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How to find best strategy for consistent
returns
Presented By
Puneet Tewani
CEO Fox Trading Solutions
Speaker Introduction
 Mr Puneet Tewani is a Entrepreneur-cum-Trader, he has been
working with various proprietary desks managing funds of Rs 10cr.
 He also is founder of Fox Trading Solutions, which speechless in algo
trading solutions.
 He appears on CNBC Awaaz and has won Khiladi No. 1 four times in
a row
 He has also authored a book on ‘Automation using Zerodha API’.
 He has been recently featured in moneycontrol and has been a
speaker at various conferences.
 Nearly 10 years of experience in Stock Market and 3 years of
experience in algo trading
 Expertise in Areas of Derivatives.
Mr Puneet Tewani
What is
Systematic
Trading?
Systematic trading (also known
as mechanical trading) is a way of
defining trade goals, risk controls and
rules that can make trading and
investment decisions in a methodical
way.
Why Systematic
Trading?
• Systematic trading helps to avoid the risks
associated with human emotions.
• A fully or partially automated trading system
helps to take advantage of profitable
situations in the market since such a system
operates at a faster speed for recognizing
profitable situations and executing the trades.
• Ability to backtest a trading strategy.
• Helps to manage risk of complex portfolios
efficiently.
What is
Backtesting?
• Backtesting is the way of verification of your logic
using historical price information.
• This stage helps in understanding how well the
logic would have performed if the strategy was
used in the past. It also gives the opportunity to
optimise the logic and its parameters.
• The underlying theory is that any strategy that
worked well in the past is likely to work well in the
future, and conversely, any strategy that
performed poorly in the past is likely to perform
poorly in the future.
Backtesting
Metrics
• Win Rate
• Average Profit or Loss per Trade
• Risk Reward Ratio
• Expectancy
• Sharpe Ratio
• Sortino Ratio
• Max Drawdown
• Recovery Trades and Recovery Days
• Compounded Annual Growth Rate(CAGR)
• Calmar Ratio
BACKTESTING METRICS
BACKTESTING METRICS
1. Win Rate
2. Average Profit or Loss per trade
3. Risk Reward Ratio
4. Expectancy
5. Sharpe Ratio
6. Sortino Ratio
7. Max Drawdown
8. Recovery Trades and Recovery Days
9. Compounded Annual Growth Rate(CAGR)
10. Calmar Ratio
1. WIN RATE
• Win Rate is the ratio of profitable trades to all trades.
• It tells you what percentage of total trades executed were
profitable.
• Win Rate = No. of profitable trades / No. of total trades
2. AVERAGE PROFIT AND LOSS PER TRADE
• Average Profit is the arithmetic mean of the profits of all
trades that were profitable.
• Average Loss is the arithmetic mean of the losses of all
trades that were loss-making.
3. RISK REWARD RATIO
• It is the ratio of average profit to average loss.
• Risk Reward Ratio = average profit per
trade/average loss per trade
4. EXPECTANCY
• Expectancy shows how much money, on average, we
can expect to make or lose for every rupee we risk.
• Expectancy = (Win Rate x Average Profit) – (Loss
Rate x Average Loss)
5. SHARPE RATIO
• The Sharpe ratio is the average return earned in
excess of the risk-free rate per unit of volatility or
total risk. Volatility is a measure of the price
fluctuations of an asset or portfolio.
• Sharpe Ratio = (Rate of Return - Risk Free Rate) /
(Standard deviation of the asset or portfolio)
6. SORTINO RATIO
• The Sortino ratio differentiates harmful volatility from
total overall volatility by using the asset's downside
deviation.
• The Sortino ratio takes an asset or portfolio's return
and subtracts the risk-free rate, and then divides that
amount by the asset's downside deviation.
• Downside deviation is a measure of downside risk that
focuses on returns that fall below a minimum threshold
or minimum acceptable return.
7. MAX DRAWDOWN
• Maximum drawdown is the maximum observed loss.
8. RECOVERY TRADES AND DAYS
• Recovery trades is number of trades taken to
recovery the loss.
• Recovery days is the number of days it took until
loss was recovered.
9) COMPOUNDED ANNUAL GROWTH
RATE(CAGR)
• CAGR is the average rate of return per year.
• CAGR = [(Final Amount/Initial Amount)^(1/No. of
years)] - 1
10. CALMAR RATIO
• The Calmar ratio measures the performance of a
strategy or fund, such as a hedge fund, compared
to its risk.
• Calmar Ratio = CAGR / Max drawdown
Let’s see, what Fox Trading Solutions offer in terms
of trading strategies
Conclusion
• This presentation aimed to take you
through the important topics related to
systematic trading. We discussed several
aspects of a systematic trading starting
from the what and why.
• Systematic trading is a profession that is
meant to make trading automated for the
ease of the investors.
