backtesting/backtesting-momentum-strategy.ipynb

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      "provenance": []
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    "kernelspec": {
      "name": "python3",
      "display_name": "Python 3"
    },
    "language_info": {
      "name": "python"
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  "cells": [
    {
      "cell_type": "code",
      "source": [
        "## https://ayoolafelix.hashnode.dev/how-to-permanently-install-a-module-on-google-colab-ckixqrvs40su044s187y274tc\n",
        "# from google.colab import drive\n",
        "# drive.mount('/content/drive')\n",
        "# import sys\n",
        "# sys.path.append('/content/drive/My Drive/Colab Notebooks')"
      ],
      "metadata": {
        "id": "GOmcrwJpIUJC",
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "outputId": "f389f2bc-3f1b-4e78-9c9b-e289f90e0a43"
      },
      "execution_count": null,
      "outputs": [
        {
          "output_type": "stream",
          "name": "stdout",
          "text": [
            "Mounted at /content/drive\n"
          ]
        }
      ]
    },
    {
      "cell_type": "code",
      "execution_count": 40,
      "metadata": {
        "id": "2G8pHONXEnwz"
      },
      "outputs": [],
      "source": [
        "#Importing Libraries\n",
        "import pandas as pd\n",
        "import numpy as np\n",
        "from datetime import date\n",
        "from datetime import datetime, timedelta\n",
        "from pytz import timezone\n",
        "import math\n",
        "import yfinance as yf\n",
        "from datetime import date\n",
        "from datetime import datetime"
      ]
    },
    {
      "cell_type": "markdown",
      "source": [
        "##Backtesting Strategy: Momentum Strategy >> ATR Based Trailing SL in NIFTY FUT"
      ],
      "metadata": {
        "id": "_ebxBr6kkmBv"
      }
    },
    {
      "cell_type": "code",
      "source": [
        "##https://medium.datadriveninvestor.com/the-supertrend-implementing-screening-backtesting-in-python-70e8f88f383d\n",
        "\n",
        "def Supertrend(data,atr_period, multiplier):\n",
        "    \n",
        "    high = data['High']\n",
        "    low = data['Low']\n",
        "    close = data['Close']\n",
        "\n",
        "\n",
        "    # calculate ATRF\n",
        "    price_diffs = [high - low, \n",
        "                   high - close.shift(), \n",
        "                   close.shift() - low]\n",
        "    true_range = pd.concat(price_diffs, axis=1)\n",
        "    true_range = true_range.abs().max(axis=1)\n",
        "    # default ATR calculation in supertrend indicator\n",
        "    atr = true_range.ewm(alpha=1/atr_period,min_periods=atr_period).mean() \n",
        "    # print(atr)\n",
        "    # data['atr'] = data['tr'].rolling(atr_period).mean()\n",
        "    \n",
        "    # HL2 is simply the average of high and low prices\n",
        "    hl2 = (high + low) / 2\n",
        "    # upperband and lowerband calculation\n",
        "    # notice that final bands are set to be equal to the respective bands\n",
        "    final_upperband = upperband = hl2 + (multiplier * atr)\n",
        "    final_lowerband = lowerband = hl2 - (multiplier * atr)\n",
        "    \n",
        "    # initialize Supertrend column to True\n",
        "    supertrend = [True] * len(data)\n",
        "    \n",
        "    for i in range(1, len(data.index)):\n",
        "        curr, prev = i, i-1\n",
        "        \n",
        "        # if current close price crosses above upperband\n",
        "        if close[curr] > final_upperband[prev]:\n",
        "            supertrend[curr] = True\n",
        "        # if current close price crosses below lowerband\n",
        "        elif close[curr] < final_lowerband[prev]:\n",
        "            supertrend[curr] = False\n",
        "        # else, the trend continues\n",
        "        else:\n",
        "            supertrend[curr] = supertrend[prev]\n",
        "            \n",
        "            # adjustment to the final bands\n",
        "            if supertrend[curr] == True and final_lowerband[curr] < final_lowerband[prev]:\n",
        "                final_lowerband[curr] = final_lowerband[prev]\n",
        "            if supertrend[curr] == False and final_upperband[curr] > final_upperband[prev]:\n",
        "                final_upperband[curr] = final_upperband[prev]\n",
        "\n",
        "        # to remove bands according to the trend direction\n",
        "        if supertrend[curr] == True:\n",
        "            final_upperband[curr] = np.nan\n",
        "        else:\n",
        "            final_lowerband[curr] = np.nan\n",
        "    \n",
        "    return pd.DataFrame({\n",
        "        'Supertrend': supertrend,\n",
        "        'final_lowerband': final_lowerband,\n",
        "        'final_upperband': final_upperband\n",
        "    }, index=data.index)\n",
        "        \n",
        "n = 2500 #No of days\n",
        "atr_period = 21\n",
        "atr_multiplier = 3\n",
        "symbol = '^NSEI' #^NSEI ,USDINR=X,^NSEBANK\n",
        "lot_size = 50\n",
        "today_yf = datetime.now()\n",
        "today_yf = today_yf.strftime(\"%Y-%m-%d\")   #Different API used,different datetime formats\n",
        "last_one_year_yf = datetime.today() - timedelta(days= n)\n",
        "last_one_year_yf = last_one_year_yf.strftime(\"%Y-%m-%d\")\n",
        "data= yf.download( symbol, start = last_one_year_yf, interval=\"1d\" ) #period=f\"{n}d\"\n",
        "\n",
        "\"\"\"NSE PY\"\"\"\n",
        "# today = datetime.now()  #Today Datetime\n",
        "# one_year = datetime.today() - timedelta(days=n) #Subrtracting todays date with 370 Days\n",
        "# nf_vix = get_history(symbol=\"INDIAVIX\",start=one_year,end=today,index=True)\n",
        "# print(\"NSEPY INDIA VIX Dataframe\",nf_vix.head())\n",
        "\n",
        "today = datetime.now()\n",
        "start = datetime.today() - timedelta(days= n)\n",
        "start = start.strftime(\"%Y,%m,%d\")\n",
        "start = datetime.strptime(start, \"%Y,%m,%d\") #https://stackoverflow.com/questions/466345/convert-string-jun-1-2005-133pm-into-datetime\n",
        "end = today.strftime(\"%Y,%m,%d\")   \n",
        "end = datetime.strptime(end,\"%Y,%m,%d\")\n",
        "\n",
        "nf_vix = get_history(symbol=\"INDIAVIX\", start= start, end= end, index=True)\n",
        "data = data.reset_index()\n",
        "nf_vix = nf_vix.reset_index()\n",
        "data['vix'] = nf_vix['Close'].round(2)\n",
        "data.set_index('Date', inplace=True)\n",
        "\n",
        "# data= data.between_time('9:00','16:00') #https://stackoverflow.com/questions/19179214/selecting-data-between-specific-hours-in-a-pandas-dataframe\n",
        "\n",
        "supertrend = Supertrend(data,atr_period, atr_multiplier)\n",
        "data= data.join(supertrend)\n",
        "# data.loc[(data['atrts'] > df['Close']),'signal_sell']= df[\"atrts\"] #\"sell\"\n",
        "# data.loc[(data['atrts'] < df['Close']),'signal_buy']= df[\"atrts\"]  #\"buy\"\n",
        "# data['downtrend'] = ~data['Supertrend']\n",
        "data.head()\n",
        "\n",
        "def backtest_supertrend_buy(data):\n",
        "    is_uptrend = data['Supertrend']\n",
        "    close = data['Close']\n",
        "    vix = data['vix']\n",
        "    \n",
        "    # initial condition\n",
        "    in_position = False\n",
        "    entry = []\n",
        "    exit = []\n",
        "    \n",
        "    for i in range(2, len(data)):\n",
        "        # if not in position & price is on uptrend -> buy\n",
        "        if not in_position and is_uptrend[i]:\n",
        "            entry.append((data.index[i].strftime(\"%Y/%m/%d\"), close[i], vix[i])) #%H:%M:%S\n",
        "            in_position = True\n",
        "            # print(f'Buy {share} shares at {round(close[i],2)} on {data.index[i].strftime(\"%Y/%m/%d %H:%M:%S\")}')\n",
        "        # if in position & price is not on uptrend -> sell\n",
        "        elif in_position and not is_uptrend[i]:\n",
        "            exit.append((data.index[i].strftime(\"%Y/%m/%d\"), close[i], vix[i])) #%H:%M:%S\n",
        "            in_position = False\n",
        "\n",
        "    return entry, exit\n",
        "entry, exit = backtest_supertrend_buy(data)\n",
        "df2 = (pd.DataFrame(entry, columns=['Buy Date', 'ln_entry','ln_vix_buy']).explode('ln_entry', ignore_index=True))\n",
        "df3 = (pd.DataFrame(exit, columns=['Buy Exit Date', 'ln_exit','ln_vix_sell']).explode('ln_exit', ignore_index=True))\n",
        "df4 = pd.concat([df2, df3], axis=1)\n",
        "df4['position'] = \"long buy\"\n",
        "df4['symbol'] = symbol\n",
        "df4['diff_buy'] = round(df4['ln_exit'] - df4['ln_entry'])\n",
        "df4['lot_size'] = lot_size\n",
        "df4['ln_pl'] = df4['diff_buy'] * lot_size #50 is lot size for NF Futures\n",
        "sum_ln = df4['ln_pl'].sum()\n",
        "print(f\"Total Profit/Loss from long strategy for {symbol} in ₹ per lot\",sum_ln)\n",
        "ln_max_loss = df4['ln_pl'].min()\n",
        "print(f\"Max Loss in Long Position in Supertrend Strategy for {symbol} per lot in ₹\",ln_max_loss) \n",
        "ln_max_profit = df4['ln_pl'].max()\n",
        "print(f\"Max Profit in Long Position in Supertrend Strategy for {symbol} per lot in ₹\",ln_max_profit) \n",
        "ln_loss = (df4['ln_pl'][df4['ln_pl']<0].count())\n",
        "ln_profit = (df4['ln_pl'][df4['ln_pl']>0].count())\n",
        "\n",
        "ln_profit = (df4['ln_pl'][df4['ln_pl']>0].count())\n",
        "print(\"Number of Trades in Profit in Long Buy:\",ln_profit)\n",
        "ln_loss = (df4['ln_pl'][df4['ln_pl']<0].count())\n",
        "print(\"Number of Trades in Loss in Long Buy:\",ln_loss)\n",
        "\n",
        "print(\"Total Trades:\", df4.shape[0])\n",
        "ln_loss_pct = round((ln_loss/df4.shape[0])*100)\n",
        "ln_profit_pct = round((ln_profit/df4.shape[0])*100)\n",
        "print(f\"Count of Trade percentage in loss for {symbol} in percent (POL)\",ln_loss_pct,\"%\")\n",
        "print(f\"Count of Trade percentage in Profit for {symbol} in percent (POP)\",ln_profit_pct,\"%\")\n",
        "ln_pl_ratio = round(ln_profit / ln_loss,2)\n",
        "print(\"p&l ratio for Long Buy Strategy\", ln_pl_ratio) \n",
