Lintra V3.2

Description

Lintra V3 – is a linear regression-based trend following an intraday trading system to trade in Bank Nifty (Futures and Options Trades). It is a simple volatility-based breakout trading system to take advantage of intraday price action moves.

Trading System Type : Intraday
Supported Software: Amibroker (32-Bit) – 6.0+ or higher version

 

The primary objective of the Lintra V3 trend following system is to capture the intraday trends and bring profitable returns and reduce the risk with dynamic stoploss and target from the Lintra v3 band itself thereby maximizing the overall gain of the portfolio.

 

What is a Trend Following System?

According to Wikipedia, Trend following or trend trading is a trading strategy in which one should buy an asset when its price trend goes up, and sell when its trend goes down, expecting price movements to continue.

Traders who employ a trend-following strategy do not aim to forecast or predict specific price levels; they simply jump on the trend (when they perceived that a trend has been established with their own peculiar reasons or rules) and ride it.

Parameter Settings

Backtesting Performance

In order to test the system parameters following parameters are used

Parameters	Value
Trading Instrument	Bank Nifty Futures
Backtesting Timeframe	5min timeframe (Continous Data)
Backtest Length	Jan 2011 – May 2022
Strategy Type	Volatility-based Trend Following
Position Size	1 Lot
Slippage + Commissions	0.02%
Trading Capital	RS 2,00,000
Current Trading Margin as of 6th Aug 2021	Rs 1,50,432/Lot or 15.48% NRML Margin
Execution Type	Market Order
Dynamic Stoploss	0.25 times of ATR
Dynamic Target	2.00 times of ATR
Signals in Futures and Execution in Options	Yes Possible
Which Option Strike to Select	4 Strike ITM (Ensure Sufficient Liquidity is available)

Rough Theoretical Brokerage Charges involved in a typical Buy and Sell Transaction with Bank Nifty at 35,000 levels

Parameters	Value
Total Turnover	Rs 1750000 (Buy Side + Sell Side)
Brokerage	Rs 40
STT total	Rs 88
Exchange txn charge	Rs 35
Clearing charge	RS 0
GST	Rs 13.5
SEBI charges	Rs 1.75
Stamp duty	RS 17.45
Total Charges	Rs 195.75 (0.011%)
Points to breakeven	7.83 points

Backtesting Results

Download LintraV3 Backtesting – Complete Report

Key Backtesting Performance Metrics

Key Performance Metrics	Value
Sharp Ratio	1.42
Max System Drawdown	1.24L/lot (unhedged risk)
Calmar Ratio (CAR/MDD)	1.23
Recovery Factor	8.87
Profit Factor	1.17
Payoff Ratio	1.78
Risk-Reward Ratio	1.06

Trading Parameters

Parameters	Values
Channel Length	120

 

Equity Curve

Profit Table (Absolute Value in Thousands)