Trend Following Algorithms on India's Nifty Index

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

15 Pages Posted: 20 Jan 2014  

Ronald T. Slivka

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Vishal Keswani

Polytechnic Institute of NYU

Xuxiang Li

Polytechnic Institute of NYU

Date Written: July 21, 2013

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.

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

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

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: https://ssrn.com/abstract=2381236

Ronald T. Slivka (Contact Author)

NYU Polytechnic School of Engineering - 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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