        "ln_avg_profit = round((df4['ln_pl'][df4['ln_pl']>0].mean()))\n",
        "ln_avg_loss = round((df4['ln_pl'][df4['ln_pl']<0].mean()))\n",
        "print(\"Avg Profit in Long Buy in ₹:\",ln_avg_profit)\n",
        "print(\"Avg Loss in Long Buy in ₹:\",ln_avg_loss)\n",
        "\n",
        "df4\n",
        "# max_drawdown = (ln_max_profit - (ln_max_profit - ln_max_loss)) / (ln_max_profit - ln_max_loss)\n",
        "# max_drawdown|"
      ],
      "metadata": {
        "id": "L1LKWfk-35PU",
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 948
        },
        "outputId": "f84f34c2-3671-4982-9fbd-d25f21d65e37"
      },
      "execution_count": 41,
      "outputs": [
        {
          "output_type": "stream",
          "name": "stdout",
          "text": [
            "\r[*********************100%***********************]  1 of 1 completed\n",
            "Total Profit/Loss from long strategy for ^NSEI in ₹ per lot 630000.0\n",
            "Max Loss in Long Position in Supertrend Strategy for ^NSEI per lot in ₹ -30450.0\n",
            "Max Profit in Long Position in Supertrend Strategy for ^NSEI per lot in ₹ 137450.0\n",
            "Number of Trades in Profit in Long Buy: 15\n",
            "Number of Trades in Loss in Long Buy: 7\n",
            "Total Trades: 22\n",
            "Count of Trade percentage in loss for ^NSEI in percent (POL) 32 %\n",
            "Count of Trade percentage in Profit for ^NSEI in percent (POP) 68 %\n",
            "p&l ratio for Long Buy Strategy 2.14\n",
            "Avg Profit in Long Buy in ₹: 47593\n",
            "Avg Loss in Long Buy in ₹: -11986\n"
          ]
        },
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "      Buy Date      ln_entry  ln_vix_buy Buy Exit Date       ln_exit  \\\n",
              "0   2016/03/10   7486.149902       17.50    2016/09/29   8591.250000   \n",
              "1   2017/01/05   8273.799805       15.28    2017/08/10   9820.250000   \n",
              "2   2017/09/01   9974.400391       14.10    2017/09/25   9872.599609   \n",
              "3   2017/10/10  10016.950195       13.17    2017/11/14  10186.599609   \n",
              "4   2017/11/27  10399.549805       13.46    2017/12/01  10121.799805   \n",
              "5   2017/12/15  10333.250000       15.09    2018/02/02  10760.599609   \n",
              "6   2018/04/09  10379.349609       15.54    2018/05/21  10516.700195   \n",
              "7   2018/06/07  10768.349609       13.14    2018/09/05  11476.950195   \n",
              "8   2018/11/07  10598.400391       19.04    2019/02/18  10640.950195   \n",
              "9   2019/03/06  11053.000000       15.73    2019/05/08  11359.450195   \n",
              "10  2019/05/20  11828.250000       23.23    2019/07/08  11558.599609   \n",
              "11  2019/09/20  11274.200195       16.01    2020/01/31  11962.099609   \n",
              "12  2020/02/05  12089.150391       14.08    2020/02/25  11797.900391   \n",
              "13  2020/04/09   9111.900391       30.80    2020/09/22  11153.650391   \n",
              "14  2020/10/01  11416.950195       21.10    2021/01/27  13967.500000   \n",
              "15  2021/02/02  14647.849609       21.11    2021/02/26  14529.150391   \n",
              "16  2021/05/18  15108.099609       19.78    2021/10/28  17857.250000   \n",
              "17  2022/01/03  17625.699219       20.83    2022/01/21  17617.150391   \n",
              "18  2022/03/14  16871.300781       19.16    2022/04/19  16958.650391   \n",
              "19  2022/07/07  16132.900391       20.48    2022/08/29  17312.900391   \n",
              "20  2022/09/12  17936.349609       17.48    2022/09/23  17327.349609   \n",
              "21  2022/10/24  17730.750000       17.47    2022/12/16  18269.000000   \n",
              "\n",
              "    ln_vix_sell  position symbol  diff_buy  lot_size     ln_pl  \n",
              "0         14.56  long buy  ^NSEI    1105.0        50   55250.0  \n",
              "1         11.94  long buy  ^NSEI    1546.0        50   77300.0  \n",
              "2         11.47  long buy  ^NSEI    -102.0        50   -5100.0  \n",
              "3         11.91  long buy  ^NSEI     170.0        50    8500.0  \n",
              "4         14.04  long buy  ^NSEI    -278.0        50  -13900.0  \n",
              "5         13.98  long buy  ^NSEI     427.0        50   21350.0  \n",
              "6         13.76  long buy  ^NSEI     137.0        50    6850.0  \n",
              "7         12.90  long buy  ^NSEI     709.0        50   35450.0  \n",
              "8         18.43  long buy  ^NSEI      43.0        50    2150.0  \n",
              "9         20.96  long buy  ^NSEI     306.0        50   15300.0  \n",
              "10        13.90  long buy  ^NSEI    -270.0        50  -13500.0  \n",
              "11        14.61  long buy  ^NSEI     688.0        50   34400.0  \n",
              "12        16.50  long buy  ^NSEI    -291.0        50  -14550.0  \n",
              "13        19.23  long buy  ^NSEI    2042.0        50  102100.0  \n",
              "14        20.50  long buy  ^NSEI    2551.0        50  127550.0  \n",
              "15        23.24  long buy  ^NSEI    -119.0        50   -5950.0  \n",
              "16        16.49  long buy  ^NSEI    2749.0        50  137450.0  \n",
              "17        15.90  long buy  ^NSEI      -9.0        50    -450.0  \n",
              "18        27.47  long buy  ^NSEI      87.0        50    4350.0  \n",
              "19        17.20  long buy  ^NSEI    1180.0        50   59000.0  \n",
              "20        17.68  long buy  ^NSEI    -609.0        50  -30450.0  \n",
              "21        15.57  long buy  ^NSEI     538.0        50   26900.0  "
            ],
            "text/html": [
              "\n",
              "  <div id=\"df-59ec3ee9-93a8-468e-a52e-23429346e56e\">\n",
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              "      <div>\n",
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              "</style>\n",
              "<table border=\"1\" class=\"dataframe\">\n",
              "  <thead>\n",
              "    <tr style=\"text-align: right;\">\n",
              "      <th></th>\n",
              "      <th>Buy Date</th>\n",
              "      <th>ln_entry</th>\n",
              "      <th>ln_vix_buy</th>\n",
              "      <th>Buy Exit Date</th>\n",
              "      <th>ln_exit</th>\n",
              "      <th>ln_vix_sell</th>\n",
              "      <th>position</th>\n",
              "      <th>symbol</th>\n",
              "      <th>diff_buy</th>\n",
              "      <th>lot_size</th>\n",
              "      <th>ln_pl</th>\n",
              "    </tr>\n",
              "  </thead>\n",
              "  <tbody>\n",
              "    <tr>\n",
              "      <th>0</th>\n",
              "      <td>2016/03/10</td>\n",
              "      <td>7486.149902</td>\n",
              "      <td>17.50</td>\n",
              "      <td>2016/09/29</td>\n",
              "      <td>8591.250000</td>\n",
              "      <td>14.56</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>1105.0</td>\n",
              "      <td>50</td>\n",
              "      <td>55250.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1</th>\n",
              "      <td>2017/01/05</td>\n",
              "      <td>8273.799805</td>\n",
              "      <td>15.28</td>\n",
              "      <td>2017/08/10</td>\n",
              "      <td>9820.250000</td>\n",
              "      <td>11.94</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>1546.0</td>\n",
              "      <td>50</td>\n",
              "      <td>77300.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>2</th>\n",
              "      <td>2017/09/01</td>\n",
              "      <td>9974.400391</td>\n",
              "      <td>14.10</td>\n",
              "      <td>2017/09/25</td>\n",
              "      <td>9872.599609</td>\n",
              "      <td>11.47</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-102.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-5100.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>3</th>\n",
              "      <td>2017/10/10</td>\n",
              "      <td>10016.950195</td>\n",
              "      <td>13.17</td>\n",
              "      <td>2017/11/14</td>\n",
              "      <td>10186.599609</td>\n",
              "      <td>11.91</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>170.0</td>\n",
              "      <td>50</td>\n",
              "      <td>8500.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>4</th>\n",
              "      <td>2017/11/27</td>\n",
              "      <td>10399.549805</td>\n",
              "      <td>13.46</td>\n",
              "      <td>2017/12/01</td>\n",
              "      <td>10121.799805</td>\n",
              "      <td>14.04</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-278.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-13900.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>5</th>\n",
              "      <td>2017/12/15</td>\n",
              "      <td>10333.250000</td>\n",
              "      <td>15.09</td>\n",
              "      <td>2018/02/02</td>\n",
              "      <td>10760.599609</td>\n",
              "      <td>13.98</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>427.0</td>\n",
              "      <td>50</td>\n",
              "      <td>21350.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>6</th>\n",
              "      <td>2018/04/09</td>\n",
              "      <td>10379.349609</td>\n",
              "      <td>15.54</td>\n",
              "      <td>2018/05/21</td>\n",
              "      <td>10516.700195</td>\n",
              "      <td>13.76</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>137.0</td>\n",
              "      <td>50</td>\n",
              "      <td>6850.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>7</th>\n",
              "      <td>2018/06/07</td>\n",
              "      <td>10768.349609</td>\n",
              "      <td>13.14</td>\n",
              "      <td>2018/09/05</td>\n",
              "      <td>11476.950195</td>\n",
              "      <td>12.90</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>709.0</td>\n",
              "      <td>50</td>\n",
              "      <td>35450.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>8</th>\n",
