S&P CNX Nifty CSI#742 "NFI"
Posted: Tue Apr 25, 2006 10:18 am
In the interests of possible diversification I recently took a look at the above contract.
I should add that many years ago, the Indian domestic equity market had a horrendous reputation for settlement difficulties - and for this reason I have only ever dealt in foreign depository receipts for Indian related securities. I have no idea whether the domestic equity situation has improved (they used to settle via huge mounds of physical scrip) or whether the futures market there is efficient and easy to deal in.
The first difficulty as far as backtesting is concerned, for anything Indian, is the Forex data. CSI#3308 is said (in the Factsheet) to go back to 1973; it does not. It begins in Jan 2002 but no matter - you can always go and get the data from the relevant Fed site if you need to go back further.
The second problem as regards the S&P CNX Nifty is that CSI would appear to have got the big point value wrong. CSI has it at 200 INR.
The information on the NSI website is far from helpful, so I e-mailed the relevant department and they told me, categorically, that the BPV is 100 INR. That makes it a very low value contract to trade and I therefore question whether, over the long term, such trading will prove profitable.
Let me put it this way: I tested it on an ultra long term TF system which went long on 4th Jan 2005 at 1924.20 and exited on 24th April 2006 at 3556.50. That is an increase of a whopping 84.8%. And yet only yields a profit of USD 2,475 after monthly rollovers and $75 comm and slippage.
Well, even in exotic emerging markets you do not get moves of that magnitude every year. And on this particular contract it seems to me that the big moves are never going to make up for the losses.
If anyone can put me right, I would be grateful!
I should add that many years ago, the Indian domestic equity market had a horrendous reputation for settlement difficulties - and for this reason I have only ever dealt in foreign depository receipts for Indian related securities. I have no idea whether the domestic equity situation has improved (they used to settle via huge mounds of physical scrip) or whether the futures market there is efficient and easy to deal in.
The first difficulty as far as backtesting is concerned, for anything Indian, is the Forex data. CSI#3308 is said (in the Factsheet) to go back to 1973; it does not. It begins in Jan 2002 but no matter - you can always go and get the data from the relevant Fed site if you need to go back further.
The second problem as regards the S&P CNX Nifty is that CSI would appear to have got the big point value wrong. CSI has it at 200 INR.
The information on the NSI website is far from helpful, so I e-mailed the relevant department and they told me, categorically, that the BPV is 100 INR. That makes it a very low value contract to trade and I therefore question whether, over the long term, such trading will prove profitable.
Let me put it this way: I tested it on an ultra long term TF system which went long on 4th Jan 2005 at 1924.20 and exited on 24th April 2006 at 3556.50. That is an increase of a whopping 84.8%. And yet only yields a profit of USD 2,475 after monthly rollovers and $75 comm and slippage.
Well, even in exotic emerging markets you do not get moves of that magnitude every year. And on this particular contract it seems to me that the big moves are never going to make up for the losses.
If anyone can put me right, I would be grateful!