System Testing Trend Defining Line

I did a simple system trade on the trend defining line (TDL from now onwards) as described here.

The idea was to buy and sell on cross up or down.
Brief summary:

Time frame: Daily for last 15 years on Nifty spot.

Buy Condition: Close above the TDL.
Sell Condition: Close below TDL

Short Condition: Close below TDL
Profit Book Condition:  Close above the TDL.

Commissions: 0.10% of trade.
Trade Entry: Buy/Sell on next open bar i.e. if signal is generated before todays close then buy/sell tommorrow open. This is to have a realistic results and avoids preempting the signal.

As can be seen these are very simple rules to trade.

Output
 
3945 Daily Bars 23/01/1995 Through 30/11/2010 (5790 Days)

 

Performance
Profit	5681.2447 Pts
Performance	N/A
Annualized Performance	N/A
Buy & Hold Profit	4819.6582 Pts
Buy & Hold Performance	N/A
Buy & Hold Annualized Performance	N/A

Trade Summary
Total Trades				335
Profitable Trades
Total			115
Long			64
Short			51
Average Profit			147.2962 Pts
Unprofitable Trades
Total		220
Long		103
Short		117
Average Loss		-51.1719 Pts
Accounting
Initial Equity	0.0000 Pts
Trade Profit	16939.0650 Pts
Trade Loss	-11257.8203 Pts
Commissions	784.7109 Pts
Interest Credited	0.0000 Pts
Interest Charged	0.0000 Pts
Final Equity	5681.2447 Pts

Drawdown
Highest Account Balance	5791.9947 Pts
Lowest Account Balance	-278.9460 Pts

Profit Factor: 1.5

Equity chart:

Result:

The system outperforms Nifty buy and hold by 25% over the last 15 years without much efforts.

There could be some minor variation in the results when we use Nifty futures instead of spot. 

I will dissect the trading system in later posts.