Pair Trading Using Machine Learning : Intraday Strategy Results

I have tried to implement an Intraday Strategy on Pairs. An important point to consider when selecting a good pair is that they should be from same sector as well common characteristics even while looking at fundamentals. For e.g. GOLD ETF can be good pair with GOLD Futures, SBI bank as well ICICI Bank can also fall into that category and CAIRN and ONGC to name few.

I have selected SBI Bank as well ICICI Bank for my machine learning pair trading strategy and produced some backtested results in terms of Total Profit & Loss, number of profitable trades and number of losing trades in R.

You can suggest me any pair which you want the strategy to be run on any day data in Indian as well international markets. Please bear with the formatting as of now as these I preliminary formatting as I was curious to share the details of  results. In future posts relating to this strategy I would be posting nice graphs showing the results as well trades.

I have haven't considered transaction costs and impact costs in my backtested results which should be taken into account while going live on a trading platform. Further, no optimization has been done as I believe there are great enhancement in returns once optimization is done.

It is done using 1 minute data and you can see from the output the time at which trades are placed. I would be using this strategy and test it on 1 second data and I am sure it would be much more.

I have defined it for 1 shares of x and share of Y(in proportion of x). So I have just used ratio and rounded it off to 2 or 1 depending upon prices. In the below case it is 1 SBI shares for 2 ICICI Bank shares and results is for today i.e. 17/05/2013.

Here is an excerpt of the trades done via backtesting using this algo:

Total Profit Rs. 242.25

Total Winning Trades 126

Total Losing trades 6

How to read below text is like this

For example for the first line:

Line 1 : Entry Date - 20130517 , Time :09:45 am, Sold 1 SBI bank stock at Rs. 2398.2 and bought 2 ICICI Bank stocks at 1205.05

Line 2 : Exit Time :09:46 am, Bought 1 SBI bank stock at Rs. 2399.05 and sold 2 ICICI Bank stocks at 1207.3

