automated trading algorithm
TRANSCRIPT
Total Ratio Avg Time Extrapolated MaximumLot Net Maximum Sharpe No. of Strike Average Avg Win/ In Market Profit Time To
Instrument Size Multiplier Profit Drawdown Ratio Trades Rate Trade Avg Loss (Days) Per Month RecoverACC 250 25 7,322,188 (473,125) 0.77 49 51% 149,432 3.99 12.02 277,424 130ADANIENT 2000 10 8,252,000 (794,000) 0.50 100 36% 82,520 4.14 6.04 316,586 181ADANIPORTS 2000 10 654,000 (550,000) 0.17 44 45% 14,864 1.71 6.47 25,838 379ADANIPOWER 8000 10 5,372,000 (676,000) 0.42 41 39% 131,024 4.13 12.23 211,414 146ALBK 4000 10 7,830,000 (698,000) 0.50 93 41% 84,194 3.74 6.14 296,665 108AMBUJACEM 2000 25 4,390,000 (1,907,500) 0.29 45 42% 97,556 2.48 10.25 173,890 283ANDHRABANK 4000 10 4,236,000 (242,000) 0.37 33 39% 128,364 8.36 13.17 174,828 127APOLLOHOSP 250 10 297,375 (119,500) 0.38 14 50% 21,241 2.39 4.79 78,869 63APOLLOTYRE 4000 10 4,866,000 (662,000) 0.32 54 39% 90,111 5.52 10.37 186,215 231ARVIND 4000 10 3,684,000 (580,000) 0.29 38 45% 96,947 3.41 12.42 143,685 181ASHOKLEY 15000 10 4,125,000 (577,500) 0.46 37 46% 111,486 4.20 12.36 161,713 114AUROPHARMA 2000 10 3,814,000 (1,373,000) 0.33 70 41% 54,486 2.66 7.72 145,956 72AXISBANK 250 50 19,731,875 (2,349,375) 0.63 83 46% 237,733 3.06 7.22 774,546 192BAJAJ_AUTO 125 25 2,152,969 (1,030,938) 0.25 77 39% 27,961 2.24 7.81 82,911 186BANKBARODA 500 50 16,958,750 (1,553,750) 0.45 19 68% 892,566 2.87 20.52 718,391 146BANKINDIA 2000 10 7,548,000 (1,181,000) 0.40 25 48% 301,920 4.90 20 286,692 187BATAINDIA 250 10 1,100,625 (628,000) 0.18 47 43% 23,418 2.38 12.28 43,996 325BHARATFORG 1000 10 1,231,500 (481,000) 0.18 68 46% 18,110 1.94 8.49 46,776 136BHARTIARTL 1000 25 2,592,500 (1,161,250) 0.15 60 37% 43,208 2.44 8.98 98,716 164BHEL 2000 25 11,717,500 (1,050,000) 0.45 43 42% 272,500 3.88 11.03 445,616 231BIOCON 1000 10 409,500 (1,168,500) 0.06 86 40% 4,762 1.78 4.54 15,554 608BPCL 1000 25 5,210,000 (560,000) 0.38 33 48% 157,879 2.91 7.08 227,658 99CAIRN 1000 50 2,730,000 (2,095,000) 0.13 50 42% 54,600 1.88 8.94 105,000 283CANBK 1000 10 3,507,500 (682,000) 0.25 36 36% 97,431 3.88 15.74 139,295 175CENTURYTEX 1000 10 1,824,500 (485,500) 0.28 35 49% 52,129 2.08 12.73 73,510 115CESC 1000 10 2,073,500 (507,500) 0.32 31 52% 66,887 2.32 13.83 82,994 161
BACKTEST PERIOD: 01/01/2012 - 31/03/2014
