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?
If you are looking for backtesting or for an algo-trading system, contact us on firstname.lastname@example.org