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NIFTY stock futures performance report
- 13. Total Ratio Avg Time Extrapolated Maximum
Lot Net Maximum Sharpe No. of Strike Average Avg Win/ In Market Profit Time To
Instrument Size Multiplier Profit Drawdown Ratio Trades Rate Trade Avg Loss (Days) Per Month Recover
ACC 250 25 7,322,188 (473,125) 0.77 49 51% 149,432 3.99 12.02 277,424 130
ADANIENT 2000 10 8,252,000 (794,000) 0.50 100 36% 82,520 4.14 6.04 316,586 181
ADANIPORTS 2000 10 654,000 (550,000) 0.17 44 45% 14,864 1.71 6.47 25,838 379
ADANIPOWER 8000 10 5,372,000 (676,000) 0.42 41 39% 131,024 4.13 12.23 211,414 146
ALBK 4000 10 7,830,000 (698,000) 0.50 93 41% 84,194 3.74 6.14 296,665 108
AMBUJACEM 2000 25 4,390,000 (1,907,500) 0.29 45 42% 97,556 2.48 10.25 173,890 283
ANDHRABANK 4000 10 4,236,000 (242,000) 0.37 33 39% 128,364 8.36 13.17 174,828 127
APOLLOHOSP 250 10 297,375 (119,500) 0.38 14 50% 21,241 2.39 4.79 78,869 63
APOLLOTYRE 4000 10 4,866,000 (662,000) 0.32 54 39% 90,111 5.52 10.37 186,215 231
ARVIND 4000 10 3,684,000 (580,000) 0.29 38 45% 96,947 3.41 12.42 143,685 181
ASHOKLEY 15000 10 4,125,000 (577,500) 0.46 37 46% 111,486 4.20 12.36 161,713 114
AUROPHARMA 2000 10 3,814,000 (1,373,000) 0.33 70 41% 54,486 2.66 7.72 145,956 72
AXISBANK 250 50 19,731,875 (2,349,375) 0.63 83 46% 237,733 3.06 7.22 774,546 192
BAJAJ_AUTO 125 25 2,152,969 (1,030,938) 0.25 77 39% 27,961 2.24 7.81 82,911 186
BANKBARODA 500 50 16,958,750 (1,553,750) 0.45 19 68% 892,566 2.87 20.52 718,391 146
BANKINDIA 2000 10 7,548,000 (1,181,000) 0.40 25 48% 301,920 4.90 20 286,692 187
BATAINDIA 250 10 1,100,625 (628,000) 0.18 47 43% 23,418 2.38 12.28 43,996 325
BHARATFORG 1000 10 1,231,500 (481,000) 0.18 68 46% 18,110 1.94 8.49 46,776 136
BHARTIARTL 1000 25 2,592,500 (1,161,250) 0.15 60 37% 43,208 2.44 8.98 98,716 164
BHEL 2000 25 11,717,500 (1,050,000) 0.45 43 42% 272,500 3.88 11.03 445,616 231
BIOCON 1000 10 409,500 (1,168,500) 0.06 86 40% 4,762 1.78 4.54 15,554 608
BPCL 1000 25 5,210,000 (560,000) 0.38 33 48% 157,879 2.91 7.08 227,658 99
CAIRN 1000 50 2,730,000 (2,095,000) 0.13 50 42% 54,600 1.88 8.94 105,000 283
CANBK 1000 10 3,507,500 (682,000) 0.25 36 36% 97,431 3.88 15.74 139,295 175
CENTURYTEX 1000 10 1,824,500 (485,500) 0.28 35 49% 52,129 2.08 12.73 73,510 115
CESC 1000 10 2,073,500 (507,500) 0.32 31 52% 66,887 2.32 13.83 82,994 161
BACKTEST PERIOD: 01/01/2012 - 31/03/2014
Stock Futures Composite Performance Report
- 14. CIPLA 500 25 1,675,000 (884,375) 0.24 41 37% 40,854 3.33 13.79 65,919 379
COALINDIA 1000 25 3,406,250 (1,148,750) 0.30 86 40% 39,608 2.37 6.31 130,680 439
