{"id":2096133,"date":"2019-01-03T11:45:54","date_gmt":"2019-01-03T06:15:54","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2096133"},"modified":"2019-01-03T11:45:54","modified_gmt":"2019-01-03T06:15:54","slug":"streaks-part-ii-backtest","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2019\/01\/03\/streaks-part-ii-backtest\/","title":{"rendered":"Streaks, Part II \u2013 Backtest"},"content":{"rendered":"<p>In <a href=\"https:\/\/stockviz.biz\/index.php\/2019\/01\/02\/streaks-part-i\/\">Part I<\/a> of this series, we saw that it is very rare for two consecutive down months to be followed by a third one. Here, we present a simple backtest that goes long NIFTY 50 for a month if the previous two months were negative.<\/p>\n<p><a href=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/technical\/streaks\/NIFTY50.streak.cumulative.2005-.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/technical\/streaks\/NIFTY50.streak.cumulative.2005-.png\" width=\"1400\" height=\"800\" alt=\"backtest cumulative returns\" class=\"alignnone size-full\" \/><\/a><\/p>\n<p>The shallow drawdowns of this strategy makes it ideal for leveraged trades. NIFTY futures are about 7x levered. That should transform the 190% gross return to about 1330%, beating buy and hold by a wide margin. The MIDCAP 100 index behaves similar to this between the 2005 through 2018 time-frame. However, the results are not so great if you include data prior to 2005.<\/p>\n<p>This looks like a case of severe data-mining and should be discounted as such. But it is an interesting result nevertheless.<\/p>\n<p>Code and charts are on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/technical\/streaks\" rel=\"noopener\" target=\"_blank\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>In Part I of this series, we saw that it is very rare for two consecutive down months to be followed by a third one. Here, we present a simple backtest that goes long NIFTY 50 for a month if the previous two months were negative. The shallow drawdowns of this strategy makes it ideal &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2057581,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,2761],"class_list":["post-2096133","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2096133","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2096133"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2096133\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2057581"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2096133"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2096133"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2096133"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}