A Quantitative Analysis of Trading Strategy Performance Over Ten Years
- Title
- A Quantitative Analysis of Trading Strategy Performance Over Ten Years
- Creator
- Birari A.; Nandre V.; Salunkhe H.; Jamadar J.
- Description
- This study conducts a comparative analysis of two trading strategies over a ten-year period to assess their profitability and risk. Strategy 1 operates on a simple buy at close and sell at open principle, while Strategy 2 trades only when the closing price is above the 200-day moving average, introducing a conditional filter for market entry. Through the evaluation of performance metrics including total PNL, drawdown, standard deviation, and Sharpe ratio, the research highlights the differences in risk and return between the strategies. Results indicate Strategy 1 achieves higher profitability but at the cost of greater risk, as shown by larger drawdowns. Conversely, Strategy 2's conditional approach yields slightly lower returns but demonstrates a superior risk-adjusted performance. The findings emphasize the significance of risk management and the potential benefits of conditional filters in trading strategies, offering valuable insights for traders and investors in making informed strategy selections. 2024 IEEE.
- Source
- TQCEBT 2024 - 2nd IEEE International Conference on Trends in Quantum Computing and Emerging Business Technologies 2024
- Date
- 2024-01-01
- Publisher
- Institute of Electrical and Electronics Engineers Inc.
- Subject
- Forecasting; Moving Averages; Technical Analysis
- Coverage
- Birari A., Christ University, India; Nandre V., Pune Institute of Business Management, India; Salunkhe H., Christ University, India; Jamadar J., G H Raisoni Iobm, Jalgaon, India
- Rights
- Restricted Access
- Relation
- ISBN: 979-835038427-7
- Format
- Online
- Language
- English
- Type
- Conference paper
Collection
Citation
Birari A.; Nandre V.; Salunkhe H.; Jamadar J., “A Quantitative Analysis of Trading Strategy Performance Over Ten Years,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/19153.