Dear investors,
Week ending on 12th Feb 2021 brings with it the half-yearly milestone! And we are glad to report that performance has been well beyond our initial expectations, despite the testing uncertainty and ambiguity brought about during the US election as well as the union budget.
Portfolio links
Nifty Future Long-Short Strategy Performance (To know more about it click here)
Performance Comparison
Getting into the specifics, during the same
period, Nifty is up by around
40% while the Nifty Long-Short is up by around 129%.
Monthly Return Analysis
Trade Analysis
Since it is always in a position system, number of trades were equally distributed.
From the above charts, we can see that for Long trades almost 2/3 trades are winners while for the Short trades almost 73% of the trades are losers. At the overall level, 45% are winners, while 55% are the losers.
You may be pondering as to how this strategy makes money?
Let me put your doubts to rest.
Basic Math Behind Success Of the Systematic Investing
The key behind this strategy is the high payoff ratio, which we will be explained using graphs.
The payoff Ratio of this strategy is 5.75, which compensates for a
lower winning rate. We will understand this with an example.
Win Rate = 45%
Pay Off Ratio = 5.75, which means Average loss is x and Average
Win is 5.75x
Expectancy = 0.45*5.75x - 0.55*x= 2.04x
From the above calculation,
we can see that we have a positive expectancy, which means that, if we repeat this process
for a long time, we will end up making money!!
Happy Investing!!
