A Nifty Intraday Trend Strategy Using 200 SMA and 50 EMA

Summary

This project describes an intraday Nifty strategy using five-minute data, a 200-period simple moving average, and a 50-period exponential moving average. It takes long or short positions when the index closes beyond both averages, with no position when the close lies between them. Long signals are implemented by buying a call option and short signals by buying a put option. The author says an additional seven points were added after backtesting to reduce whipsaws, and partial profits are booked at 20 points.

The project also outlines generic backtesting and performance modules, including measures such as annualized return, volatility, Sharpe ratio, drawdown, and monthly outcomes, alongside a live order system using Zerodha. The reported test used Nifty five-minute data from June 2017 through year-end, with stated returns of 12% for the strategy versus 8% for Nifty. The excerpt does not show detailed assumptions, transaction costs, risk-adjusted comparisons, or enough data to assess robustness; the reported result is a limited historical backtest, not evidence of future performance.

Key ideas

• The strategy uses five-minute Nifty data with a 200-period SMA and 50-period EMA.
• It buys calls when the close is above both averages and puts when it is below both.
• The system stays out of the market when the close falls between the two averages.
• The author added a seven-point buffer to reduce whipsaws and takes partial profits at 20 points.
• The project reports a historical return comparison but provides limited evidence about robustness and trading costs.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.