Line3: Entry prices for SBI at Rs. 2398.2 and ICICIBANK at Rs.1205.05

Line 4: Quantity bought of SBIN = 1 and quanitity bought of ICICIBANK=2

Line 5: Profit in Rs.3.69

Entry 20130517 Time 945Sell 1SBIN @ 2398.25Buy 2ICICIBANK @ 1205.05

Exiting  Time@946Buy 1SBIN @ 2399.05Sell 2ICICIBANK @ 1207.3

Entry Price 1=2398.25Entry Price 2=1205.05

Qty 1=1Qty2=2

Profit is 3.69999999999982

Entry 20130517 Time 947Sell 1SBIN @ 2398Buy 2ICICIBANK @ 1205.05

Exiting  Time@948Buy 1SBIN @ 2397.15Sell 2ICICIBANK @ 1205.2

Entry Price 1=2398Entry Price 2=1205.05

Qty 1=1Qty2=2

Profit is 1.15000000000009

Entry 20130517 Time 949Buy 1SBIN @ 2398.25Sell 2 ICICIBANK @ 1205.7

Exiting20130517 Time950Sell 1SBIN@ 2397.2Buy 2ICICIBANK @ 1204.25

Entry Price 1=2398.25Entry Price 2=1205.7

Qty 1=1Qty2=2

Profit is 1.84999999999991

Entry 20130517 Time 951Sell 1SBIN @ 2400.8Buy 2ICICIBANK @ 1205.4

Exiting  Time@953Buy 1SBIN @ 2403.3Sell 2ICICIBANK @ 1206.85

Entry Price 1=2400.8Entry Price 2=1205.4

Qty 1=1Qty2=2

Profit is 0.399999999999636

Entry 20130517 Time 954Buy 1SBIN @ 2404.5Sell 2 ICICIBANK @ 1206.5

Exiting20130517 Time955Sell 1SBIN@ 2408.9Buy 2ICICIBANK @ 1206.85

Entry Price 1=2404.5Entry Price 2=1206.5

Qty 1=1Qty2=2

Profit is 3.70000000000027

Entry 20130517 Time 956Sell 1SBIN @ 2407.1Buy 2ICICIBANK @ 1207.5

Exiting  Time@958Buy 1SBIN @ 2407Sell 2ICICIBANK @ 1209.05

Entry Price 1=2407.1Entry Price 2=1207.5

Qty 1=1Qty2=2

Profit is 3.19999999999982

Entry 20130517 Time 959Sell 1SBIN @ 2409Buy 2ICICIBANK @ 1210

Exiting  Time@1003Buy 1SBIN @ 2406.95Sell 2ICICIBANK @ 1210.55

Entry Price 1=2409Entry Price 2=1210

Qty 1=1Qty2=2

Profit is 3.15000000000009

Entry 20130517 Time 1004Buy 1SBIN @ 2406.5Sell 2 ICICIBANK @ 1209.75

Exiting20130517 Time1006Sell 1SBIN@ 2407.3Buy 2ICICIBANK @ 1209.4

Entry Price 1=2406.5Entry Price 2=1209.75

Qty 1=1Qty2=2

Profit is 1.5

Entry 20130517 Time 1007Sell 1SBIN @ 2408.35Buy 2ICICIBANK @ 1209.85

Exiting  Time@1008Buy 1SBIN @ 2408.4Sell 2ICICIBANK @ 1210.05

Entry Price 1=2408.35Entry Price 2=1209.85

Qty 1=1Qty2=2

Profit is 0.349999999999909

Entry 20130517 Time 1009Buy 1SBIN @ 2408.95Sell 2 ICICIBANK @ 1210

Exiting20130517 Time1011Sell 1SBIN@ 2409Buy 2ICICIBANK @ 1209.8

Entry Price 1=2408.95Entry Price 2=1210

Qty 1=1Qty2=2

Profit is 0.450000000000273

Entry 20130517 Time 1012Sell 1SBIN @ 2408.8Buy 2ICICIBANK @ 1210.55

Exiting  Time@1014Buy 1SBIN @ 2406.35Sell 2ICICIBANK @ 1209.5

Entry Price 1=2408.8Entry Price 2=1210.55

Qty 1=1Qty2=2

Profit is 0.350000000000364

Entry 20130517 Time 1015Sell 1SBIN @ 2406.2Buy 2ICICIBANK @ 1208.15

Exiting  Time@1018Buy 1SBIN @ 2406.9Sell 2ICICIBANK @ 1209.65

Entry Price 1=2406.2Entry Price 2=1208.15

Qty 1=1Qty2=2

Profit is 2.29999999999973

