Abstract

http://ssrn.com/abstract=2381236
 


 



Trend Following Algorithms on India's Nifty Index


Ronald T. Slivka


NYU Poly - Department of Finance and Risk Engineering

Vishal Keswani


Polytechnic Institute of NYU

Xuxiang Li


Polytechnic Institute of NYU

July 21, 2013

Indian Journal of Finance, Vol.8, No. 1, January 2014, pp. 1-14

Abstract:     
The objective of this technical analysis study was to test the profitability of 80 related trend following algorithms applied to closing prices for India's Nifty index over periods of rising, falling, mixed trend and nearly trendless markets. Daily closing prices for the Nifty index were divided into four periods covering trading days from 2005 through 2012. Trend following rules were used that employed no leverage and no short positions. Only investments in the Nifty index or in cash at India's MIBOR rate were permitted with no transaction costs or dividends assumed. For each period all 80 related trend following algorithms were statistically examined for significance against return distributions created using a Levich-Thomas bootstrapping process. We conclude from this technical analysis study that the family of 80 algorithms investigated worked well in a sharply declining market, but far less so or not at all well in markets that were more gradually rising, mixed trend or nearly trendless.

Number of Pages in PDF File: 15

Keywords: Trend Following, Algorithms, Nifty Index, India, Technical Analysis

JEL Classification: G10, G11, G12, G14, G15

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Date posted: January 20, 2014  

Suggested Citation

Slivka, Ronald T. and Keswani, Vishal and Li, Xuxiang, Trend Following Algorithms on India's Nifty Index (July 21, 2013). Indian Journal of Finance, Vol.8, No. 1, January 2014, pp. 1-14. Available at SSRN: http://ssrn.com/abstract=2381236

Contact Information

Ronald T. Slivka (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
2153213524 (Phone)
Vishal Keswani
Polytechnic Institute of NYU ( email )
Brooklyn, NY 11201
United States
Xuxiang Li
Polytechnic Institute of NYU ( email )
Brooklyn, NY 11201
United States
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