COLPAL 250 10 2,017,375 (370,125) 0.34 115 37% 17,542 3.25 5.73 77,591 263
CROMPGREAV 4000 10 3,878,000 (874,000) 0.33 60 40% 64,633 3.11 8.96 152,421 188
DABUR 2000 10 928,000 (389,000) 0.23 65 43% 14,277 2.13 9.23 36,010 275
DISHTV 8000 10 2,984,000 (460,000) 0.31 30 47% 99,467 3.12 10.62 119,282 246
DIVISLAB 250 10 1,068,125 (459,250) 0.23 46 37% 23,220 3.28 12.85 40,876 350
DLF 2000 25 7,837,500 (2,352,500) 0.29 90 38% 87,083 2.61 6.17 294,027 239
DRREDDY 125 25 2,151,563 (1,023,125) 0.33 60 47% 35,859 2.03 8.53 82,234 255
EXIDEIND 2000 10 1,233,000 (377,000) 0.35 32 44% 38,531 2.62 14.76 49,095 238
FEDERALBNK 4000 10 8,666,000 (2,114,000) 0.06 32 41% 270,813 4.06 17.83 368,124 154
GAIL 1000 25 4,145,000 (673,750) 0.39 43 51% 96,395 2.54 8.67 156,852 119
GLENMARK 500 10 238,250 (88,750) 0.49 14 57% 17,018 1.90 7.82 62,643 27
GMRINFRA 11000 10 3,052,500 (1,138,500) 0.28 45 44% 67,833 2.85 15.31 121,226 123
GODREJIND 1000 10 1,296,000 (659,500) 0.21 68 35% 19,059 2.87 6.18 49,472 206
GRASIM 125 25 7,273,125 (624,531) 0.39 56 41% 129,877 4.20 10.26 291,116 150
HAVELLS 500 10 1,516,750 (623,500) 0.16 71 38% 21,363 2.46 7.72 60,236 192
HCLTECH 250 25 3,088,125 (726,250) 0.43 101 44% 30,575 2.21 6.61 117,003 92
HDFC 500 25 2,268,750 (965,625) 0.21 38 42% 59,704 2.45 11.48 88,374 260
HDFCBANK 500 25 2,788,750 (826,875) 0.28 38 42% 73,388 2.80 15.1 111,477 101
HDIL 8000 10 13,640,000 (1,820,000) 0.32 122 37% 111,803 3.72 4.95 527,275 271
HEROMOTOCO 125 25 3,540,781 (817,656) 0.48 43 49% 82,344 3.06 10.21 134,154 223
HEXAWARE 2000 10 2,168,000 (333,000) 0.35 50 48% 43,360 2.94 8.3 82,040 181
HINDALCO 2000 50 9,400,000 (1,745,000) 0.38 25 60% 376,000 2.22 20.84 394,904 164
HINDPETRO 2000 10 3,959,000 (1,227,000) 0.31 51 37% 77,627 3.44 10.96 157,226 181
HINDUNILVR 500 25 2,833,750 (870,625) 0.28 46 39% 61,603 3.38 13.55 108,716 229
HINDZINC 2000 10 443,000 (480,000) 0.09 34 32% 13,029 2.90 10.93 16,784 637
IBREALEST 4000 10 2,044,000 (1,278,000) 0.19 36 44% 56,778 2.25 15.89 81,280 312
ICICIBANK 250 25 3,311,875 (1,242,188) 0.24 64 34% 51,748 2.98 7.79 127,380 350
IDBI 4000 10 3,730,000 (438,000) 0.43 29 52% 128,621 3.66 19.73 150,483 49
- 15. IDEA 2000 10 1,405,000 (380,000) 0.31 25 48% 56,200 2.87 20.21 55,870 152
IDFC 4000 50 8,740,000 (5,530,000) 0.16 42 45% 208,095 1.80 9.24 345,298 218
IFCI 10000 10 3,505,000 (1,300,000) 0.28 94 43% 37,287 2.50 6.26 132,633 182
IGL 1000 10 1,408,500 (452,000) 0.14 61 46% 23,090 2.06 8.28 55,647 290
INDIACEM 8000 10 6,080,000 (564,000) 0.29 40 48% 152,000 3.17 11.14 243,360 137
