Intraday trading is a mess if not done with a proper strategy. Most of the successful trading systems do not work in intraday timeframe due to numerous whipsaws and false signals. It’s imperative to minimize these whipsaws to build an accurate intraday trading system. We have been testing several day trading systems since last few months and would like to introduce one of the most successful and profitable systems. This system follows the principles of trend following and generates signals based on DEMA (Double exponential moving average). It’s a multi-timeframe strategy and to double confirm the signals it looks at RSI values from the daily timeframe.
Let’s look at the system details, backtesting results, and AFL code. A complete video explanation of this system is uploaded at our ‘Build a Professional Trading System Course‘
You may want to check out some of the other profitable intraday trading systems we have implemented in the past at our ‘AFL of the Week’ section.
DEMA RSI Intraday Trading System – AFL Overview
|Preferred Time-frame||5 minutes|
|Indicators Used||DEMA, RSI|
|Sell Condition||Same as Short or Time >= 15:15|
|Cover Condition||Same as Buy or Time >= 15:15|
|Targets||No defined target|
|Position Size||150 (fixed)|
|Brokerage||100 per order|
DEMA RSI Intraday Trading System – AFL Code
Download the AFL code from the below link. You can simply import this AFL code in Amibroker and start using it.
Below is the screenshot of the AFL chart from Amibroker
DEMA RSI Intraday Trading System- Backtest Report
This is a very accurate intraday trading system and performs well in all market conditions. Annual CAGR of 21.49% is better than most of the other systems out there. Also, drawdown is minimum which makes this system very reliable. Check the detailed results in the below table:
|Scrip Name||NSE Nifty|
|Backtest Period||01-Jan-2010 to 28-Feb-2019|
|Net Profit %||494.36%|
|Annual Return %||21.49%|
|Number of Trades||1438|
|Winning Trade %||49.86%|
|Average holding Period||57.57 periods|
|Max consecutive losses||7|
|Max system % drawdown||-17.33%|
|Max Trade % drawdown||-21.88%|
Download the detailed backtest report here.
In this system we have assumed a fixed position size of 150. Had it been it was allowed to invest all your profits back into the system, an investment of 200000 would have turned into whooping 25 Billion~ with CAGR of 181%.
The equity curve is near linear with no unexpected and large drawdowns
This system has been consistently profitable every single year since 2010.
If you wanna learn and build your own Algorithmic trading systems like this, take a look at our structured courses at Trading Tuitions Academy
Additional Amibroker settings for backtesting
Goto Symbol–>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 75 and margin requirement of 10% for NSE Nifty:
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