Entry 20130517 Time 1019Sell 1SBIN @ 2408.05Buy 2ICICIBANK @ 1208.75

Exiting  Time@1021Buy 1SBIN @ 2407.3Sell 2ICICIBANK @ 1210

Entry Price 1=2408.05Entry Price 2=1208.75

Qty 1=1Qty2=2

Profit is 3.25

Entry 20130517 Time 1022Buy 1SBIN @ 2408.85Sell 2 ICICIBANK @ 1209.85

Exiting20130517 Time1025Sell 1SBIN@ 2415.4Buy 2ICICIBANK @ 1209.7

Entry Price 1=2408.85Entry Price 2=1209.85

Qty 1=1Qty2=2

Profit is 6.84999999999991

Entry 20130517 Time 1026Sell 1SBIN @ 2414.05Buy 2ICICIBANK @ 1209.55

Exiting  Time@1029Buy 1SBIN @ 2410.85Sell 2ICICIBANK @ 1210.5

Entry Price 1=2414.05Entry Price 2=1209.55

Qty 1=1Qty2=2

Profit is 5.10000000000036

Entry 20130517 Time 1030Sell 1SBIN @ 2410.85Buy 2ICICIBANK @ 1211

Exiting  Time@1033Buy 1SBIN @ 2415.4Sell 2ICICIBANK @ 1215

Entry Price 1=2410.85Entry Price 2=1211

Qty 1=1Qty2=2

Profit is 3.44999999999982

Entry 20130517 Time 1034Buy 1SBIN @ 2415.9Sell 2 ICICIBANK @ 1214.5

Exiting20130517 Time1035Sell 1SBIN@ 2418Buy 2ICICIBANK @ 1214.8

Entry Price 1=2415.9Entry Price 2=1214.5

Qty 1=1Qty2=2

Profit is 1.5

Entry 20130517 Time 1036Sell 1SBIN @ 2416.35Buy 2ICICIBANK @ 1214.8

Exiting  Time@1037Buy 1SBIN @ 2415.35Sell 2ICICIBANK @ 1214.95

Entry Price 1=2416.35Entry Price 2=1214.8

Qty 1=1Qty2=2

Profit is 1.30000000000018

Entry 20130517 Time 1038Sell 1SBIN @ 2414.8Buy 2ICICIBANK @ 1214.6

Exiting  Time@1040Buy 1SBIN @ 2416.5Sell 2ICICIBANK @ 1219.2

Entry Price 1=2414.8Entry Price 2=1214.6

Qty 1=1Qty2=2

Profit is 7.50000000000045

Entry 20130517 Time 1041Buy 1SBIN @ 2418.05Sell 2 ICICIBANK @ 1217.95

Exiting20130517 Time1042Sell 1SBIN@ 2417.85Buy 2ICICIBANK @ 1216.6

Entry Price 1=2418.05Entry Price 2=1217.95

Qty 1=1Qty2=2

Profit is 2.5

Entry 20130517 Time 1043Sell 1SBIN @ 2417.5Buy 2ICICIBANK @ 1216.7

Exiting  Time@1044Buy 1SBIN @ 2417.4Sell 2ICICIBANK @ 1217.4

Entry Price 1=2417.5Entry Price 2=1216.7

Qty 1=1Qty2=2

Profit is 1.5

Entry 20130517 Time 1045Buy 1SBIN @ 2418Sell 2 ICICIBANK @ 1218.05

Exiting20130517 Time1046Sell 1SBIN@ 2422Buy 2ICICIBANK @ 1218.85

Entry Price 1=2418Entry Price 2=1218.05

Qty 1=1Qty2=2

Profit is 2.40000000000009

Entry 20130517 Time 1047Sell 1SBIN @ 2420.7Buy 2ICICIBANK @ 1218.1

Exiting  Time@1051Buy 1SBIN @ 2412.9Sell 2ICICIBANK @ 1215.55

Entry Price 1=2420.7Entry Price 2=1218.1

Qty 1=1Qty2=2

Profit is 2.69999999999982

Entry 20130517 Time 1052Buy 1SBIN @ 2412.3Sell 2 ICICIBANK @ 1214.6

Exiting20130517 Time1053Sell 1SBIN@ 2412.05Buy 2ICICIBANK @ 1214.5

Entry Price 1=2412.3Entry Price 2=1214.6

Qty 1=1Qty2=2

Profit is -0.0500000000001819

Entry 20130517 Time 1054Sell 1SBIN @ 2411.15Buy 2ICICIBANK @ 1214.4

Exiting  Time@1055Buy 1SBIN @ 2410Sell 2ICICIBANK @ 1215

Entry Price 1=2411.15Entry Price 2=1214.4

Qty 1=1Qty2=2

Profit is 2.34999999999991

