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CodeName: Hector

May 31, 2009

Hector is a Mean Reversion based intraday NIFTY system. Its time frame is mostly 5minutes/10 minutes with each trade lasting anywhere from 45 minutes to 75 minutes. The backtest is done on 5 minutely since October 2006 to the last trading session of May 2009.

Equity Curve of Hector

Equity Curve of Hector

The deepest drawdown is around 28% which happened in October 2007.It certainly is profitable, but will you trade it? There is no clear set answer to this, and it will depend from person to person.

[Edit: The green line is the actual equity curve of HECTOR, the blue line is the buy and hold index of NIFTY, basically how the NIFTY has faired overall and the red area is the drawdown from the peak]

I leave, my dear readers, the question open to you.

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4 Comments leave one →
  1. nascentmind permalink
    June 1, 2009 2:17 pm

    Hi,

    I have been following your blog for some time and although some of it is really advanced I have some questions

    1) Is the modelling done using offline data or data streamed from a live system in real time?
    2) What software are you using to model?

    Thanks.

  2. June 1, 2009 2:54 pm

    Hi Nascent, thanks, but I would be happy and obliged to explain if you have any questions. I might be using scientific terms, but trust me its not as ‘advanced’ as you think.

    a. Offline Data. Basically its historical data, backtested on NIFTY 5 minute data. This is not the first step out put actually. The first step output has less CAR[compounded annual return] and more Drawdowns. I had to optimise it, and run on some blind price series, most notably, Copper, USDEUR, Crude and DJIA.[This was to confirm I am not fitting the data]

    b. Amibroker

  3. Prashanth permalink
    June 26, 2009 1:17 pm

    Maybe a bit late, but have you done a OOS test? How vastly does it differ from above backtest. Also, what were the settings (Delay, Charges, etc).

    Thanks

    Prashanth

  4. June 26, 2009 1:29 pm

    Very good question, Prashanth,
    As mentioned in the previous comment, yes I have undertaken OOS tests, in other markets[same tf] as well as, in NIFTY itself with recent OOS data.

    The results match.

    More importantly the delay set is 1. The commissions are standard 3bps of trade value.

    Hope, I answered your question

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