              "      <td>2018/11/07</td>\n",
              "      <td>10598.400391</td>\n",
              "      <td>19.04</td>\n",
              "      <td>2019/02/18</td>\n",
              "      <td>10640.950195</td>\n",
              "      <td>18.43</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>43.0</td>\n",
              "      <td>50</td>\n",
              "      <td>2150.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>9</th>\n",
              "      <td>2019/03/06</td>\n",
              "      <td>11053.000000</td>\n",
              "      <td>15.73</td>\n",
              "      <td>2019/05/08</td>\n",
              "      <td>11359.450195</td>\n",
              "      <td>20.96</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>306.0</td>\n",
              "      <td>50</td>\n",
              "      <td>15300.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>10</th>\n",
              "      <td>2019/05/20</td>\n",
              "      <td>11828.250000</td>\n",
              "      <td>23.23</td>\n",
              "      <td>2019/07/08</td>\n",
              "      <td>11558.599609</td>\n",
              "      <td>13.90</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-270.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-13500.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>11</th>\n",
              "      <td>2019/09/20</td>\n",
              "      <td>11274.200195</td>\n",
              "      <td>16.01</td>\n",
              "      <td>2020/01/31</td>\n",
              "      <td>11962.099609</td>\n",
              "      <td>14.61</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>688.0</td>\n",
              "      <td>50</td>\n",
              "      <td>34400.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>12</th>\n",
              "      <td>2020/02/05</td>\n",
              "      <td>12089.150391</td>\n",
              "      <td>14.08</td>\n",
              "      <td>2020/02/25</td>\n",
              "      <td>11797.900391</td>\n",
              "      <td>16.50</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-291.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-14550.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>13</th>\n",
              "      <td>2020/04/09</td>\n",
              "      <td>9111.900391</td>\n",
              "      <td>30.80</td>\n",
              "      <td>2020/09/22</td>\n",
              "      <td>11153.650391</td>\n",
              "      <td>19.23</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>2042.0</td>\n",
              "      <td>50</td>\n",
              "      <td>102100.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>14</th>\n",
              "      <td>2020/10/01</td>\n",
              "      <td>11416.950195</td>\n",
              "      <td>21.10</td>\n",
              "      <td>2021/01/27</td>\n",
              "      <td>13967.500000</td>\n",
              "      <td>20.50</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>2551.0</td>\n",
              "      <td>50</td>\n",
              "      <td>127550.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>15</th>\n",
              "      <td>2021/02/02</td>\n",
              "      <td>14647.849609</td>\n",
              "      <td>21.11</td>\n",
              "      <td>2021/02/26</td>\n",
              "      <td>14529.150391</td>\n",
              "      <td>23.24</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-119.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-5950.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>16</th>\n",
              "      <td>2021/05/18</td>\n",
              "      <td>15108.099609</td>\n",
              "      <td>19.78</td>\n",
              "      <td>2021/10/28</td>\n",
              "      <td>17857.250000</td>\n",
              "      <td>16.49</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>2749.0</td>\n",
              "      <td>50</td>\n",
              "      <td>137450.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>17</th>\n",
              "      <td>2022/01/03</td>\n",
              "      <td>17625.699219</td>\n",
              "      <td>20.83</td>\n",
              "      <td>2022/01/21</td>\n",
              "      <td>17617.150391</td>\n",
              "      <td>15.90</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-9.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-450.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>18</th>\n",
              "      <td>2022/03/14</td>\n",
              "      <td>16871.300781</td>\n",
              "      <td>19.16</td>\n",
              "      <td>2022/04/19</td>\n",
              "      <td>16958.650391</td>\n",
              "      <td>27.47</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>87.0</td>\n",
              "      <td>50</td>\n",
              "      <td>4350.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>19</th>\n",
              "      <td>2022/07/07</td>\n",
              "      <td>16132.900391</td>\n",
              "      <td>20.48</td>\n",
              "      <td>2022/08/29</td>\n",
              "      <td>17312.900391</td>\n",
              "      <td>17.20</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>1180.0</td>\n",
              "      <td>50</td>\n",
              "      <td>59000.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>20</th>\n",
              "      <td>2022/09/12</td>\n",
              "      <td>17936.349609</td>\n",
              "      <td>17.48</td>\n",
              "      <td>2022/09/23</td>\n",
              "      <td>17327.349609</td>\n",
              "      <td>17.68</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>-609.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-30450.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>21</th>\n",
              "      <td>2022/10/24</td>\n",
              "      <td>17730.750000</td>\n",
              "      <td>17.47</td>\n",
              "      <td>2022/12/16</td>\n",
              "      <td>18269.000000</td>\n",
              "      <td>15.57</td>\n",
              "      <td>long buy</td>\n",
              "      <td>^NSEI</td>\n",
              "      <td>538.0</td>\n",
              "      <td>50</td>\n",
              "      <td>26900.0</td>\n",
              "    </tr>\n",
              "  </tbody>\n",
              "</table>\n",
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          "metadata": {},
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        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "def backtest_supertrend_sell(data):\n",
        "    # is_downtrend = data['downtrend']\n",
        "    is_uptrend = data['Supertrend']\n",
        "    close = data['Close']\n",
        "    vix = data['vix']\n",
        "    \n",
        "    # initial condition\n",
        "    in_position = False\n",
        "    entry_sell = []\n",
        "    exit_sell = []\n",
        "    \n",
        "    for i in range(2, len(data)):\n",
        "        # if not in position & price is on uptrend -> buy\n",
        "        if not in_position and not is_uptrend[i]:\n",
        "            # share = math.floor(equity / close[i] / 100) * 100\n",
        "            # equity -= share * close[i]\n",
        "            entry_sell.append((data.index[i].strftime(\"%Y/%m/%d\"), close[i], vix[i])) # %H:%M:%S\n",
        "            in_position = True\n",
        "            # print(f'Sell {share} shares at {round(close[i],2)} on {data.index[i].strftime(\"%Y/%m/%d %H:%M:%S\")}')\n",
        "        elif in_position and is_uptrend[i]:\n",
        "            # equity += share * close[i]\n",
        "            exit_sell.append((data.index[i].strftime(\"%Y/%m/%d\"), close[i], vix[i])) # %H:%M:%S\n",
        "            in_position = False\n",
        "            # print(f'Buy at {round(close[i],2)} on {data.index[i].strftime(\"%Y/%m/%d %H:%M:%S\")}')\n",
        "    return entry_sell, exit_sell\n",
        "entry_sell, exit_sell= backtest_supertrend_sell(data)\n",
        "df_sell_1 = (pd.DataFrame(entry_sell, columns=['Sell Date', 'sh_entry','sh_vix_entry']).explode('sh_entry', ignore_index=True))\n",
        "df_sell_2 = (pd.DataFrame(exit_sell, columns=['Sell Exit Date', 'sh_exit','sh_vix_exit']).explode('sh_exit', ignore_index=True))\n",
        "df_sell = pd.concat([df_sell_1, df_sell_2], axis=1)\n",
        "df_sell['diff_sell'] = df_sell['sh_entry'] - df_sell['sh_exit']\n",
        "df_sell['lot_size'] = lot_size\n",
        "df_sell['sh_pl'] = round(df_sell['diff_sell'] * lot_size)\n",
        "df_sell['position'] = \"short sell\"\n",
        "df_sell['symbol'] = symbol\n",
        "sum_sh = df_sell['sh_pl'].sum()\n",
        "print(f\"Total Profit/Loss from short strategy for {symbol} in ₹ per lot\",sum_sh)\n",
        "sh_max_loss = df_sell['sh_pl'].min()\n",
        "print(f\"Max Loss in short Position in Supertrend Strategy for {symbol} per lot in ₹:\",sh_max_loss) \n",
        "sh_max_profit = df_sell['sh_pl'].max()\n",
        "print(f\"Max Profit in short Position in Supertrend Strategy for {symbol} per lot in ₹:\",sh_max_profit) \n",
        "\n",
        "sh_loss = (df_sell['sh_pl'][df_sell['sh_pl']<0].count())\n",
        "print(\"Number of Trades in Loss in Short Sell:\",sh_loss)\n",
        "sh_profit = (df_sell['sh_pl'][df_sell['sh_pl']>0].count())\n",
        "print(\"Number of Trades in Profit in Short Sell:\",sh_profit)\n",
        "total_trade_sh = df_sell.shape[0] - 1\n",
        "print(\"Total Trades in Short Sell Strategy:\", total_trade_sh)\n",
        "# sh_count_loss_trades = (df_sell['sh_pl'] < 0).sum()\n",
        "# print(sh_count_loss_trades)\n",
        "# sh_count_profit_trades = (df_sell['sh_pl'] > 0).sum()\n",
        "# print(sh_count_profit_trades)\n",
        "\n",
        "# sh_trade_count = df_sell.shape[0]l\n",
        "sh_loss_pct = round((sh_loss/total_trade_sh)*100)\n",
        "sh_profit_pct = round((sh_profit/total_trade_sh)*100)\n",
        "print(f\"Count of Trade percentage in Loss for {symbol} in percent (POL)\",sh_loss_pct,\"%\")\n",
        "print(f\"Count of Trade percentage in Profit for {symbol} in percent (POP)\",sh_profit_pct,\"%\")\n",
        "sh_pl_ratio = round(sh_profit / sh_loss,2)\n",
        "print(\"P&L Ration:\", sh_pl_ratio)   #Ideally should be greater than 1 for better Risk Reward Ratio\n",
