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Query: Improved Backtesting Results in MIP37 without sufficient GS Composite Data

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  • Vivek Kumar Offline
    Vivek Sharma-1748946738164V Offline
    Vivek Kumar
    wrote on last edited by
    #1

    I am new to Definedge ecosystem and was backtesting MIP37 after reading Prashant Sir's book with modified parameters but I observed that when I changed the Market Filter from only Nifty 500 to Relative Strength based Market Filter (against Nifty GS Composite) with my preferred Stop Loss the result was improved, let's say, "X% Max Drawdown with Y% CAGR" however when I changed it back to MIP37's default Market Trend Filter i.e. Nifty 500 with D-Smart the results were different viz. "A% Max DD with B% CAGR". The period for the In Sample backtest was 01-01-2001 to 31-12-2008 in both the cases.

    My question is that when there is 'No Data for Nifty GS Composite during this period' then what calculation is being done at the backtest which has improved the results when using Market Trend Filter as RS with Nifty GS Composite.

    Vivek Kumar

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  • Vivek Kumar Offline
    Vivek Sharma-1748946738164V Offline
    Vivek Kumar
    wrote on last edited by
    #2

    @@Definedge-Experts
    Please guide.

    Vivek Kumar

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