Entry 20130517 Time 1056Sell 1SBIN @ 2409.8Buy 2ICICIBANK @ 1214.65

Exiting  Time@1058Buy 1SBIN @ 2405Sell 2ICICIBANK @ 1214.45

Entry Price 1=2409.8Entry Price 2=1214.65

Qty 1=1Qty2=2

Profit is 4.40000000000009

Entry 20130517 Time 1059Buy 1SBIN @ 2406.75Sell 2 ICICIBANK @ 1214.45

Exiting20130517 Time1104Sell 1SBIN@ 2411.15Buy 2ICICIBANK @ 1216.7

Entry Price 1=2406.75Entry Price 2=1214.45

Qty 1=1Qty2=2

Profit is -0.0999999999999091

Entry 20130517 Time 1105Buy 1SBIN @ 2410.4Sell 2 ICICIBANK @ 1216.6

Exiting20130517 Time1110Sell 1SBIN@ 2408.5Buy 2ICICIBANK @ 1215.9

Entry Price 1=2410.4Entry Price 2=1216.6

Qty 1=1Qty2=2

Profit is -0.500000000000455

Entry 20130517 Time 1111Buy 1SBIN @ 2407.1Sell 2 ICICIBANK @ 1215.9

Exiting20130517 Time1114Sell 1SBIN@ 2409.35Buy 2ICICIBANK @ 1217.3

Entry Price 1=2407.1Entry Price 2=1215.9

Qty 1=1Qty2=2

Profit is -0.549999999999727

Entry 20130517 Time 1115Buy 1SBIN @ 2410.45Sell 2 ICICIBANK @ 1216.95

Exiting20130517 Time1118Sell 1SBIN@ 2411Buy 2ICICIBANK @ 1217.2

Entry Price 1=2410.45Entry Price 2=1216.95

Qty 1=1Qty2=2

Profit is 0.0500000000001819

Entry 20130517 Time 1119Buy 1SBIN @ 2410.9Sell 2 ICICIBANK @ 1217.4

Exiting20130517 Time1120Sell 1SBIN@ 2410.9Buy 2ICICIBANK @ 1217.4

Entry Price 1=2410.9Entry Price 2=1217.4

Qty 1=1Qty2=2

Profit is 0

Entry 20130517 Time 1121Buy 1SBIN @ 2409.35Sell 2 ICICIBANK @ 1217.5

Exiting20130517 Time1122Sell 1SBIN@ 2410.1Buy 2ICICIBANK @ 1217

Entry Price 1=2409.35Entry Price 2=1217.5

Qty 1=1Qty2=2

Profit is 1.75

Entry 20130517 Time 1123Buy 1SBIN @ 2409Sell 2 ICICIBANK @ 1216.4

Exiting20130517 Time1124Sell 1SBIN@ 2408.55Buy 2ICICIBANK @ 1215.7

Entry Price 1=2409Entry Price 2=1216.4

Qty 1=1Qty2=2

Profit is 0.950000000000273

Entry 20130517 Time 1125Sell 1SBIN @ 2407.25Buy 2ICICIBANK @ 1215.3

Exiting  Time@1126Buy 1SBIN @ 2405.8Sell 2ICICIBANK @ 1215

Entry Price 1=2407.25Entry Price 2=1215.3

Qty 1=1Qty2=2

Profit is 0.849999999999909

Entry 20130517 Time 1128Buy 1SBIN @ 2408.55Sell 2 ICICIBANK @ 1215.7

Exiting20130517 Time1129Sell 1SBIN@ 2409.1Buy 2ICICIBANK @ 1214.75

Entry Price 1=2408.55Entry Price 2=1215.7

Qty 1=1Qty2=2

Profit is 2.44999999999982

Entry 20130517 Time 1130Sell 1SBIN @ 2407.4Buy 2ICICIBANK @ 1214.1

Exiting  Time@1132Buy 1SBIN @ 2405Sell 2ICICIBANK @ 1213.7

Entry Price 1=2407.4Entry Price 2=1214.1

Qty 1=1Qty2=2

Profit is 1.60000000000036

Entry 20130517 Time 1133Sell 1SBIN @ 2404.5Buy 2ICICIBANK @ 1213.2

Exiting  Time@1134Buy 1SBIN @ 2401.55Sell 2ICICIBANK @ 1212.9

Entry Price 1=2404.5Entry Price 2=1213.2

Qty 1=1Qty2=2

Profit is 2.34999999999991

Entry 20130517 Time 1135Sell 1SBIN @ 2405Buy 2ICICIBANK @ 1213.4

Exiting  Time@1137Buy 1SBIN @ 2399Sell 2ICICIBANK @ 1212.25

Entry Price 1=2405Entry Price 2=1213.4

Qty 1=1Qty2=2

