Concept :

This strategy aims to capture the trend. It is deemed that a possible trend emerges when price goes past a pre-determined boundary. The predetermined boundary is a function of previous day close, average daily range and a standard normal distribution Z score.

Conditions :

Buy when price crosses the upper boundary.
Exit when price falls below the upper boundary or at close of the day.

Short when price crosses down the lower boundary.
Exit when price moves above the lower boundary or at close of the day.

Position Size :

A capital of 125,000 is selected. (Margin for 1 lot of Bank Nifty Futures is Indian Rupees 125,000). Please assume the currency as Indian Rupees instead of USD as there is no option to select Indian Rupees as Currency.

In real market, the margin required for 1 lot of Bank Nifty futures trading is around INR 125,000 which is why initial capital of INR 125,000 is chosen.

1 lot trade is considered. No compounding is assumed as evident from the results where all trades are of 1 lot only.

Commission of 0.05% (approx Rs 312.5, if the index is 25000) is used, which is very conservative compared to the usual commission of Rs 20 per order charged by leading retail brokers in India.

Disclaimer :

Past results are not reflective of future. The author is not responsible for any loss on account of anyone trading this strategy.

Release Notes: Definition of Trend slightly modified.
Trend is a function of previous few days range and previous day's opening price and a multiplier.

Trading is my passion.
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