This post in about analysing the price change of Nifty Futures foryear 2010 in a different prespective.
I am condisering the available parameters like the OHLC and Volume only. In the next few series I will discuss in detail in next few days to arrive at some trading strategies.
Let me present you with the graph I am gonna discuss.
The Red line is the Nifty chart while the Series 1 and series 2 are built by customizing the data.
The series 1 is the most important among all of the other studies here I gonna present. Why so? Well look at the divergence at important turning points like the Jan Feb sell off then during the May sell and most importantly the big divergence before the sell off in Nov.
The series 2 looks more smooth to trade thenany of the above. True?
Yes, the bell curve of all the series indicates this. See the bell curve of all the series. Special Thanks to Barath who helped me put the numbers into nice curves. (If you need his help let me know)
As you can see both Nifty and Series 1 has fatter tails. Technical term is Kurtosis
This shows more consistency can be there in trading this series rather than Nifty and series 2. (Though some more statistical tests can be done before concluding that.)
The total return of Series 2 are quite similar to Nifty while having lesser volatility. Even the net drawdown is better than Nifty itself.
Que to answer: How the results would be if one trade long/short the series 2 instead of Nifty?
I am condisering the available parameters like the OHLC and Volume only. In the next few series I will discuss in detail in next few days to arrive at some trading strategies.
Let me present you with the graph I am gonna discuss.
The Red line is the Nifty chart while the Series 1 and series 2 are built by customizing the data.
The series 1 is the most important among all of the other studies here I gonna present. Why so? Well look at the divergence at important turning points like the Jan Feb sell off then during the May sell and most importantly the big divergence before the sell off in Nov.
The series 2 looks more smooth to trade thenany of the above. True?
Yes, the bell curve of all the series indicates this. See the bell curve of all the series. Special Thanks to Barath who helped me put the numbers into nice curves. (If you need his help let me know)
As you can see both Nifty and Series 1 has fatter tails. Technical term is Kurtosis
This shows more consistency can be there in trading this series rather than Nifty and series 2. (Though some more statistical tests can be done before concluding that.)
The total return of Series 2 are quite similar to Nifty while having lesser volatility. Even the net drawdown is better than Nifty itself.
Que to answer: How the results would be if one trade long/short the series 2 instead of Nifty?
Details Awaited...This can actually help reduce volatility in one's portfolio keeping the rewards levels same or more.
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