INDUSINDBK 1000 25 5,777,500 (2,151,250) 0.28 47 40% 122,926 2.99 9.43 237,485 184
INFY 125 25 5,482,344 (1,274,531) 0.31 63 38% 87,021 3.77 8.22 210,329 303
IOB 8000 10 4,696,000 (684,000) 0.27 20 35% 234,800 8.78 19.48 209,398 154
IOC 1000 10 2,008,000 (387,500) 0.37 84 49% 23,905 2.12 7.5 77,622 329
IRB 4000 10 5,726,000 (1,312,000) 0.30 59 44% 97,051 2.76 6.95 224,477 117
ITC 1000 25 5,022,500 (1,203,750) 0.51 67 40% 74,963 3.54 9.03 191,963 187
JINDALSTEL 1000 50 14,117,500 (2,652,500) 0.31 37 41% 381,554 3.69 12.73 561,387 125
JISLJALEQS 4000 10 2,688,000 (688,000) 0.40 78 42% 34,462 2.39 6.95 102,224 285
JPASSOCIAT 8000 50 35,080,000 (4,620,000) 0.26 26 42% 1,349,231 4.00 20.41 1,441,968 65
JPPOWER 13000 10 5,765,500 (903,500) 0.35 85 46% 67,829 2.72 7.1 228,671 154
JSWENERGY 8000 10 4,452,000 (1,316,000) 0.30 55 42% 80,945 2.75 11.21 173,418 221
JSWSTEEL 500 50 18,847,500 (1,501,250) 0.22 16 56% 1,177,969 3.61 22.35 867,042 149
JUBLFOOD 250 10 1,718,750 (627,875) 0.32 117 37% 14,690 2.56 4.69 66,865 263
KOTAKBANK 500 25 2,015,000 (1,083,750) 0.14 28 43% 71,964 2.15 13.72 84,304 277
KTKBANK 4000 10 6,674,000 (582,000) 0.39 31 48% 215,290 4.68 17.74 278,083 148
LICHSGFIN 2000 10 3,858,000 (484,000) 0.34 40 48% 96,450 2.84 11 147,455 112
LT 500 25 12,085,000 (2,274,375) 0.35 47 40% 257,128 3.15 12.78 479,938 154
LUPIN 250 25 2,166,563 (342,187) 0.34 45 42% 48,146 3.45 12.2 82,807 149
M_M 250 25 1,341,250 (1,010,938) 0.23 68 41% 19,724 1.99 6.24 50,818 320
M_MFIN 1000 10 918,000 (53,000) 0.59 8 50% 114,750 11.14 10.43 247,779 21
MARUTI 250 50 20,611,250 (2,216,875) 0.48 72 46% 286,267 3.25 9.56 773,239 120
MCDOWELL_N 125 50 16,582,188 (1,653,125) 0.48 38 58% 436,373 2.99 13.58 676,145 59
MCLEODRUSS 1000 10 567,500 (296,500) 0.23 39 49% 14,551 1.53 4.92 22,596 182
NHPC 12000 10 2,358,000 (270,000) 0.33 43 53% 54,837 3.23 13.47 91,384 226
NMDC 2000 25 2,085,000 (1,087,500) 0.25 50 40% 41,700 2.46 4.82 79,890 542
- 16. NTPC 2000 25 1,905,000 (315,000) 0.32 30 40% 63,500 3.04 14.01 76,050 105
OFSS 125 10 958,438 (549,938) 0.12 39 38% 24,575 2.45 13.86 37,003 356
ONGC 1000 25 4,665,000 (1,027,500) 0.37 86 48% 54,244 2.25 4.98 176,748 339
ORIENTBANK 2000 10 8,032,000 (543,000) 0.40 21 57% 382,476 5.54 27.31 329,712 47
PETRONET 2000 10 1,269,000 (276,000) 0.35 39 51% 32,538 2.25 5.9 51,537 176
PFC 2000 10 4,130,000 (508,000) 0.63 41 54% 100,732 2.88 13.5 169,764 85
PNB 500 25 9,407,500 (1,045,625) 0.41 28 46% 335,982 3.86 18.49 386,176 109
POWERGRID 4000 25 2,030,000 (780,000) 0.23 19 47% 106,842 3.34 10.88 77,201 428