Profit is 3.69999999999982

Entry 20130517 Time 1138Sell 1SBIN @ 2402Buy 2ICICIBANK @ 1212.6

Exiting  Time@1139Buy 1SBIN @ 2403.1Sell 2ICICIBANK @ 1213.8

Entry Price 1=2402Entry Price 2=1212.6

Qty 1=1Qty2=2

Profit is 1.30000000000018

Entry 20130517 Time 1140Buy 1SBIN @ 2403.1Sell 2 ICICIBANK @ 1213.35

Exiting20130517 Time1145Sell 1SBIN@ 2407.05Buy 2ICICIBANK @ 1213.95

Entry Price 1=2403.1Entry Price 2=1213.35

Qty 1=1Qty2=2

Profit is 2.75

Entry 20130517 Time 1146Buy 1SBIN @ 2405.55Sell 2 ICICIBANK @ 1213.9

Exiting20130517 Time1149Sell 1SBIN@ 2405.6Buy 2ICICIBANK @ 1213.7

Entry Price 1=2405.55Entry Price 2=1213.9

Qty 1=1Qty2=2

Profit is 0.449999999999818

Entry 20130517 Time 1150Buy 1SBIN @ 2405Sell 2 ICICIBANK @ 1213.9

Exiting20130517 Time1151Sell 1SBIN@ 2404.85Buy 2ICICIBANK @ 1213.7

Entry Price 1=2405Entry Price 2=1213.9

Qty 1=1Qty2=2

Profit is 0.25

Entry 20130517 Time 1152Buy 1SBIN @ 2402.05Sell 2 ICICIBANK @ 1213.2

Exiting20130517 Time1153Sell 1SBIN@ 2403.1Buy 2ICICIBANK @ 1212.9

Entry Price 1=2402.05Entry Price 2=1213.2

Qty 1=1Qty2=2

Profit is 1.64999999999964

Entry 20130517 Time 1154Sell 1SBIN @ 2403.6Buy 2ICICIBANK @ 1213.05

Exiting  Time@1155Buy 1SBIN @ 2404.5Sell 2ICICIBANK @ 1213.85

Entry Price 1=2403.6Entry Price 2=1213.05

Qty 1=1Qty2=2

Profit is 0.699999999999818

Entry 20130517 Time 1156Sell 1SBIN @ 2405.55Buy 2ICICIBANK @ 1213.95

Exiting  Time@1157Buy 1SBIN @ 2405Sell 2ICICIBANK @ 1213.85

Entry Price 1=2405.55Entry Price 2=1213.95

Qty 1=1Qty2=2

Profit is 0.349999999999909

Entry 20130517 Time 1158Buy 1SBIN @ 2405Sell 2 ICICIBANK @ 1213.75

Exiting20130517 Time1159Sell 1SBIN@ 2405.1Buy 2ICICIBANK @ 1213.65

Entry Price 1=2405Entry Price 2=1213.75

Qty 1=1Qty2=2

Profit is 0.299999999999727

Entry 20130517 Time 1200Buy 1SBIN @ 2404.8Sell 2 ICICIBANK @ 1215

Exiting20130517 Time1201Sell 1SBIN@ 2405.45Buy 2ICICIBANK @ 1214.6

Entry Price 1=2404.8Entry Price 2=1215

Qty 1=1Qty2=2

Profit is 1.44999999999982

Entry 20130517 Time 1202Sell 1SBIN @ 2406Buy 2ICICIBANK @ 1214.45

Exiting  Time@1203Buy 1SBIN @ 2405.65Sell 2ICICIBANK @ 1214.9

Entry Price 1=2406Entry Price 2=1214.45

Qty 1=1Qty2=2

Profit is 1.25

Entry 20130517 Time 1204Sell 1SBIN @ 2406.5Buy 2ICICIBANK @ 1214.35

Exiting  Time@1205Buy 1SBIN @ 2403Sell 2ICICIBANK @ 1214.55

Entry Price 1=2406.5Entry Price 2=1214.35

Qty 1=1Qty2=2

Profit is 3.90000000000009

Entry 20130517 Time 1206Sell 1SBIN @ 2403.95Buy 2ICICIBANK @ 1214.65

Exiting  Time@1208Buy 1SBIN @ 2407.05Sell 2ICICIBANK @ 1217.6

Entry Price 1=2403.95Entry Price 2=1214.65

Qty 1=1Qty2=2

Profit is 2.79999999999927

Entry 20130517 Time 1209Buy 1SBIN @ 2407Sell 2 ICICIBANK @ 1217.45

Exiting20130517 Time1210Sell 1SBIN@ 2407.25Buy 2ICICIBANK @ 1217.2

Entry Price 1=2407Entry Price 2=1217.45