CIPLA 500 25 1,675,000 (884,375) 0.24 41 37% 40,854 3.33 13.79 65,919 379COALINDIA 1000 25 3,406,250 (1,148,750) 0.30 86 40% 39,608 2.37 6.31 130,680 439COLPAL 250 10 2,017,375 (370,125) 0.34 115 37% 17,542 3.25 5.73 77,591 263CROMPGREAV 4000 10 3,878,000 (874,000) 0.33 60 40% 64,633 3.11 8.96 152,421 188DABUR 2000 10 928,000 (389,000) 0.23 65 43% 14,277 2.13 9.23 36,010 275DISHTV 8000 10 2,984,000 (460,000) 0.31 30 47% 99,467 3.12 10.62 119,282 246DIVISLAB 250 10 1,068,125 (459,250) 0.23 46 37% 23,220 3.28 12.85 40,876 350DLF 2000 25 7,837,500 (2,352,500) 0.29 90 38% 87,083 2.61 6.17 294,027 239DRREDDY 125 25 2,151,563 (1,023,125) 0.33 60 47% 35,859 2.03 8.53 82,234 255EXIDEIND 2000 10 1,233,000 (377,000) 0.35 32 44% 38,531 2.62 14.76 49,095 238FEDERALBNK 4000 10 8,666,000 (2,114,000) 0.06 32 41% 270,813 4.06 17.83 368,124 154GAIL 1000 25 4,145,000 (673,750) 0.39 43 51% 96,395 2.54 8.67 156,852 119GLENMARK 500 10 238,250 (88,750) 0.49 14 57% 17,018 1.90 7.82 62,643 27GMRINFRA 11000 10 3,052,500 (1,138,500) 0.28 45 44% 67,833 2.85 15.31 121,226 123GODREJIND 1000 10 1,296,000 (659,500) 0.21 68 35% 19,059 2.87 6.18 49,472 206GRASIM 125 25 7,273,125 (624,531) 0.39 56 41% 129,877 4.20 10.26 291,116 150HAVELLS 500 10 1,516,750 (623,500) 0.16 71 38% 21,363 2.46 7.72 60,236 192HCLTECH 250 25 3,088,125 (726,250) 0.43 101 44% 30,575 2.21 6.61 117,003 92HDFC 500 25 2,268,750 (965,625) 0.21 38 42% 59,704 2.45 11.48 88,374 260HDFCBANK 500 25 2,788,750 (826,875) 0.28 38 42% 73,388 2.80 15.1 111,477 101HDIL 8000 10 13,640,000 (1,820,000) 0.32 122 37% 111,803 3.72 4.95 527,275 271HEROMOTOCO 125 25 3,540,781 (817,656) 0.48 43 49% 82,344 3.06 10.21 134,154 223HEXAWARE 2000 10 2,168,000 (333,000) 0.35 50 48% 43,360 2.94 8.3 82,040 181HINDALCO 2000 50 9,400,000 (1,745,000) 0.38 25 60% 376,000 2.22 20.84 394,904 164HINDPETRO 2000 10 3,959,000 (1,227,000) 0.31 51 37% 77,627 3.44 10.96 157,226 181HINDUNILVR 500 25 2,833,750 (870,625) 0.28 46 39% 61,603 3.38 13.55 108,716 229HINDZINC 2000 10 443,000 (480,000) 0.09 34 32% 13,029 2.90 10.93 16,784 637IBREALEST 4000 10 2,044,000 (1,278,000) 0.19 36 44% 56,778 2.25 15.89 81,280 312ICICIBANK 250 25 3,311,875 (1,242,188) 0.24 64 34% 51,748 2.98 7.79 127,380 350IDBI 4000 10 3,730,000 (438,000) 0.43 29 52% 128,621 3.66 19.73 150,483 49
IDEA 2000 10 1,405,000 (380,000) 0.31 25 48% 56,200 2.87 20.21 55,870 152IDFC 4000 50 8,740,000 (5,530,000) 0.16 42 45% 208,095 1.80 9.24 345,298 218IFCI 10000 10 3,505,000 (1,300,000) 0.28 94 43% 37,287 2.50 6.26 132,633 182IGL 1000 10 1,408,500 (452,000) 0.14 61 46% 23,090 2.06 8.28 55,647 290INDIACEM 8000 10 6,080,000 (564,000) 0.29 40 48% 152,000 3.17 11.14 243,360 137INDUSINDBK 1000 25 5,777,500 (2,151,250) 0.28 47 40% 122,926 2.99 9.43 237,485 184INFY 125 25 5,482,344 (1,274,531) 0.31 63 38% 87,021 3.77 8.22 210,329 303IOB 8000 10 4,696,000 (684,000) 0.27 20 35% 234,800 8.78 19.48 209,398 154IOC 1000 10 2,008,000 (387,500) 0.37 84 49% 23,905 2.12 7.5 77,622 329IRB 4000 10 5,726,000 (1,312,000) 0.30 59 44% 97,051 2.76 6.95 224,477 117ITC 1000 25 5,022,500 (1,203,750) 0.51 67 40% 74,963 3.54 9.03 191,963 187JINDALSTEL 1000 50 14,117,500 (2,652,500) 0.31 37 41% 381,554 3.69 12.73 561,387 125JISLJALEQS 4000 10 2,688,000 (688,000) 0.40 78 42% 34,462 2.39 6.95 102,224 285JPASSOCIAT 8000 50 35,080,000 (4,620,000) 0.26 26 42% 1,349,231 4.00 20.41 1,441,968 65JPPOWER 13000 10 5,765,500 (903,500) 0.35 85 46% 67,829 2.72 7.1 228,671 154JSWENERGY 8000 10 4,452,000 (1,316,000) 0.30 55 42% 80,945 2.75 11.21 173,418 221JSWSTEEL 500 50 18,847,500 (1,501,250) 0.22 16 56% 1,177,969 3.61 22.35 867,042 149JUBLFOOD 250 10 1,718,750 (627,875) 0.32 117 37% 14,690 2.56 4.69 66,865 263KOTAKBANK 500 25 2,015,000 (1,083,750) 0.14 28 43% 71,964 2.15 13.72 84,304 277KTKBANK 4000 10 6,674,000 (582,000) 0.39 31 48% 215,290 4.68 17.74 278,083 148LICHSGFIN 2000 10 3,858,000 (484,000) 0.34 40 48% 96,450 2.84 11 147,455 112LT 500 25 12,085,000 (2,274,375) 0.35 47 40% 257,128 3.15 12.78 479,938 154LUPIN 250 25 2,166,563 (342,187) 0.34 45 42% 48,146 3.45 12.2 82,807 149M_M 250 25 1,341,250 (1,010,938) 0.23 68 41% 19,724 1.99 6.24 50,818 320M_MFIN 1000 10 918,000 (53,000) 0.59 8 50% 114,750 11.14 10.43 247,779 21MARUTI 250 50 20,611,250 (2,216,875) 0.48 72 46% 286,267 3.25 9.56 773,239 120MCDOWELL_N 125 50 16,582,188 (1,653,125) 0.48 38 58% 436,373 2.99 13.58 676,145 59MCLEODRUSS 1000 10 567,500 (296,500) 0.23 39 49% 14,551 1.53 4.92 22,596 182NHPC 12000 10 2,358,000 (270,000) 0.33 43 53% 54,837 3.23 13.47 91,384 226NMDC 2000 25 2,085,000 (1,087,500) 0.25 50 40% 41,700 2.46 4.82 79,890 542
NTPC 2000 25 1,905,000 (315,000) 0.32 30 40% 63,500 3.04 14.01 76,050 105OFSS 125 10 958,438 (549,938) 0.12 39 38% 24,575 2.45 13.86 37,003 356ONGC 1000 25 4,665,000 (1,027,500) 0.37 86 48% 54,244 2.25 4.98 176,748 339ORIENTBANK 2000 10 8,032,000 (543,000) 0.40 21 57% 382,476 5.54 27.31 329,712 47PETRONET 2000 10 1,269,000 (276,000) 0.35 39 51% 32,538 2.25 5.9 51,537 176PFC 2000 10 4,130,000 (508,000) 0.63 41 54% 100,732 2.88 13.5 169,764 85PNB 500 25 9,407,500 (1,045,625) 0.41 28 46% 335,982 3.86 18.49 386,176 109POWERGRID 4000 25 2,030,000 (780,000) 0.23 19 47% 106,842 3.34 10.88 77,201 428PTC 8000 10 1,664,000 (516,000) 0.13 9 44% 184,889 3.20 21.83 93,123 180RANBAXY 1000 25 9,946,250 (1,413,750) 0.30 77 39% 129,172 3.22 6.79 381,586 134RCOM 2000 50 16,020,000 (1,405,000) 0.36 80 44% 200,250 3.36 6.89 629,652 98RECLTD 2000 10 2,886,000 (335,000) 0.41 44 50% 65,591 2.38 7.53 119,596 120RELCAPITAL 1000 10 4,429,000 (343,000) 0.52 25 68% 177,160 2.62 17.39 220,366 129RELIANCE 250 25 1,640,313 (596,562) 0.24 54 46% 30,376 1.91 10.93 61,613 163RELINFRA 1000 10 4,625,000 (412,000) 0.47 38 45% 121,711 3.55 14.07 196,466 97RPOWER 4000 10 3,920,000 (408,000) 0.37 27 48% 145,185 4.44 20.33 168,158 217SAIL 8000 10 6,828,000 (572,000) 0.65 54 52% 126,444 3.20 10.83 274,379 113SBIN 125 50 9,820,000 (1,471,875) 0.32 32 50% 306,875 3.31 15.55 385,470 209SSLT 2000 25 5,865,000 (1,502,500) 0.25 42 43% 139,643 2.79 10.94 232,920 390SIEMENS 500 10 3,981,500 (435,500) 0.70 82 48% 48,555 3.04 7.46 155,887 84SRTRANSFIN 500 10 2,383,250 (487,250) 0.32 42 38% 56,744 3.94 14.34 95,143 176SUNPHARMA 500 25 3,561,250 (858,750) 0.28 32 47% 111,289 2.51 14.79 135,265 194SUNTV 1000 10 3,680,500 (754,000) 0.35 96 46% 38,339 2.28 6.16 139,795 114SYNDIBANK 4000 10 4,512,000 (834,000) 0.31 35 40% 128,914 4.29 14.39 179,188 81TATACHEM 1000 10 386,000 (202,500) 0.15 18 44% 21,444 2.66 5.55 19,174 300TATACOMM 2000 10 3,976,000 (467,000) 0.38 62 47% 64,129 3.05 7.21 151,585 124TATAGLOBAL 2000 10 1,640,000 (550,000) 0.20 42 40% 39,048 3.02 13.42 63,236 182TATAMOTORS 1000 50 7,225,000 (1,712,500) 0.32 59 42% 122,458 2.37 7.44 287,304 133TATAPOWER 4000 25 1,750,000 (880,000) 0.12 26 50% 67,308 1.51 15.41 70,323 156TATASTEEL 1000 50 19,507,500 (3,230,000) 0.46 67 46% 291,157 2.64 8.59 752,186 149
TCS 125 25 2,455,469 (372,969) 0.34 55 49% 44,645 2.51 6.04 91,555 188TECHM 250 10 1,294,750 (492,375) 0.31 45 42% 28,772 2.55 14.51 49,548 98TITAN 1000 10 1,130,000 (133,500) 0.31 19 58% 59,474 2.30 15.16 50,684 114UBL 250 10 157,375 (121,125) 0.32 16 63% 9,836 1.10 4.23 38,095 94UCOBANK 4000 10 3,460,000 (222,000) 0.35 49 43% 70,612 3.95 7.22 131,093 125ULTRACEMCO 125 25 2,951,406 (1,610,156) 0.24 61 39% 48,384 2.60 10.78 113,803 318UNIONBANK 2000 10 3,998,000 (1,015,000) 0.33 38 45% 105,211 3.66 12.92 158,775 174UNIPHOS 2000 10 1,936,000 (409,000) 0.32 27 52% 71,704 2.86 21.95 76,885 108UNITECH 12000 10 3,198,000 (738,000) 0.30 88 43% 36,341 2.24 6.86 122,691 233VOLTAS 4000 10 2,144,000 (890,000) 0.20 38 42% 56,421 2.25 14.38 86,842 293WIPRO 500 25 1,832,500 (420,625) 0.25 28 46% 65,446 3.04 8.86 70,928 206YESBANK 1000 50 22,080,000 (2,397,500) 0.47 81 44% 272,593 2.88 6.29 860,077 133ZEEL 1000 10 760,000 (155,500) 0.17 23 52% 33,043 1.87 18.57 30,182 133TOTAL 644,036,594 (122,929,719) 26,027,493AVERAGE 0.32 49 45% 3.08 195