PTC 8000 10 1,664,000 (516,000) 0.13 9 44% 184,889 3.20 21.83 93,123 180
RANBAXY 1000 25 9,946,250 (1,413,750) 0.30 77 39% 129,172 3.22 6.79 381,586 134
RCOM 2000 50 16,020,000 (1,405,000) 0.36 80 44% 200,250 3.36 6.89 629,652 98
RECLTD 2000 10 2,886,000 (335,000) 0.41 44 50% 65,591 2.38 7.53 119,596 120
RELCAPITAL 1000 10 4,429,000 (343,000) 0.52 25 68% 177,160 2.62 17.39 220,366 129
RELIANCE 250 25 1,640,313 (596,562) 0.24 54 46% 30,376 1.91 10.93 61,613 163
RELINFRA 1000 10 4,625,000 (412,000) 0.47 38 45% 121,711 3.55 14.07 196,466 97
RPOWER 4000 10 3,920,000 (408,000) 0.37 27 48% 145,185 4.44 20.33 168,158 217
SAIL 8000 10 6,828,000 (572,000) 0.65 54 52% 126,444 3.20 10.83 274,379 113
SBIN 125 50 9,820,000 (1,471,875) 0.32 32 50% 306,875 3.31 15.55 385,470 209
SSLT 2000 25 5,865,000 (1,502,500) 0.25 42 43% 139,643 2.79 10.94 232,920 390
SIEMENS 500 10 3,981,500 (435,500) 0.70 82 48% 48,555 3.04 7.46 155,887 84
SRTRANSFIN 500 10 2,383,250 (487,250) 0.32 42 38% 56,744 3.94 14.34 95,143 176
SUNPHARMA 500 25 3,561,250 (858,750) 0.28 32 47% 111,289 2.51 14.79 135,265 194
SUNTV 1000 10 3,680,500 (754,000) 0.35 96 46% 38,339 2.28 6.16 139,795 114
SYNDIBANK 4000 10 4,512,000 (834,000) 0.31 35 40% 128,914 4.29 14.39 179,188 81
TATACHEM 1000 10 386,000 (202,500) 0.15 18 44% 21,444 2.66 5.55 19,174 300
TATACOMM 2000 10 3,976,000 (467,000) 0.38 62 47% 64,129 3.05 7.21 151,585 124
TATAGLOBAL 2000 10 1,640,000 (550,000) 0.20 42 40% 39,048 3.02 13.42 63,236 182
TATAMOTORS 1000 50 7,225,000 (1,712,500) 0.32 59 42% 122,458 2.37 7.44 287,304 133
TATAPOWER 4000 25 1,750,000 (880,000) 0.12 26 50% 67,308 1.51 15.41 70,323 156
TATASTEEL 1000 50 19,507,500 (3,230,000) 0.46 67 46% 291,157 2.64 8.59 752,186 149
- 17. TCS 125 25 2,455,469 (372,969) 0.34 55 49% 44,645 2.51 6.04 91,555 188
TECHM 250 10 1,294,750 (492,375) 0.31 45 42% 28,772 2.55 14.51 49,548 98
TITAN 1000 10 1,130,000 (133,500) 0.31 19 58% 59,474 2.30 15.16 50,684 114
UBL 250 10 157,375 (121,125) 0.32 16 63% 9,836 1.10 4.23 38,095 94
UCOBANK 4000 10 3,460,000 (222,000) 0.35 49 43% 70,612 3.95 7.22 131,093 125
ULTRACEMCO 125 25 2,951,406 (1,610,156) 0.24 61 39% 48,384 2.60 10.78 113,803 318
UNIONBANK 2000 10 3,998,000 (1,015,000) 0.33 38 45% 105,211 3.66 12.92 158,775 174
UNIPHOS 2000 10 1,936,000 (409,000) 0.32 27 52% 71,704 2.86 21.95 76,885 108
UNITECH 12000 10 3,198,000 (738,000) 0.30 88 43% 36,341 2.24 6.86 122,691 233
VOLTAS 4000 10 2,144,000 (890,000) 0.20 38 42% 56,421 2.25 14.38 86,842 293
WIPRO 500 25 1,832,500 (420,625) 0.25 28 46% 65,446 3.04 8.86 70,928 206
