Indian Journal of Finance, Vol.8, No. 1, January 2014, pp. 1-14
15 Pages Posted: 20 Jan 2014
Date Written: July 21, 2013
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: 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