Questions & Answers
Puneet Tewani
CEO
Fox Trading Solutions
Cell : +91-9799871428
Email : info@foxtradingsolutions.com
Twitter: @puneet_tewani

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Clg presentation.pptx

  • 1. How to find best strategy for consistent returns Presented By Puneet Tewani CEO Fox Trading Solutions
  • 2. Speaker Introduction  Mr Puneet Tewani is a Entrepreneur-cum-Trader, he has been working with various proprietary desks managing funds of Rs 10cr.  He also is founder of Fox Trading Solutions, which speechless in algo trading solutions.  He appears on CNBC Awaaz and has won Khiladi No. 1 four times in a row  He has also authored a book on ‘Automation using Zerodha API’.  He has been recently featured in moneycontrol and has been a speaker at various conferences.  Nearly 10 years of experience in Stock Market and 3 years of experience in algo trading  Expertise in Areas of Derivatives. Mr Puneet Tewani
  • 3. What is Systematic Trading? Systematic trading (also known as mechanical trading) is a way of defining trade goals, risk controls and rules that can make trading and investment decisions in a methodical way.
  • 4. Why Systematic Trading? • Systematic trading helps to avoid the risks associated with human emotions. • A fully or partially automated trading system helps to take advantage of profitable situations in the market since such a system operates at a faster speed for recognizing profitable situations and executing the trades. • Ability to backtest a trading strategy. • Helps to manage risk of complex portfolios efficiently.
  • 5. What is Backtesting? • Backtesting is the way of verification of your logic using historical price information. • This stage helps in understanding how well the logic would have performed if the strategy was used in the past. It also gives the opportunity to optimise the logic and its parameters. • The underlying theory is that any strategy that worked well in the past is likely to work well in the future, and conversely, any strategy that performed poorly in the past is likely to perform poorly in the future.
  • 6. Backtesting Metrics • Win Rate • Average Profit or Loss per Trade • Risk Reward Ratio • Expectancy • Sharpe Ratio • Sortino Ratio • Max Drawdown • Recovery Trades and Recovery Days • Compounded Annual Growth Rate(CAGR) • Calmar Ratio
  • 8. BACKTESTING METRICS 1. Win Rate 2. Average Profit or Loss per trade 3. Risk Reward Ratio 4. Expectancy 5. Sharpe Ratio 6. Sortino Ratio 7. Max Drawdown 8. Recovery Trades and Recovery Days 9. Compounded Annual Growth Rate(CAGR) 10. Calmar Ratio
  • 9. 1. WIN RATE • Win Rate is the ratio of profitable trades to all trades. • It tells you what percentage of total trades executed were profitable. • Win Rate = No. of profitable trades / No. of total trades
  • 10. 2. AVERAGE PROFIT AND LOSS PER TRADE • Average Profit is the arithmetic mean of the profits of all trades that were profitable. • Average Loss is the arithmetic mean of the losses of all trades that were loss-making.
  • 11. 3. RISK REWARD RATIO • It is the ratio of average profit to average loss. • Risk Reward Ratio = average profit per trade/average loss per trade
  • 12. 4. EXPECTANCY • Expectancy shows how much money, on average, we can expect to make or lose for every rupee we risk. • Expectancy = (Win Rate x Average Profit) – (Loss Rate x Average Loss)
  • 13. 5. SHARPE RATIO • The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Volatility is a measure of the price fluctuations of an asset or portfolio. • Sharpe Ratio = (Rate of Return - Risk Free Rate) / (Standard deviation of the asset or portfolio)
  • 14. 6. SORTINO RATIO • The Sortino ratio differentiates harmful volatility from total overall volatility by using the asset's downside deviation. • The Sortino ratio takes an asset or portfolio's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. • Downside deviation is a measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return.
  • 15. 7. MAX DRAWDOWN • Maximum drawdown is the maximum observed loss.
  • 16. 8. RECOVERY TRADES AND DAYS • Recovery trades is number of trades taken to recovery the loss. • Recovery days is the number of days it took until loss was recovered.
  • 17. 9) COMPOUNDED ANNUAL GROWTH RATE(CAGR) • CAGR is the average rate of return per year. • CAGR = [(Final Amount/Initial Amount)^(1/No. of years)] - 1
  • 18. 10. CALMAR RATIO • The Calmar ratio measures the performance of a strategy or fund, such as a hedge fund, compared to its risk. • Calmar Ratio = CAGR / Max drawdown
  • 19. Let’s see, what Fox Trading Solutions offer in terms of trading strategies
  • 20. Conclusion • This presentation aimed to take you through the important topics related to systematic trading. We discussed several aspects of a systematic trading starting from the what and why. • Systematic trading is a profession that is meant to make trading automated for the ease of the investors.
  • 22. Puneet Tewani CEO Fox Trading Solutions Cell : +91-9799871428 Email : info@foxtradingsolutions.com Twitter: @puneet_tewani