        "sh_avg_profit = round((df_sell['sh_pl'][df_sell['sh_pl']>0].mean()))\n",
        "sh_avg_loss = round((df_sell['sh_pl'][df_sell['sh_pl']<0].mean()))\n",
        "print(\"Avg Profit in Short Sell in ₹:\",sh_avg_profit)\n",
        "print(\"Avg Loss in Short Sell in ₹:\",sh_avg_loss)\n",
        "# df_sell"
      ],
      "metadata": {
        "id": "DK3qR-Ju52BP",
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "outputId": "283be399-c31c-43fa-c073-e8d56788fa56"
      },
      "execution_count": 42,
      "outputs": [
        {
          "output_type": "stream",
          "name": "stdout",
          "text": [
            "Total Profit/Loss from short strategy for ^NSEI in ₹ per lot 90945.0\n",
            "Max Loss in short Position in Supertrend Strategy for ^NSEI per lot in ₹: -34017.0\n",
            "Max Profit in short Position in Supertrend Strategy for ^NSEI per lot in ₹: 134300.0\n",
            "Number of Trades in Loss in Short Sell: 13\n",
            "Number of Trades in Profit in Short Sell: 8\n",
            "Total Trades in Short Sell Strategy: 21\n",
            "Count of Trade percentage in Loss for ^NSEI in percent (POL) 62 %\n",
            "Count of Trade percentage in Profit for ^NSEI in percent (POP) 38 %\n",
            "P&L Ration: 0.62\n",
            "Avg Profit in Short Sell in ₹: 39692\n",
            "Avg Loss in Short Sell in ₹: -17430\n"
          ]
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "df_sell"
      ],
      "metadata": {
        "id": "wtc-BFBhX2-L",
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 739
        },
        "outputId": "6df8728f-1fd1-437a-8a2f-da308835fade"
      },
      "execution_count": 43,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "     Sell Date      sh_entry  sh_vix_entry Sell Exit Date       sh_exit  \\\n",
              "0   2016/09/29   8591.250000         14.56     2017/01/05   8273.799805   \n",
              "1   2017/08/10   9820.250000         11.94     2017/09/01   9974.400391   \n",
              "2   2017/09/25   9872.599609         11.47     2017/10/10  10016.950195   \n",
              "3   2017/11/14  10186.599609         11.91     2017/11/27  10399.549805   \n",
              "4   2017/12/01  10121.799805         14.04     2017/12/15  10333.250000   \n",
              "5   2018/02/02  10760.599609         13.98     2018/04/09  10379.349609   \n",
              "6   2018/05/21  10516.700195         13.76     2018/06/07  10768.349609   \n",
              "7   2018/09/05  11476.950195         12.90     2018/11/07  10598.400391   \n",
              "8   2019/02/18  10640.950195         18.43     2019/03/06  11053.000000   \n",
              "9   2019/05/08  11359.450195         20.96     2019/05/20  11828.250000   \n",
              "10  2019/07/08  11558.599609         13.90     2019/09/20  11274.200195   \n",
              "11  2020/01/31  11962.099609         14.61     2020/02/05  12089.150391   \n",
              "12  2020/02/25  11797.900391         16.50     2020/04/09   9111.900391   \n",
              "13  2020/09/22  11153.650391         19.23     2020/10/01  11416.950195   \n",
              "14  2021/01/27  13967.500000         20.50     2021/02/02  14647.849609   \n",
              "15  2021/02/26  14529.150391         23.24     2021/05/18  15108.099609   \n",
              "16  2021/10/28  17857.250000         16.49     2022/01/03  17625.699219   \n",
              "17  2022/01/21  17617.150391         15.90     2022/03/14  16871.300781   \n",
              "18  2022/04/19  16958.650391         27.47     2022/07/07  16132.900391   \n",
              "19  2022/08/29  17312.900391         17.20     2022/09/12  17936.349609   \n",
              "20  2022/09/23  17327.349609         17.68     2022/10/24  17730.750000   \n",
              "21  2022/12/16  18269.000000         15.57            NaN           NaN   \n",
              "\n",
              "    sh_vix_exit    diff_sell  lot_size     sh_pl    position symbol  \n",
              "0         15.28   317.450195        50   15873.0  short sell  ^NSEI  \n",
              "1         14.10  -154.150391        50   -7708.0  short sell  ^NSEI  \n",
              "2         13.17  -144.350586        50   -7218.0  short sell  ^NSEI  \n",
              "3         13.46  -212.950195        50  -10648.0  short sell  ^NSEI  \n",
              "4         15.09  -211.450195        50  -10573.0  short sell  ^NSEI  \n",
              "5         15.54   381.250000        50   19062.0  short sell  ^NSEI  \n",
              "6         13.14  -251.649414        50  -12582.0  short sell  ^NSEI  \n",
              "7         19.04   878.549805        50   43927.0  short sell  ^NSEI  \n",
              "8         15.73  -412.049805        50  -20602.0  short sell  ^NSEI  \n",
              "9         23.23  -468.799805        50  -23440.0  short sell  ^NSEI  \n",
              "10        16.01   284.399414        50   14220.0  short sell  ^NSEI  \n",
              "11        14.08  -127.050781        50   -6353.0  short sell  ^NSEI  \n",
              "12        30.80  2686.000000        50  134300.0  short sell  ^NSEI  \n",
              "13        21.10  -263.299805        50  -13165.0  short sell  ^NSEI  \n",
              "14        21.11  -680.349609        50  -34017.0  short sell  ^NSEI  \n",
              "15        19.78  -578.949219        50  -28947.0  short sell  ^NSEI  \n",
              "16        20.83   231.550781        50   11578.0  short sell  ^NSEI  \n",
              "17        19.16   745.849609        50   37292.0  short sell  ^NSEI  \n",
              "18        20.48   825.750000        50   41288.0  short sell  ^NSEI  \n",
              "19        17.48  -623.449219        50  -31172.0  short sell  ^NSEI  \n",
              "20        17.47  -403.400391        50  -20170.0  short sell  ^NSEI  \n",
              "21          NaN          NaN        50       NaN  short sell  ^NSEI  "
            ],
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              "  <thead>\n",
              "    <tr style=\"text-align: right;\">\n",
              "      <th></th>\n",
              "      <th>Sell Date</th>\n",
              "      <th>sh_entry</th>\n",
              "      <th>sh_vix_entry</th>\n",
              "      <th>Sell Exit Date</th>\n",
              "      <th>sh_exit</th>\n",
              "      <th>sh_vix_exit</th>\n",
              "      <th>diff_sell</th>\n",
              "      <th>lot_size</th>\n",
              "      <th>sh_pl</th>\n",
              "      <th>position</th>\n",
              "      <th>symbol</th>\n",
              "    </tr>\n",
              "  </thead>\n",
              "  <tbody>\n",
              "    <tr>\n",
              "      <th>0</th>\n",
              "      <td>2016/09/29</td>\n",
              "      <td>8591.250000</td>\n",
              "      <td>14.56</td>\n",
              "      <td>2017/01/05</td>\n",
              "      <td>8273.799805</td>\n",
              "      <td>15.28</td>\n",
              "      <td>317.450195</td>\n",
              "      <td>50</td>\n",
              "      <td>15873.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1</th>\n",
              "      <td>2017/08/10</td>\n",
              "      <td>9820.250000</td>\n",
              "      <td>11.94</td>\n",
              "      <td>2017/09/01</td>\n",
              "      <td>9974.400391</td>\n",
              "      <td>14.10</td>\n",
              "      <td>-154.150391</td>\n",
              "      <td>50</td>\n",
              "      <td>-7708.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>2</th>\n",
              "      <td>2017/09/25</td>\n",
              "      <td>9872.599609</td>\n",
              "      <td>11.47</td>\n",
              "      <td>2017/10/10</td>\n",
              "      <td>10016.950195</td>\n",
              "      <td>13.17</td>\n",
              "      <td>-144.350586</td>\n",
              "      <td>50</td>\n",
              "      <td>-7218.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>3</th>\n",
              "      <td>2017/11/14</td>\n",
              "      <td>10186.599609</td>\n",
              "      <td>11.91</td>\n",
              "      <td>2017/11/27</td>\n",
              "      <td>10399.549805</td>\n",
              "      <td>13.46</td>\n",
              "      <td>-212.950195</td>\n",
              "      <td>50</td>\n",
              "      <td>-10648.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>4</th>\n",
              "      <td>2017/12/01</td>\n",
              "      <td>10121.799805</td>\n",
              "      <td>14.04</td>\n",
              "      <td>2017/12/15</td>\n",
              "      <td>10333.250000</td>\n",
              "      <td>15.09</td>\n",
              "      <td>-211.450195</td>\n",
              "      <td>50</td>\n",
              "      <td>-10573.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>5</th>\n",
              "      <td>2018/02/02</td>\n",
              "      <td>10760.599609</td>\n",
              "      <td>13.98</td>\n",
              "      <td>2018/04/09</td>\n",
              "      <td>10379.349609</td>\n",
              "      <td>15.54</td>\n",
              "      <td>381.250000</td>\n",
              "      <td>50</td>\n",
              "      <td>19062.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>6</th>\n",
              "      <td>2018/05/21</td>\n",
              "      <td>10516.700195</td>\n",
              "      <td>13.76</td>\n",
              "      <td>2018/06/07</td>\n",
              "      <td>10768.349609</td>\n",
              "      <td>13.14</td>\n",
              "      <td>-251.649414</td>\n",
              "      <td>50</td>\n",
              "      <td>-12582.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>7</th>\n",
              "      <td>2018/09/05</td>\n",
              "      <td>11476.950195</td>\n",
              "      <td>12.90</td>\n",
              "      <td>2018/11/07</td>\n",
              "      <td>10598.400391</td>\n",
              "      <td>19.04</td>\n",
              "      <td>878.549805</td>\n",
              "      <td>50</td>\n",
              "      <td>43927.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>8</th>\n",
              "      <td>2019/02/18</td>\n",
              "      <td>10640.950195</td>\n",