Qty 1=1Qty2=2

Profit is 0.75

Entry 20130517 Time 1211Sell 1SBIN @ 2408.55Buy 2ICICIBANK @ 1218.15

Exiting  Time@1213Buy 1SBIN @ 2410Sell 2ICICIBANK @ 1221.4

Entry Price 1=2408.55Entry Price 2=1218.15

Qty 1=1Qty2=2

Profit is 5.05000000000018

Entry 20130517 Time 1214Sell 1SBIN @ 2407.5Buy 2ICICIBANK @ 1220.6

Exiting  Time@1216Buy 1SBIN @ 2406.4Sell 2ICICIBANK @ 1221.4

Entry Price 1=2407.5Entry Price 2=1220.6

Qty 1=1Qty2=2

Profit is 2.70000000000027

Entry 20130517 Time 1217Sell 1SBIN @ 2403.3Buy 2ICICIBANK @ 1219.1

Exiting  Time@1219Buy 1SBIN @ 2404.15Sell 2ICICIBANK @ 1221.25

Entry Price 1=2403.3Entry Price 2=1219.1

Qty 1=1Qty2=2

Profit is 3.45000000000027

Entry 20130517 Time 1220Buy 1SBIN @ 2404.75Sell 2 ICICIBANK @ 1221.6

Exiting20130517 Time1222Sell 1SBIN@ 2408.45Buy 2ICICIBANK @ 1224.05

Entry Price 1=2404.75Entry Price 2=1221.6

Qty 1=1Qty2=2

Profit is -1.20000000000027

Entry 20130517 Time 1223Buy 1SBIN @ 2409.45Sell 2 ICICIBANK @ 1223.45

Exiting20130517 Time1224Sell 1SBIN@ 2411.35Buy 2ICICIBANK @ 1222.9

Entry Price 1=2409.45Entry Price 2=1223.45

Qty 1=1Qty2=2

Profit is 3

Entry 20130517 Time 1225Sell 1SBIN @ 2408.35Buy 2ICICIBANK @ 1221.5

Exiting  Time@1226Buy 1SBIN @ 2408.1Sell 2ICICIBANK @ 1222.3

Entry Price 1=2408.35Entry Price 2=1221.5

Qty 1=1Qty2=2

Profit is 1.84999999999991

Entry 20130517 Time 1227Buy 1SBIN @ 2410.8Sell 2 ICICIBANK @ 1223.35

Exiting20130517 Time1228Sell 1SBIN@ 2413.15Buy 2ICICIBANK @ 1223.9

Entry Price 1=2410.8Entry Price 2=1223.35

Qty 1=1Qty2=2

Profit is 1.24999999999955

Entry 20130517 Time 1229Buy 1SBIN @ 2412.05Sell 2 ICICIBANK @ 1223.5

Exiting20130517 Time1230Sell 1SBIN@ 2411.1Buy 2ICICIBANK @ 1222.55

Entry Price 1=2412.05Entry Price 2=1223.5

Qty 1=1Qty2=2

Profit is 0.949999999999818

Entry 20130517 Time 1231Sell 1SBIN @ 2406.9Buy 2ICICIBANK @ 1222.05

Exiting  Time@1232Buy 1SBIN @ 2406.15Sell 2ICICIBANK @ 1222.4

Entry Price 1=2406.9Entry Price 2=1222.05

Qty 1=1Qty2=2

Profit is 1.45000000000027

Entry 20130517 Time 1233Buy 1SBIN @ 2407.6Sell 2 ICICIBANK @ 1222.45

Exiting20130517 Time1234Sell 1SBIN@ 2408.8Buy 2ICICIBANK @ 1221.8

Entry Price 1=2407.6Entry Price 2=1222.45

Qty 1=1Qty2=2

Profit is 2.50000000000045

Entry 20130517 Time 1235Buy 1SBIN @ 2408Sell 2 ICICIBANK @ 1220

Exiting20130517 Time1236Sell 1SBIN@ 2408Buy 2ICICIBANK @ 1219

Entry Price 1=2408Entry Price 2=1220

Qty 1=1Qty2=2

Profit is 2

Entry 20130517 Time 1237Sell 1SBIN @ 2409.6Buy 2ICICIBANK @ 1219.05

Exiting  Time@1238Buy 1SBIN @ 2408.55Sell 2ICICIBANK @ 1218.55

Entry Price 1=2409.6Entry Price 2=1219.05

Qty 1=1Qty2=2

Profit is 0.0499999999997272

Entry 20130517 Time 1239Sell 1SBIN @ 2407.05Buy 2ICICIBANK @ 1216.7

Exiting  Time@1241Buy 1SBIN @ 2406.5Sell 2ICICIBANK @ 1218