MONTHSMONTHLY
NET PROFITMAXIMUM
DRAWDOWNJAN'12 (2,289,500) (4,089,969)FEB'12 22,130,281 (10,580,031)MAR'12 (9,658,094) (28,472,594)APR'12 5,487,594 (21,559,313)MAY'12 39,940,250 (18,965,281)JUN'12 5,267,000 (17,527,688)JUL'12 19,962,438 (14,289,344)AUG'12 14,561,438 (17,398,031)SEP'12 28,805,563 (7,957,281)OCT'12 59,381,750 (13,614,031)NOV'12 617,906 (22,207,375)DEC'12 26,424,688 (15,971,938)JAN'13 15,686,469 (23,876,625)FEB'13 17,120,063 (13,921,281)MAR'13 30,076,219 (16,332,094)
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
70,000,000
MONTHLY NET PROFIT
MAXIMUM DRAWDOWNMAR'13 30,076,219 (16,332,094)APR'13 26,988,094 (12,771,219)MAY'13 30,497,625 (25,343,906)JUN'13 18,660,531 (14,616,156)JUL'13 28,639,063 (19,777,781)AUG'13 64,342,719 (20,402,781)SEP'13 59,943,125 (19,436,188)OCT'13 7,713,156 (21,058,094)NOV'13 19,809,188 (16,670,375)DEC'13 20,532,625 (12,865,531)JAN'14 3,890,531 (21,774,156)FEB'14 31,103,188 (13,340,906)MAR'14 61,015,188 (22,303,156) (30,000,000)
(20,000,000)
(10,000,000)
0
10,000,000
JAN
'12
FEB'
12M
AR'1
2AP
R'12
MAY
'12
JUN
'12
JUL'
12AU
G'12
SEP'
12O
CT'1
2N
OV'
12DE
C'12
JAN
'13
FEB'
13M
AR'1
3AP
R'13
MAY
'13
JUN
'13
JUL'
13AU
G'13
SEP'
13O
CT'1
3N
OV'
13DE
C'13
JAN
'14
FEB'
14M
AR'1
4
Amount (Rupees)Margins:NIFTY –
LIX15 (15x50x1L) 7,50,00,000Non-LIX15 (35x25x1L) 8,75,00,000
Non-NIFTY (79x10x1L) 7,90,00,000Total Margin 24,15,00,000Maximum Monthly Drawdown 3,00,00,000Total Investment 27,15,00,000
Extrapolated Profit Per Month 2,50,00,000
Actual Profit for Entire Period 64,00,00,000(Jan’12-Mar’14) = 27 Months
Amount (Rupees)Margins:NIFTY –
LIX15 (15x50x1L) 7,50,00,000Non-LIX15 (35x25x1L) 8,75,00,000
Non-NIFTY (79x10x1L) 7,90,00,000Total Margin 24,15,00,000Maximum Monthly Drawdown 3,00,00,000Total Investment 27,15,00,000
Extrapolated Profit Per Month 2,50,00,000
Actual Profit for Entire Period 64,00,00,000(Jan’12-Mar’14) = 27 Months
Amount (Rupees)Margins:NIFTY –
LIX15 (15x50x1L) 7,50,00,000Non-LIX15 (35x25x1L) 8,75,00,000
Non-NIFTY (79x10x1L) 7,90,00,000Total Margin 24,15,00,000Maximum Monthly Drawdown 3,00,00,000Total Investment 27,15,00,000
Extrapolated Profit Per Month 2,50,00,000
Actual Profit for Entire Period 64,00,00,000(Jan’12-Mar’14) = 27 Months
Commissions Slippages Rollover Costs
Commissions Slippages Rollover Costs