              "      <td>18.43</td>\n",
              "      <td>2019/03/06</td>\n",
              "      <td>11053.000000</td>\n",
              "      <td>15.73</td>\n",
              "      <td>-412.049805</td>\n",
              "      <td>50</td>\n",
              "      <td>-20602.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>9</th>\n",
              "      <td>2019/05/08</td>\n",
              "      <td>11359.450195</td>\n",
              "      <td>20.96</td>\n",
              "      <td>2019/05/20</td>\n",
              "      <td>11828.250000</td>\n",
              "      <td>23.23</td>\n",
              "      <td>-468.799805</td>\n",
              "      <td>50</td>\n",
              "      <td>-23440.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>10</th>\n",
              "      <td>2019/07/08</td>\n",
              "      <td>11558.599609</td>\n",
              "      <td>13.90</td>\n",
              "      <td>2019/09/20</td>\n",
              "      <td>11274.200195</td>\n",
              "      <td>16.01</td>\n",
              "      <td>284.399414</td>\n",
              "      <td>50</td>\n",
              "      <td>14220.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>11</th>\n",
              "      <td>2020/01/31</td>\n",
              "      <td>11962.099609</td>\n",
              "      <td>14.61</td>\n",
              "      <td>2020/02/05</td>\n",
              "      <td>12089.150391</td>\n",
              "      <td>14.08</td>\n",
              "      <td>-127.050781</td>\n",
              "      <td>50</td>\n",
              "      <td>-6353.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>12</th>\n",
              "      <td>2020/02/25</td>\n",
              "      <td>11797.900391</td>\n",
              "      <td>16.50</td>\n",
              "      <td>2020/04/09</td>\n",
              "      <td>9111.900391</td>\n",
              "      <td>30.80</td>\n",
              "      <td>2686.000000</td>\n",
              "      <td>50</td>\n",
              "      <td>134300.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>13</th>\n",
              "      <td>2020/09/22</td>\n",
              "      <td>11153.650391</td>\n",
              "      <td>19.23</td>\n",
              "      <td>2020/10/01</td>\n",
              "      <td>11416.950195</td>\n",
              "      <td>21.10</td>\n",
              "      <td>-263.299805</td>\n",
              "      <td>50</td>\n",
              "      <td>-13165.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>14</th>\n",
              "      <td>2021/01/27</td>\n",
              "      <td>13967.500000</td>\n",
              "      <td>20.50</td>\n",
              "      <td>2021/02/02</td>\n",
              "      <td>14647.849609</td>\n",
              "      <td>21.11</td>\n",
              "      <td>-680.349609</td>\n",
              "      <td>50</td>\n",
              "      <td>-34017.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>15</th>\n",
              "      <td>2021/02/26</td>\n",
              "      <td>14529.150391</td>\n",
              "      <td>23.24</td>\n",
              "      <td>2021/05/18</td>\n",
              "      <td>15108.099609</td>\n",
              "      <td>19.78</td>\n",
              "      <td>-578.949219</td>\n",
              "      <td>50</td>\n",
              "      <td>-28947.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>16</th>\n",
              "      <td>2021/10/28</td>\n",
              "      <td>17857.250000</td>\n",
              "      <td>16.49</td>\n",
              "      <td>2022/01/03</td>\n",
              "      <td>17625.699219</td>\n",
              "      <td>20.83</td>\n",
              "      <td>231.550781</td>\n",
              "      <td>50</td>\n",
              "      <td>11578.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>17</th>\n",
              "      <td>2022/01/21</td>\n",
              "      <td>17617.150391</td>\n",
              "      <td>15.90</td>\n",
              "      <td>2022/03/14</td>\n",
              "      <td>16871.300781</td>\n",
              "      <td>19.16</td>\n",
              "      <td>745.849609</td>\n",
              "      <td>50</td>\n",
              "      <td>37292.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>18</th>\n",
              "      <td>2022/04/19</td>\n",
              "      <td>16958.650391</td>\n",
              "      <td>27.47</td>\n",
              "      <td>2022/07/07</td>\n",
              "      <td>16132.900391</td>\n",
              "      <td>20.48</td>\n",
              "      <td>825.750000</td>\n",
              "      <td>50</td>\n",
              "      <td>41288.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>19</th>\n",
              "      <td>2022/08/29</td>\n",
              "      <td>17312.900391</td>\n",
              "      <td>17.20</td>\n",
              "      <td>2022/09/12</td>\n",
              "      <td>17936.349609</td>\n",
              "      <td>17.48</td>\n",
              "      <td>-623.449219</td>\n",
              "      <td>50</td>\n",
              "      <td>-31172.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>20</th>\n",
              "      <td>2022/09/23</td>\n",
              "      <td>17327.349609</td>\n",
              "      <td>17.68</td>\n",
              "      <td>2022/10/24</td>\n",
              "      <td>17730.750000</td>\n",
              "      <td>17.47</td>\n",
              "      <td>-403.400391</td>\n",
              "      <td>50</td>\n",
              "      <td>-20170.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>21</th>\n",
              "      <td>2022/12/16</td>\n",
              "      <td>18269.000000</td>\n",
              "      <td>15.57</td>\n",
              "      <td>NaN</td>\n",
              "      <td>NaN</td>\n",
              "      <td>NaN</td>\n",
              "      <td>NaN</td>\n",
              "      <td>50</td>\n",
              "      <td>NaN</td>\n",
              "      <td>short sell</td>\n",
              "      <td>^NSEI</td>\n",
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          "metadata": {},
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      ]
    },
    {
      "cell_type": "code",
      "source": [
        "# df_sup = pd.concat([df4,df_sell])\n",
        "# df_sup\n",
        "\n",
        "df_sup_ln = df4.copy()\n",
        "df_sup_ln = df_sup_ln.rename({'Buy Date': 'entry_date', 'Buy Exit Date': 'exit_date','ln_entry': 'entry','ln_exit': 'exit','ln_vix_buy': 'vix_entry','ln_vix_sell': 'vix_exit',\n",
        "                              'diff_buy': 'diff','ln_pl': 'pl'}, axis=1)\n",
        "df_sup_sh = df_sell.copy()\n",
        "df_sup_sh = df_sup_sh.rename({'Sell Date': 'entry_date', 'Sell Exit Date': 'exit_date','sh_entry': 'entry','sh_exit': 'exit', 'sh_vix_entry': 'vix_entry','sh_vix_exit': 'vix_exit',\n",
        "                              'diff_sell': 'diff','sh_pl': 'pl'}, axis=1)\n",
        "df_sup = pd.concat([df_sup_ln,df_sup_sh])\n",
        "\n",
        "##***********************************************************************\n",
        "# df_sup[['entry_date','exit_date']] = df_sup[['entry_date','exit_date']].apply(pd.to_datetime, format='%Y/%m/%d %H:%M:%S.%f') #.%f\n",
        "# Remove spaces. Have in mind this will remove all spaces.\n",
        "# df_sup.iloc[:, 0:2] = df_sup.iloc[:, 0:2].apply(pd.to_datetime, errors='coerce')\n",
        "df_sup = df_sup.sort_values(['entry_date'] ) #, ascending=[0]\n",
        "df_sup[['entry_date','exit_date']] = df_sup[['entry_date','exit_date']].apply(pd.to_datetime) #if conversion required\n",
        "df_sup['days_in_trade'] = (df_sup['exit_date'] - df_sup['entry_date']).dt.days\n",
        "streak = df_sup['pl'].to_list()\n",
        "\n",
        "##https://www.geeksforgeeks.org/python-maximum-length-consecutive-positive-elements/\n",
        "from collections import defaultdict\n",
        "from itertools import groupby\n",
        "counter = defaultdict(list)\n",
        "for key, val in groupby(streak, lambda ele: \"plus\" if ele >= 0 else \"minus\"):\n",
        "    counter[key].append(len(list(val)))\n",
        "res = []\n",
        "for key in ('plus', 'minus'):\n",
        "    res.append(counter[key])\n",
        "df_sup = df_sup.round()\n",
        "print(\"Overall Winning Streak \" + str(max(res[0])))\n",
        "print(\"Overall Losing Streak : \" + str(max(res[1])))\n",
        "max_profit = df_sup['pl'].max()\n",
        "max_loss = df_sup['pl'].min()\n",
        "total_pl = df_sup['pl'].sum()\n",
        "print(f\"Max Profit Overall in Supertrend Strategy for {symbol} per lot in ₹\",max_profit) \n",
        "print(f\"Max Loss Overall in Supertrend Strategy for {symbol} per lot in ₹\",max_loss)\n",
        "print(f\"Total Overall P&L in Supertrend Strategy for {symbol} per lot in ₹\",total_pl)\n",
        "m = df_sup['pl'].gt(0).map({True: 'positive', False: 'negative'})\n",
        "streak_sum = df_sup.groupby([m, m.ne(m.shift()).cumsum()])['pl'].agg(['count', 'sum'])\n",
        "sum_out = streak_sum.loc[streak_sum.groupby(level=0)['count'].idxmax(), 'sum'].droplevel(1)\n",
        "print(f\"Overall Losing Streak Loss in Supertrend Strategy for {symbol} FUT per lot in ₹\",sum_out.values[0])\n",
        "print(f\"Overall Winning Streak Profit in Supertrend Strategy for {symbol} FUT per lot in ₹\",sum_out.values[1])\n",
        "total_trades = df_sup.shape[0] - 1\n",
        "print(\"Total Trades:\",total_trades)\n",
        "loss_making_trade = (df_sup['pl'] < 0).sum()\n",
        "print(\"Count of Trades having Loss:\", loss_making_trade)\n",
        "profitable_trade = (df_sup['pl'] > 0).sum()\n",
        "print(\"Count of Trades having Profit:\", profitable_trade)\n",
        "df_sup_pl_ratio = round(profitable_trade/loss_making_trade,2)\n",
        "print(\"SuperTrend Strategy P&L ratio\", df_sup_pl_ratio)\n",
        "df_sup_loss_pct = round((loss_making_trade/total_trades)*100)\n",
        "df_sup_profit_pct = round((profitable_trade/total_trades)*100)\n",
        "print(f\"Count of Trade percentage in Loss for {symbol} in percent (POL)\",df_sup_loss_pct,\"%\")\n",
        "print(f\"Count of Trade percentage in Profit for {symbol} in percent (POP)\",df_sup_profit_pct,\"%\")"
      ],
      "metadata": {
