• arque algo trader

Nifty Backtested results- King Keltner Strategy

Updated: May 30

A few weeks ago, we shared with you the King Keltner Strategy for catching market trend. (You can re-look at it here.)

To test the robustness of this strategy, we applied it to Nifty and backtested it for the year 2019.

The trade set up was as follows:

Enter Long when: Today's movAvg is greater than yesterday's

AND Close >= upBand

Enter Short when: Today's movAvg is less than yesterday's

AND Close <= dnBand

Exit Long when: Close <= liquidPoint

Exit Short when: Close >= liquidPoint

movAvg = Average(((High + Low + Close)/3),40)

upBand = movAvg + Average(TrueRange,40)

dnBand = movAvg – Average(TrueRange,40)

liquidPoint = Average(((High + Low + Close)/3),40)

Below is the signal generation chart:

Results of the strategy are:

While the drawdown graph looks like:

Overall, the trading outcome is quite positive.

What do you think will happen if we add a profit target or a stop loss to this strategy?

View more strategy backtested results here

View trading strategy ideas here

View use cases here

If you are looking for backtesting or for an algo-trading system, contact us on algo@arque.tech