YESBANK 1000 50 22,080,000 (2,397,500) 0.47 81 44% 272,593 2.88 6.29 860,077 133
ZEEL 1000 10 760,000 (155,500) 0.17 23 52% 33,043 1.87 18.57 30,182 133
TOTAL 644,036,594 (122,929,719) 26,027,493
AVERAGE 0.32 49 45% 3.08 195
- 18. MONTHS
MONTHLY
NET PROFIT
MAXIMUM
DRAWDOWN
JAN'12 (2,289,500) (4,089,969)
FEB'12 22,130,281 (10,580,031)
MAR'12 (9,658,094) (28,472,594)
APR'12 5,487,594 (21,559,313)
MAY'12 39,940,250 (18,965,281)
JUN'12 5,267,000 (17,527,688)
JUL'12 19,962,438 (14,289,344)
AUG'12 14,561,438 (17,398,031)
SEP'12 28,805,563 (7,957,281)
OCT'12 59,381,750 (13,614,031)
NOV'12 617,906 (22,207,375)
DEC'12 26,424,688 (15,971,938)
JAN'13 15,686,469 (23,876,625)
FEB'13 17,120,063 (13,921,281)
MAR'13 30,076,219 (16,332,094)
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
70,000,000
MONTHLY NET PROFIT
MAXIMUM DRAWDOWN
MAR'13 30,076,219 (16,332,094)
APR'13 26,988,094 (12,771,219)
MAY'13 30,497,625 (25,343,906)
JUN'13 18,660,531 (14,616,156)
JUL'13 28,639,063 (19,777,781)
AUG'13 64,342,719 (20,402,781)
SEP'13 59,943,125 (19,436,188)
OCT'13 7,713,156 (21,058,094)
NOV'13 19,809,188 (16,670,375)
DEC'13 20,532,625 (12,865,531)
JAN'14 3,890,531 (21,774,156)
FEB'14 31,103,188 (13,340,906)
MAR'14 61,015,188 (22,303,156) (30,000,000)
(20,000,000)
(10,000,000)
0
10,000,000
JAN'12
FEB'12
MAR'12
APR'12
MAY'12
JUN'12
JUL'12
AUG'12
SEP'12
OCT'12
NOV'12
DEC'12
JAN'13
FEB'13
MAR'13
APR'13
MAY'13
JUN'13
JUL'13
AUG'13
SEP'13
OCT'13
NOV'13
DEC'13
JAN'14
FEB'14
MAR'14
Stock Futures Basket - Monthly Net Profit / Loss & Maximum Drawdown
- 19. Amount (Rupees)
Margins:
NIFTY –
LIX15 (15x50x1L) 7,50,00,000
Non-LIX15 (35x25x1L) 8,75,00,000
Non-NIFTY (79x10x1L) 7,90,00,000
Total Margin 24,15,00,000
Maximum Monthly Drawdown 3,00,00,000
Total Investment 27,15,00,000
Extrapolated Profit Per Month 2,50,00,000
Actual Profit for Entire Period 64,00,00,000
(Jan’12-Mar’14) = 27 Months
Amount (Rupees)
Margins:
NIFTY –
LIX15 (15x50x1L) 7,50,00,000
Non-LIX15 (35x25x1L) 8,75,00,000
Non-NIFTY (79x10x1L) 7,90,00,000
Total Margin 24,15,00,000
Maximum Monthly Drawdown 3,00,00,000
Total Investment 27,15,00,000
Extrapolated Profit Per Month 2,50,00,000
Actual Profit for Entire Period 64,00,00,000
(Jan’12-Mar’14) = 27 Months
Amount (Rupees)
Margins:
NIFTY –
LIX15 (15x50x1L) 7,50,00,000
Non-LIX15 (35x25x1L) 8,75,00,000
Non-NIFTY (79x10x1L) 7,90,00,000
Total Margin 24,15,00,000
Maximum Monthly Drawdown 3,00,00,000
Total Investment 27,15,00,000
Extrapolated Profit Per Month 2,50,00,000
Actual Profit for Entire Period 64,00,00,000
(Jan’12-Mar’14) = 27 Months