        "id": "qgxtIvfShbNS",
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "outputId": "53296b57-e33b-4f05-ed3a-f162b55cb788"
      },
      "execution_count": 44,
      "outputs": [
        {
          "output_type": "stream",
          "name": "stdout",
          "text": [
            "Overall Winning Streak 4\n",
            "Overall Losing Streak : 3\n",
            "Max Profit Overall in Supertrend Strategy for ^NSEI per lot in ₹ 137450.0\n",
            "Max Loss Overall in Supertrend Strategy for ^NSEI per lot in ₹ -34017.0\n",
            "Total Overall P&L in Supertrend Strategy for ^NSEI per lot in ₹ 720945.0\n",
            "Overall Losing Streak Loss in Supertrend Strategy for ^NSEI FUT per lot in ₹ -20026.0\n",
            "Overall Winning Streak Profit in Supertrend Strategy for ^NSEI FUT per lot in ₹ 141930.0\n",
            "Total Trades: 43\n",
            "Count of Trades having Loss: 20\n",
            "Count of Trades having Profit: 23\n",
            "SuperTrend Strategy P&L ratio 1.15\n",
            "Count of Trade percentage in Loss for ^NSEI in percent (POL) 47 %\n",
            "Count of Trade percentage in Profit for ^NSEI in percent (POP) 53 %\n"
          ]
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "df_sup.set_index('symbol', inplace=True)\n",
        "df_sup"
      ],
      "metadata": {
        "id": "AsSJppa1DV6A",
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 1000
        },
        "outputId": "70b05b52-8390-4ce2-c21a-f56440ff1cb0"
      },
      "execution_count": 45,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "       entry_date    entry  vix_entry  exit_date     exit  vix_exit  \\\n",
              "symbol                                                                \n",
              "^NSEI  2016-03-10   7486.0       18.0 2016-09-29   8591.0      15.0   \n",
              "^NSEI  2016-09-29   8591.0       15.0 2017-01-05   8274.0      15.0   \n",
              "^NSEI  2017-01-05   8274.0       15.0 2017-08-10   9820.0      12.0   \n",
              "^NSEI  2017-08-10   9820.0       12.0 2017-09-01   9974.0      14.0   \n",
              "^NSEI  2017-09-01   9974.0       14.0 2017-09-25   9873.0      11.0   \n",
              "^NSEI  2017-09-25   9873.0       11.0 2017-10-10  10017.0      13.0   \n",
              "^NSEI  2017-10-10  10017.0       13.0 2017-11-14  10187.0      12.0   \n",
              "^NSEI  2017-11-14  10187.0       12.0 2017-11-27  10400.0      13.0   \n",
              "^NSEI  2017-11-27  10400.0       13.0 2017-12-01  10122.0      14.0   \n",
              "^NSEI  2017-12-01  10122.0       14.0 2017-12-15  10333.0      15.0   \n",
              "^NSEI  2017-12-15  10333.0       15.0 2018-02-02  10761.0      14.0   \n",
              "^NSEI  2018-02-02  10761.0       14.0 2018-04-09  10379.0      16.0   \n",
              "^NSEI  2018-04-09  10379.0       16.0 2018-05-21  10517.0      14.0   \n",
              "^NSEI  2018-05-21  10517.0       14.0 2018-06-07  10768.0      13.0   \n",
              "^NSEI  2018-06-07  10768.0       13.0 2018-09-05  11477.0      13.0   \n",
              "^NSEI  2018-09-05  11477.0       13.0 2018-11-07  10598.0      19.0   \n",
              "^NSEI  2018-11-07  10598.0       19.0 2019-02-18  10641.0      18.0   \n",
              "^NSEI  2019-02-18  10641.0       18.0 2019-03-06  11053.0      16.0   \n",
              "^NSEI  2019-03-06  11053.0       16.0 2019-05-08  11359.0      21.0   \n",
              "^NSEI  2019-05-08  11359.0       21.0 2019-05-20  11828.0      23.0   \n",
              "^NSEI  2019-05-20  11828.0       23.0 2019-07-08  11559.0      14.0   \n",
              "^NSEI  2019-07-08  11559.0       14.0 2019-09-20  11274.0      16.0   \n",
              "^NSEI  2019-09-20  11274.0       16.0 2020-01-31  11962.0      15.0   \n",
              "^NSEI  2020-01-31  11962.0       15.0 2020-02-05  12089.0      14.0   \n",
              "^NSEI  2020-02-05  12089.0       14.0 2020-02-25  11798.0      16.0   \n",
              "^NSEI  2020-02-25  11798.0       16.0 2020-04-09   9112.0      31.0   \n",
              "^NSEI  2020-04-09   9112.0       31.0 2020-09-22  11154.0      19.0   \n",
              "^NSEI  2020-09-22  11154.0       19.0 2020-10-01  11417.0      21.0   \n",
              "^NSEI  2020-10-01  11417.0       21.0 2021-01-27  13968.0      20.0   \n",
              "^NSEI  2021-01-27  13968.0       20.0 2021-02-02  14648.0      21.0   \n",
              "^NSEI  2021-02-02  14648.0       21.0 2021-02-26  14529.0      23.0   \n",
              "^NSEI  2021-02-26  14529.0       23.0 2021-05-18  15108.0      20.0   \n",
              "^NSEI  2021-05-18  15108.0       20.0 2021-10-28  17857.0      16.0   \n",
              "^NSEI  2021-10-28  17857.0       16.0 2022-01-03  17626.0      21.0   \n",
              "^NSEI  2022-01-03  17626.0       21.0 2022-01-21  17617.0      16.0   \n",
              "^NSEI  2022-01-21  17617.0       16.0 2022-03-14  16871.0      19.0   \n",
              "^NSEI  2022-03-14  16871.0       19.0 2022-04-19  16959.0      27.0   \n",
              "^NSEI  2022-04-19  16959.0       27.0 2022-07-07  16133.0      20.0   \n",
              "^NSEI  2022-07-07  16133.0       20.0 2022-08-29  17313.0      17.0   \n",
              "^NSEI  2022-08-29  17313.0       17.0 2022-09-12  17936.0      17.0   \n",
              "^NSEI  2022-09-12  17936.0       17.0 2022-09-23  17327.0      18.0   \n",
              "^NSEI  2022-09-23  17327.0       18.0 2022-10-24  17731.0      17.0   \n",
              "^NSEI  2022-10-24  17731.0       17.0 2022-12-16  18269.0      16.0   \n",
              "^NSEI  2022-12-16  18269.0       16.0        NaT      NaN       NaN   \n",
              "\n",
              "          position    diff  lot_size        pl  days_in_trade  \n",
              "symbol                                                         \n",
              "^NSEI     long buy  1105.0        50   55250.0          203.0  \n",
              "^NSEI   short sell   317.0        50   15873.0           98.0  \n",
              "^NSEI     long buy  1546.0        50   77300.0          217.0  \n",
              "^NSEI   short sell  -154.0        50   -7708.0           22.0  \n",
              "^NSEI     long buy  -102.0        50   -5100.0           24.0  \n",
              "^NSEI   short sell  -144.0        50   -7218.0           15.0  \n",
              "^NSEI     long buy   170.0        50    8500.0           35.0  \n",
              "^NSEI   short sell  -213.0        50  -10648.0           13.0  \n",
              "^NSEI     long buy  -278.0        50  -13900.0            4.0  \n",
              "^NSEI   short sell  -211.0        50  -10573.0           14.0  \n",
              "^NSEI     long buy   427.0        50   21350.0           49.0  \n",
              "^NSEI   short sell   381.0        50   19062.0           66.0  \n",
              "^NSEI     long buy   137.0        50    6850.0           42.0  \n",
              "^NSEI   short sell  -252.0        50  -12582.0           17.0  \n",
              "^NSEI     long buy   709.0        50   35450.0           90.0  \n",
              "^NSEI   short sell   879.0        50   43927.0           63.0  \n",
              "^NSEI     long buy    43.0        50    2150.0          103.0  \n",
              "^NSEI   short sell  -412.0        50  -20602.0           16.0  \n",
              "^NSEI     long buy   306.0        50   15300.0           63.0  \n",
              "^NSEI   short sell  -469.0        50  -23440.0           12.0  \n",
              "^NSEI     long buy  -270.0        50  -13500.0           49.0  \n",
              "^NSEI   short sell   284.0        50   14220.0           74.0  \n",
              "^NSEI     long buy   688.0        50   34400.0          133.0  \n",
              "^NSEI   short sell  -127.0        50   -6353.0            5.0  \n",
              "^NSEI     long buy  -291.0        50  -14550.0           20.0  \n",
              "^NSEI   short sell  2686.0        50  134300.0           44.0  \n",
              "^NSEI     long buy  2042.0        50  102100.0          166.0  \n",
              "^NSEI   short sell  -263.0        50  -13165.0            9.0  \n",
              "^NSEI     long buy  2551.0        50  127550.0          118.0  \n",
              "^NSEI   short sell  -680.0        50  -34017.0            6.0  \n",
              "^NSEI     long buy  -119.0        50   -5950.0           24.0  \n",
              "^NSEI   short sell  -579.0        50  -28947.0           81.0  \n",
              "^NSEI     long buy  2749.0        50  137450.0          163.0  \n",
              "^NSEI   short sell   232.0        50   11578.0           67.0  \n",
              "^NSEI     long buy    -9.0        50    -450.0           18.0  \n",
              "^NSEI   short sell   746.0        50   37292.0           52.0  \n",
              "^NSEI     long buy    87.0        50    4350.0           36.0  \n",
              "^NSEI   short sell   826.0        50   41288.0           79.0  \n",
              "^NSEI     long buy  1180.0        50   59000.0           53.0  \n",
              "^NSEI   short sell  -623.0        50  -31172.0           14.0  \n",
              "^NSEI     long buy  -609.0        50  -30450.0           11.0  \n",
              "^NSEI   short sell  -403.0        50  -20170.0           31.0  \n",
              "^NSEI     long buy   538.0        50   26900.0           53.0  \n",
              "^NSEI   short sell     NaN        50       NaN            NaN  "
            ],
            "text/html": [
              "\n",
              "  <div id=\"df-29362438-3a35-4cd4-b5e3-afb19ce5a937\">\n",
              "    <div class=\"colab-df-container\">\n",
              "      <div>\n",
              "<style scoped>\n",
              "    .dataframe tbody tr th:only-of-type {\n",
              "        vertical-align: middle;\n",
              "    }\n",
              "\n",
              "    .dataframe tbody tr th {\n",
              "        vertical-align: top;\n",
              "    }\n",
              "\n",
              "    .dataframe thead th {\n",
              "        text-align: right;\n",
              "    }\n",
              "</style>\n",
              "<table border=\"1\" class=\"dataframe\">\n",
              "  <thead>\n",
              "    <tr style=\"text-align: right;\">\n",
              "      <th></th>\n",
