-08 |
28-Aug-08 |
1653.00 |
1730.00 |
1630.60 |
1720.35 |
|
1693.00 |
1713.00 |
Buy
|
3000
|
|
| 25-Aug-08 |
28-Aug-08 |
1740.00 |
1758.00 |
1683.00 |
1690.95 |
|
1780.00 |
1800.00 |
|
|
|
| 26-Aug-08 |
28-Aug-08 |
1675.55 |
1732.00 |
1671.15 |
1725.05 |
|
1715.55 |
1725.05 |
Buy
|
|
1425.00
|
| 27-Aug-08 |
28-Aug-08 |
1730.00 |
1738.70 |
1678.50 |
1683.65 |
|
1770.00 |
1790.00 |
|
|
|
| 28-Aug-08 |
28-Aug-08 |
1679.10 |
1690.80 |
1618.35 |
1631.85 |
|
1719.10 |
1739.10 |
|
|
|
| 01-Sep-08 |
25-Sep-08 |
1695.00 |
1737.95 |
1659.00 |
1731.35 |
|
1735.00 |
1731.35 |
Buy
|
|
-547.50
|
| 02-Sep-08 |
25-Sep-08 |
1734.90 |
1845.00 |
1713.00 |
1799.50 |
|
1774.90 |
1794.90 |
Buy
|
3000
|
|
| 04-Sep-08 |
25-Sep-08 |
1770.00 |
1820.00 |
1741.55 |
1773.65 |
|
1810.00 |
1773.65 |
Buy
|
|
-5452.50
|
| 05-Sep-08 |
25-Sep-08 |
1742.00 |
1779.00 |
1730.05 |
1746.40 |
|
1782.00 |
1802.00 |
|
|
|
| 08-Sep-08 |
25-Sep-08 |
1836.00 |
1907.00 |
1796.00 |
1805.05 |
|
1876.00 |
1896.00 |
Buy
|
3000
|
|
| 09-Sep-08 |
25-Sep-08 |
1795.00 |
1795.00 |
1743.35 |
1760.25 |
|
1835.00 |
1855.00 |
|
|
|
| 10-Sep-08 |
25-Sep-08 |
1747.60 |
1760.00 |
1701.50 |
1723.85 |
|
1787.60 |
1807.60 |
|
|
|
| 11-Sep-08 |
25-Sep-08 |
1695.00 |
1707.00 |
1664.60 |
1676.80 |
|
1735.00 |
1755.00 |
|
|
|
| 12-Sep-08 |
25-Sep-08 |
1695.00 |
1758.30 |
1675.65 |
1704.80 |
|
1735.00 |
1755.00 |
Buy
|
3000
|
|
| 15-Sep-08 |
25-Sep-08 |
1651.25 |
1661.25 |
1565.30 |
1631.30 |
|
1691.25 |
1711.25 |
|
|
|
| 16-Sep-08 |
25-Sep-08 |
1580.00 |
1670.00 |
1550.05 |
1657.50 |
|
1620.00 |
1640.00 |
Buy
|
3000
|
|
| 17-Sep-08 |
25-Sep-08 |
1657.00 |
1675.00 |
1591.20 |
1620.20 |
|
1697.00 |
1717.00 |
|
|
|
| 18-Sep-08 |
25-Sep-08 |
1555.00 |
1634.45 |
1506.85 |
1620.00 |
|
1595.00 |
1615.00 |
Buy
|
3000
|
|
| 19-Sep-08 |
25-Sep-08 |
1680.00 |
1732.00 |
1658.00 |
1720.95 |
|
1720.00 |
1720.95 |
Buy
|
|
142.50
|
| 22-Sep-08 |
25-Sep-08 |
1730.00 |
1744.00 |
1682.15 |
1691.60 |
|
1770.00 |
1790.00 |
|
|
|
| 23-Sep-08 |
25-Sep-08 |
1675.00 |
1685.00 |
1628.20 |
1635.35 |
|
1715.00 |
1735.00 |
|
|
|
| 24-Sep-08 |
25-Sep-08 |
1641.00 |
1686.00 |
1641.00 |
1669.10 |
|
1681.00 |
1669.10 |
Buy
|
|
-1785.00
|
| 25-Sep-08 |
25-Sep-08 |
1654.00 |
1665.00 |
1618.25 |
1638.60 |
|
1694.00 |
1714.00 |
|
|
|
| 26-Sep-08 |
29-Oct-08 |
1640.00 |
1640.00 |
1550.25 |
1562.35 |
|
1680.00 |
1700.00 |
|
|
|
| 29-Sep-08 |
29-Oct-08 |
1579.00 |
1599.00 |
1447.00 |
1523.00 |
|
1619.00 |
1639.00 |
|
|
|
| 30-Sep-08 |
29-Oct-08 |
1475.00 |
1632.65 |
1475.00 |
1594.65 |
|
1515.00 |
1535.00 |
Buy
|
3000
|
|
| 01-Oct-08 |
29-Oct-08 |
1611.00 |
1632.00 |
1549.00 |
1601.10 |
|
1651.00 |
1671.00 |
|
|
|
| 03-Oct-08 |
29-Oct-08 |
1590.00 |
1634.80 |
1565.05 |
1575.75 |
|
1630.00 |
1575.75 |
Buy
|
|
-8137.50
|
| 06-Oct-08 |
29-Oct-08 |
1536.05 |
1553.00 |
1442.35 |
1459.35 |
|
1576.05 |
1596.05 |
|
|
|
| 07-Oct-08 |
29-Oct-08 |
1498.70 |
1528.00 |
1451.05 |
1507.55 |
|
1538.70 |
1558.70 |
|
|
|
| 08-Oct-08 |
29-Oct-08 |
1468.00 |
1501.00 |
1396.35 |
1475.95 |
|
1508.00 |
1528.00 |
|
|
|
| 10-Oct-08 |
29-Oct-08 |
1371.35 |
1409.50 |
1291.50 |
1346.45 |
|
1411.35 |
1431.35 |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Total
|
|
30000
|
-16395.00
|
| |
|
|
|
|
|
|
|
|
|
|
|
| 
