Pivot Trading Backtest Results

Pivot Trading Backtest Results

Pivot Trading Backtest Results – We have explained the Pivot Trading Strategy here. Amibroker AFL for the same can be downloaded from here. In this post we will look at detailed backtesting results for the Pivot Trading Strategy on CNX Nifty.

Initial Account Equity: Rs. 30,00,000.00
Trading Vehicle: Index
Round-turn slippage per contract: Rs. 5.00
Round-turn commissions and fees per contract: Rs. 40.00

Position Sizing Method: Constant Value
Pos Value: Rs. 30,00,000.00
Number of Monte Carlo Samples: 500.00

Pivot Trading Backtest Results – Equity Curve

Equity Curve chart is posted below. Equity curve is measured through K ratio. K-ratio is focused on consistency of returns over time and could be applied to any time frame of backtested data. The K-ratio provides higher values for systems that produces higher consistent returns with less deviation from a least-squares regression line of the equity curve. Any system which has K-ratio of 0.1 to 0.2 is regarded as very good. K ratio below 0.1 signifies less consistent returns and more drawdowns. K ratio of this system is 0.12.

Pivot Trading Backtest Results - Equity Curve

Pivot Trading Backtest Results – Equity Curve

Pivot Trading Backtest Results – Monte Carlo Simulations

MONTE CARLO RESULTS AT 95.00% CONFIDENCE

Total Net Profit: Rs. 1,10,64,156.00

Max Number of Contracts: 36.00

Final Account Equity: Rs. 1,40,64,156.00

Minimum Number of Contracts: 4.00

Return on Starting Equity: 368.8%

Average Number of Contracts: 17.00

Profit Factor: 1.849

Largest Winning Trade: Rs. 6,02,280.00

Largest Losing Trade: Rs. -2,17,700.00

Largest Winning Trade (%): 8.871%

Largest Losing Trade (%): -6.980%

Average Winning Trade: Rs. 1,01,215.32

Average Losing Trade: Rs. -48,241.07

Average Winning Trade (%): 1.315%

Average Losing Trade (%): -0.8548%

Average Trade: Rs. 21,779.83

Win/Loss Ratio: 2.098

Average Trade (%): 0.3157%

Win/Loss Ratio (%/%): 1.943

Trade Standard Deviation: Rs. 1,05,568.15

Max Consecutive Wins: 6.00

Trade Standard Deviation (%): 1.981%

Max Consecutive Losses: 13.00

Worst Case Drawdown: Rs. -12,19,326.00

Return/Drawdown Ratio: 15.97

Worst Case Drawdown (%): 23.09%

Modified Sharpe Ratio: 0.1634

Average Drawdown: Rs. -1,69,344.60

Average Drawdown (%): 2.492%

Probability of Account Erosion over 100 Trades:

Probability that account equity will be 10.00% lower after 100 trades: 0.2000%

Probability that account equity will be 10.00% higher after 100 trades: 97.40%

Pivot Trading Backtest Results - Monte Carlo at 95 Per Cent Confidence Interval

Pivot Trading Backtest Results – Monte Carlo at 95 Per Cent Confidence Interval

Pivot Trading Backtest Results – Summary

This is a very stable system which will deliver consistent returns over a period of time. The testing parameters we have used are very stringent. Monte Carlo analysis has been conducted at 95% confidence interval. In trading systems testing, 90% confidence interval suffices. The key to this system is low drawdowns despite being traded in the worst bear markets. At 95% confidence, the rate of return does not diminish though drawdown does increase. The return to drawdown ratio stands at 16% even at 95% confidence interval. Profit factor remains stable between 1.5 and 2 throughout the testing period. Win/Loss ratio also ensures that trader will continue to make money on this system over a period of time. Based on Monte Carlo analysis, Probability that account equity will be 10.00% higher after 100 trades is 97.40% whereas Probability that account equity will be 10.00% lower after 100 trades is just 0.2000%

Discussion

Leave a Reply