              "      <th>entry_date</th>\n",
              "      <th>entry</th>\n",
              "      <th>vix_entry</th>\n",
              "      <th>exit_date</th>\n",
              "      <th>exit</th>\n",
              "      <th>vix_exit</th>\n",
              "      <th>position</th>\n",
              "      <th>diff</th>\n",
              "      <th>lot_size</th>\n",
              "      <th>pl</th>\n",
              "      <th>days_in_trade</th>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>symbol</th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "    </tr>\n",
              "  </thead>\n",
              "  <tbody>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2016-03-10</td>\n",
              "      <td>7486.0</td>\n",
              "      <td>18.0</td>\n",
              "      <td>2016-09-29</td>\n",
              "      <td>8591.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>1105.0</td>\n",
              "      <td>50</td>\n",
              "      <td>55250.0</td>\n",
              "      <td>203.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2016-09-29</td>\n",
              "      <td>8591.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>2017-01-05</td>\n",
              "      <td>8274.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>317.0</td>\n",
              "      <td>50</td>\n",
              "      <td>15873.0</td>\n",
              "      <td>98.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-01-05</td>\n",
              "      <td>8274.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>2017-08-10</td>\n",
              "      <td>9820.0</td>\n",
              "      <td>12.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>1546.0</td>\n",
              "      <td>50</td>\n",
              "      <td>77300.0</td>\n",
              "      <td>217.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-08-10</td>\n",
              "      <td>9820.0</td>\n",
              "      <td>12.0</td>\n",
              "      <td>2017-09-01</td>\n",
              "      <td>9974.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-154.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-7708.0</td>\n",
              "      <td>22.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-09-01</td>\n",
              "      <td>9974.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>2017-09-25</td>\n",
              "      <td>9873.0</td>\n",
              "      <td>11.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-102.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-5100.0</td>\n",
              "      <td>24.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-09-25</td>\n",
              "      <td>9873.0</td>\n",
              "      <td>11.0</td>\n",
              "      <td>2017-10-10</td>\n",
              "      <td>10017.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-144.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-7218.0</td>\n",
              "      <td>15.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-10-10</td>\n",
              "      <td>10017.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>2017-11-14</td>\n",
              "      <td>10187.0</td>\n",
              "      <td>12.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>170.0</td>\n",
              "      <td>50</td>\n",
              "      <td>8500.0</td>\n",
              "      <td>35.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-11-14</td>\n",
              "      <td>10187.0</td>\n",
              "      <td>12.0</td>\n",
              "      <td>2017-11-27</td>\n",
              "      <td>10400.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-213.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-10648.0</td>\n",
              "      <td>13.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-11-27</td>\n",
              "      <td>10400.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>2017-12-01</td>\n",
              "      <td>10122.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-278.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-13900.0</td>\n",
              "      <td>4.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-12-01</td>\n",
              "      <td>10122.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>2017-12-15</td>\n",
              "      <td>10333.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-211.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-10573.0</td>\n",
              "      <td>14.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2017-12-15</td>\n",
              "      <td>10333.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>2018-02-02</td>\n",
              "      <td>10761.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>427.0</td>\n",
              "      <td>50</td>\n",
              "      <td>21350.0</td>\n",
              "      <td>49.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2018-02-02</td>\n",
              "      <td>10761.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>2018-04-09</td>\n",
              "      <td>10379.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>381.0</td>\n",
              "      <td>50</td>\n",
              "      <td>19062.0</td>\n",
              "      <td>66.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2018-04-09</td>\n",
              "      <td>10379.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>2018-05-21</td>\n",
              "      <td>10517.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>137.0</td>\n",
              "      <td>50</td>\n",
              "      <td>6850.0</td>\n",
              "      <td>42.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2018-05-21</td>\n",
              "      <td>10517.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>2018-06-07</td>\n",
              "      <td>10768.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-252.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-12582.0</td>\n",
              "      <td>17.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2018-06-07</td>\n",
              "      <td>10768.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>2018-09-05</td>\n",
              "      <td>11477.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>709.0</td>\n",
              "      <td>50</td>\n",
              "      <td>35450.0</td>\n",
              "      <td>90.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2018-09-05</td>\n",
              "      <td>11477.0</td>\n",
              "      <td>13.0</td>\n",
              "      <td>2018-11-07</td>\n",
              "      <td>10598.0</td>\n",
              "      <td>19.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>879.0</td>\n",
              "      <td>50</td>\n",
              "      <td>43927.0</td>\n",
              "      <td>63.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2018-11-07</td>\n",
              "      <td>10598.0</td>\n",
              "      <td>19.0</td>\n",
              "      <td>2019-02-18</td>\n",
              "      <td>10641.0</td>\n",
              "      <td>18.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>43.0</td>\n",
              "      <td>50</td>\n",
              "      <td>2150.0</td>\n",
              "      <td>103.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2019-02-18</td>\n",
              "      <td>10641.0</td>\n",
              "      <td>18.0</td>\n",
              "      <td>2019-03-06</td>\n",
              "      <td>11053.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-412.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-20602.0</td>\n",
              "      <td>16.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2019-03-06</td>\n",
              "      <td>11053.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>2019-05-08</td>\n",
              "      <td>11359.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>306.0</td>\n",
              "      <td>50</td>\n",
              "      <td>15300.0</td>\n",
              "      <td>63.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2019-05-08</td>\n",
              "      <td>11359.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>2019-05-20</td>\n",
              "      <td>11828.0</td>\n",
              "      <td>23.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-469.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-23440.0</td>\n",
              "      <td>12.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2019-05-20</td>\n",
              "      <td>11828.0</td>\n",
              "      <td>23.0</td>\n",
              "      <td>2019-07-08</td>\n",
              "      <td>11559.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-270.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-13500.0</td>\n",
              "      <td>49.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2019-07-08</td>\n",
              "      <td>11559.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>2019-09-20</td>\n",
              "      <td>11274.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>284.0</td>\n",
              "      <td>50</td>\n",
              "      <td>14220.0</td>\n",
              "      <td>74.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2019-09-20</td>\n",
              "      <td>11274.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>2020-01-31</td>\n",
              "      <td>11962.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>688.0</td>\n",
              "      <td>50</td>\n",
              "      <td>34400.0</td>\n",
              "      <td>133.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2020-01-31</td>\n",
              "      <td>11962.0</td>\n",
              "      <td>15.0</td>\n",
              "      <td>2020-02-05</td>\n",
              "      <td>12089.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-127.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-6353.0</td>\n",
              "      <td>5.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2020-02-05</td>\n",
              "      <td>12089.0</td>\n",
              "      <td>14.0</td>\n",
              "      <td>2020-02-25</td>\n",
              "      <td>11798.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-291.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-14550.0</td>\n",
