The document discusses systematic trading and backtesting strategies. It defines systematic trading as a methodical way of making trading decisions using predefined rules to avoid emotional risks. Backtesting allows verifying trading strategies using historical data to optimize strategies and see how they would have performed in the past. The document outlines various backtesting metrics like win rate, risk-reward ratio, expectancy, Sharpe ratio, max drawdown, and CAGR to evaluate strategy performance. It aims to explain these concepts to help investors understand systematic trading.
Hyderabad Call Girls Service ☎ ️82500–77686 ☎️ Enjoy 24/7 Escort Service
Clg presentation.pptx
1. How to find best strategy for consistent
returns
Presented By
Puneet Tewani
CEO Fox Trading Solutions
2. Speaker Introduction
Mr Puneet Tewani is a Entrepreneur-cum-Trader, he has been
working with various proprietary desks managing funds of Rs 10cr.
He also is founder of Fox Trading Solutions, which speechless in algo
trading solutions.
He appears on CNBC Awaaz and has won Khiladi No. 1 four times in
a row
He has also authored a book on ‘Automation using Zerodha API’.
He has been recently featured in moneycontrol and has been a
speaker at various conferences.
Nearly 10 years of experience in Stock Market and 3 years of
experience in algo trading
Expertise in Areas of Derivatives.
Mr Puneet Tewani
3. What is
Systematic
Trading?
Systematic trading (also known
as mechanical trading) is a way of
defining trade goals, risk controls and
rules that can make trading and
investment decisions in a methodical
way.
4. Why Systematic
Trading?
• Systematic trading helps to avoid the risks
associated with human emotions.
• A fully or partially automated trading system
helps to take advantage of profitable
situations in the market since such a system
operates at a faster speed for recognizing
profitable situations and executing the trades.
• Ability to backtest a trading strategy.
• Helps to manage risk of complex portfolios
efficiently.
5. What is
Backtesting?
• Backtesting is the way of verification of your logic
using historical price information.
• This stage helps in understanding how well the
logic would have performed if the strategy was
used in the past. It also gives the opportunity to
optimise the logic and its parameters.
• The underlying theory is that any strategy that
worked well in the past is likely to work well in the
future, and conversely, any strategy that
performed poorly in the past is likely to perform
poorly in the future.
6. Backtesting
Metrics
• Win Rate
• Average Profit or Loss per Trade
• Risk Reward Ratio
• Expectancy
• Sharpe Ratio
• Sortino Ratio
• Max Drawdown
• Recovery Trades and Recovery Days
• Compounded Annual Growth Rate(CAGR)
• Calmar Ratio
8. BACKTESTING METRICS
1. Win Rate
2. Average Profit or Loss per trade
3. Risk Reward Ratio
4. Expectancy
5. Sharpe Ratio
6. Sortino Ratio
7. Max Drawdown
8. Recovery Trades and Recovery Days
9. Compounded Annual Growth Rate(CAGR)
10. Calmar Ratio
9. 1. WIN RATE
• Win Rate is the ratio of profitable trades to all trades.
• It tells you what percentage of total trades executed were
profitable.
• Win Rate = No. of profitable trades / No. of total trades
10. 2. AVERAGE PROFIT AND LOSS PER TRADE
• Average Profit is the arithmetic mean of the profits of all
trades that were profitable.
• Average Loss is the arithmetic mean of the losses of all
trades that were loss-making.
11. 3. RISK REWARD RATIO
• It is the ratio of average profit to average loss.
• Risk Reward Ratio = average profit per
trade/average loss per trade
12. 4. EXPECTANCY
• Expectancy shows how much money, on average, we
can expect to make or lose for every rupee we risk.
• Expectancy = (Win Rate x Average Profit) – (Loss
Rate x Average Loss)
13. 5. SHARPE RATIO
• The Sharpe ratio is the average return earned in
excess of the risk-free rate per unit of volatility or
total risk. Volatility is a measure of the price
fluctuations of an asset or portfolio.
• Sharpe Ratio = (Rate of Return - Risk Free Rate) /
(Standard deviation of the asset or portfolio)
14. 6. SORTINO RATIO
• The Sortino ratio differentiates harmful volatility from
total overall volatility by using the asset's downside
deviation.
• The Sortino ratio takes an asset or portfolio's return
and subtracts the risk-free rate, and then divides that
amount by the asset's downside deviation.
• Downside deviation is a measure of downside risk that
focuses on returns that fall below a minimum threshold
or minimum acceptable return.
16. 8. RECOVERY TRADES AND DAYS
• Recovery trades is number of trades taken to
recovery the loss.
• Recovery days is the number of days it took until
loss was recovered.
17. 9) COMPOUNDED ANNUAL GROWTH
RATE(CAGR)
• CAGR is the average rate of return per year.
• CAGR = [(Final Amount/Initial Amount)^(1/No. of
years)] - 1
18. 10. CALMAR RATIO
• The Calmar ratio measures the performance of a
strategy or fund, such as a hedge fund, compared
to its risk.
• Calmar Ratio = CAGR / Max drawdown
19. Let’s see, what Fox Trading Solutions offer in terms
of trading strategies
20. Conclusion
• This presentation aimed to take you
through the important topics related to
systematic trading. We discussed several
aspects of a systematic trading starting
from the what and why.
• Systematic trading is a profession that is
meant to make trading automated for the
ease of the investors.