              "      <td>20.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2020-02-25</td>\n",
              "      <td>11798.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>2020-04-09</td>\n",
              "      <td>9112.0</td>\n",
              "      <td>31.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>2686.0</td>\n",
              "      <td>50</td>\n",
              "      <td>134300.0</td>\n",
              "      <td>44.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2020-04-09</td>\n",
              "      <td>9112.0</td>\n",
              "      <td>31.0</td>\n",
              "      <td>2020-09-22</td>\n",
              "      <td>11154.0</td>\n",
              "      <td>19.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>2042.0</td>\n",
              "      <td>50</td>\n",
              "      <td>102100.0</td>\n",
              "      <td>166.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2020-09-22</td>\n",
              "      <td>11154.0</td>\n",
              "      <td>19.0</td>\n",
              "      <td>2020-10-01</td>\n",
              "      <td>11417.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-263.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-13165.0</td>\n",
              "      <td>9.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2020-10-01</td>\n",
              "      <td>11417.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>2021-01-27</td>\n",
              "      <td>13968.0</td>\n",
              "      <td>20.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>2551.0</td>\n",
              "      <td>50</td>\n",
              "      <td>127550.0</td>\n",
              "      <td>118.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2021-01-27</td>\n",
              "      <td>13968.0</td>\n",
              "      <td>20.0</td>\n",
              "      <td>2021-02-02</td>\n",
              "      <td>14648.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-680.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-34017.0</td>\n",
              "      <td>6.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2021-02-02</td>\n",
              "      <td>14648.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>2021-02-26</td>\n",
              "      <td>14529.0</td>\n",
              "      <td>23.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-119.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-5950.0</td>\n",
              "      <td>24.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2021-02-26</td>\n",
              "      <td>14529.0</td>\n",
              "      <td>23.0</td>\n",
              "      <td>2021-05-18</td>\n",
              "      <td>15108.0</td>\n",
              "      <td>20.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-579.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-28947.0</td>\n",
              "      <td>81.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2021-05-18</td>\n",
              "      <td>15108.0</td>\n",
              "      <td>20.0</td>\n",
              "      <td>2021-10-28</td>\n",
              "      <td>17857.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>2749.0</td>\n",
              "      <td>50</td>\n",
              "      <td>137450.0</td>\n",
              "      <td>163.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2021-10-28</td>\n",
              "      <td>17857.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>2022-01-03</td>\n",
              "      <td>17626.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>232.0</td>\n",
              "      <td>50</td>\n",
              "      <td>11578.0</td>\n",
              "      <td>67.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-01-03</td>\n",
              "      <td>17626.0</td>\n",
              "      <td>21.0</td>\n",
              "      <td>2022-01-21</td>\n",
              "      <td>17617.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-9.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-450.0</td>\n",
              "      <td>18.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-01-21</td>\n",
              "      <td>17617.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>2022-03-14</td>\n",
              "      <td>16871.0</td>\n",
              "      <td>19.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>746.0</td>\n",
              "      <td>50</td>\n",
              "      <td>37292.0</td>\n",
              "      <td>52.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-03-14</td>\n",
              "      <td>16871.0</td>\n",
              "      <td>19.0</td>\n",
              "      <td>2022-04-19</td>\n",
              "      <td>16959.0</td>\n",
              "      <td>27.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>87.0</td>\n",
              "      <td>50</td>\n",
              "      <td>4350.0</td>\n",
              "      <td>36.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-04-19</td>\n",
              "      <td>16959.0</td>\n",
              "      <td>27.0</td>\n",
              "      <td>2022-07-07</td>\n",
              "      <td>16133.0</td>\n",
              "      <td>20.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>826.0</td>\n",
              "      <td>50</td>\n",
              "      <td>41288.0</td>\n",
              "      <td>79.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-07-07</td>\n",
              "      <td>16133.0</td>\n",
              "      <td>20.0</td>\n",
              "      <td>2022-08-29</td>\n",
              "      <td>17313.0</td>\n",
              "      <td>17.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>1180.0</td>\n",
              "      <td>50</td>\n",
              "      <td>59000.0</td>\n",
              "      <td>53.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-08-29</td>\n",
              "      <td>17313.0</td>\n",
              "      <td>17.0</td>\n",
              "      <td>2022-09-12</td>\n",
              "      <td>17936.0</td>\n",
              "      <td>17.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-623.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-31172.0</td>\n",
              "      <td>14.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-09-12</td>\n",
              "      <td>17936.0</td>\n",
              "      <td>17.0</td>\n",
              "      <td>2022-09-23</td>\n",
              "      <td>17327.0</td>\n",
              "      <td>18.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>-609.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-30450.0</td>\n",
              "      <td>11.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-09-23</td>\n",
              "      <td>17327.0</td>\n",
              "      <td>18.0</td>\n",
              "      <td>2022-10-24</td>\n",
              "      <td>17731.0</td>\n",
              "      <td>17.0</td>\n",
              "      <td>short sell</td>\n",
              "      <td>-403.0</td>\n",
              "      <td>50</td>\n",
              "      <td>-20170.0</td>\n",
              "      <td>31.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-10-24</td>\n",
              "      <td>17731.0</td>\n",
              "      <td>17.0</td>\n",
              "      <td>2022-12-16</td>\n",
              "      <td>18269.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>long buy</td>\n",
              "      <td>538.0</td>\n",
              "      <td>50</td>\n",
              "      <td>26900.0</td>\n",
              "      <td>53.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>^NSEI</th>\n",
              "      <td>2022-12-16</td>\n",
              "      <td>18269.0</td>\n",
              "      <td>16.0</td>\n",
              "      <td>NaT</td>\n",
              "      <td>NaN</td>\n",
              "      <td>NaN</td>\n",
              "      <td>short sell</td>\n",
              "      <td>NaN</td>\n",
              "      <td>50</td>\n",
              "      <td>NaN</td>\n",
              "      <td>NaN</td>\n",
              "    </tr>\n",
              "  </tbody>\n",
              "</table>\n",
              "</div>\n",
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              "\n",
              "    [theme=dark] .colab-df-convert:hover {\n",
              "      background-color: #434B5C;\n",
              "      box-shadow: 0px 1px 3px 1px rgba(0, 0, 0, 0.15);\n",
              "      filter: drop-shadow(0px 1px 2px rgba(0, 0, 0, 0.3));\n",
              "      fill: #FFFFFF;\n",
              "    }\n",
              "  </style>\n",
              "\n",
              "      <script>\n",
              "        const buttonEl =\n",
              "          document.querySelector('#df-29362438-3a35-4cd4-b5e3-afb19ce5a937 button.colab-df-convert');\n",
              "        buttonEl.style.display =\n",
              "          google.colab.kernel.accessAllowed ? 'block' : 'none';\n",
              "\n",
              "        async function convertToInteractive(key) {\n",
              "          const element = document.querySelector('#df-29362438-3a35-4cd4-b5e3-afb19ce5a937');\n",
              "          const dataTable =\n",
              "            await google.colab.kernel.invokeFunction('convertToInteractive',\n",
              "                                                     [key], {});\n",
              "          if (!dataTable) return;\n",
              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
              "            '<a target=\"_blank\" href=https://colab.research.google.com/notebooks/data_table.ipynb>data table notebook</a>'\n",
              "            + ' to learn more about interactive tables.';\n",
              "          element.innerHTML = '';\n",
              "          dataTable['output_type'] = 'display_data';\n",
              "          await google.colab.output.renderOutput(dataTable, element);\n",
              "          const docLink = document.createElement('div');\n",
              "          docLink.innerHTML = docLinkHtml;\n",
              "          element.appendChild(docLink);\n",
              "        }\n",
              "      </script>\n",
              "    </div>\n",
              "  </div>\n",
              "  "
            ]
          },
          "metadata": {},
          "execution_count": 45
        }
      ]
    }
  ]
}