Entry Price 1=2407.05Entry Price 2=1216.7

Qty 1=1Qty2=2

Profit is 3.15000000000009

Entry 20130517 Time 1242Sell 1SBIN @ 2407.05Buy 2ICICIBANK @ 1218.25

Exiting  Time@1243Buy 1SBIN @ 2406Sell 2ICICIBANK @ 1217.85

Entry Price 1=2407.05Entry Price 2=1218.25

Qty 1=1Qty2=2

Profit is 0.25

Entry 20130517 Time 1244Sell 1SBIN @ 2407.15Buy 2ICICIBANK @ 1217.3

Exiting  Time@1245Buy 1SBIN @ 2406.15Sell 2ICICIBANK @ 1217.2

Entry Price 1=2407.15Entry Price 2=1217.3

Qty 1=1Qty2=2

Profit is 0.800000000000182

Entry 20130517 Time 1246Sell 1SBIN @ 2406.05Buy 2ICICIBANK @ 1217

Exiting  Time@1247Buy 1SBIN @ 2405.15Sell 2ICICIBANK @ 1216.65

Entry Price 1=2406.05Entry Price 2=1217

Qty 1=1Qty2=2

Profit is 0.200000000000273

Entry 20130517 Time 1248Sell 1SBIN @ 2406.75Buy 2ICICIBANK @ 1217.2

Exiting  Time@1249Buy 1SBIN @ 2406.4Sell 2ICICIBANK @ 1217.8

Entry Price 1=2406.75Entry Price 2=1217.2

Qty 1=1Qty2=2

Profit is 1.54999999999973

Entry 20130517 Time 1250Sell 1SBIN @ 2406.65Buy 2ICICIBANK @ 1218.5

Exiting  Time@1251Buy 1SBIN @ 2405.5Sell 2ICICIBANK @ 1219.05

Entry Price 1=2406.65Entry Price 2=1218.5

Qty 1=1Qty2=2

Profit is 2.25

Entry 20130517 Time 1252Sell 1SBIN @ 2406.5Buy 2ICICIBANK @ 1218.5

Exiting  Time@1255Buy 1SBIN @ 2406.95Sell 2ICICIBANK @ 1220.7

Entry Price 1=2406.5Entry Price 2=1218.5

Qty 1=1Qty2=2

Profit is 3.95000000000027

Entry 20130517 Time 1256Buy 1SBIN @ 2411.1Sell 2 ICICIBANK @ 1221

Exiting20130517 Time1257Sell 1SBIN@ 2411Buy 2ICICIBANK @ 1220.2

Entry Price 1=2411.1Entry Price 2=1221

Qty 1=1Qty2=2

Profit is 1.5

Entry 20130517 Time 1258Buy 1SBIN @ 2410Sell 2 ICICIBANK @ 1220.3

Exiting20130517 Time1259Sell 1SBIN@ 2411.25Buy 2ICICIBANK @ 1220.15

Entry Price 1=2410Entry Price 2=1220.3

Qty 1=1Qty2=2

Profit is 1.54999999999973

Entry 20130517 Time 1300Buy 1SBIN @ 2411.45Sell 2 ICICIBANK @ 1220.65

Exiting20130517 Time1301Sell 1SBIN@ 2413Buy 2ICICIBANK @ 1220.5

Entry Price 1=2411.45Entry Price 2=1220.65

Qty 1=1Qty2=2

Profit is 1.85000000000036

Entry 20130517 Time 1302Buy 1SBIN @ 2412.25Sell 2 ICICIBANK @ 1219.45

Exiting20130517 Time1303Sell 1SBIN@ 2413.3Buy 2ICICIBANK @ 1218.5

Entry Price 1=2412.25Entry Price 2=1219.45

Qty 1=1Qty2=2

Profit is 2.95000000000027

Entry 20130517 Time 1304Buy 1SBIN @ 2413.25Sell 2 ICICIBANK @ 1218.95

Exiting20130517 Time1305Sell 1SBIN@ 2416.15Buy 2ICICIBANK @ 1220.3

Entry Price 1=2413.25Entry Price 2=1218.95

Qty 1=1Qty2=2

Profit is 0.200000000000273

Entry 20130517 Time 1306Buy 1SBIN @ 2417Sell 2 ICICIBANK @ 1221.75

Exiting20130517 Time1307Sell 1SBIN@ 2415.5Buy 2ICICIBANK @ 1220.3

Entry Price 1=2417Entry Price 2=1221.75

Qty 1=1Qty2=2

Profit is 1.40000000000009

Entry 20130517 Time 1308Sell 1SBIN @ 2414.2Buy 2ICICIBANK @ 1220.15

Exiting  Time@1310Buy 1SBIN @ 2411.7Sell 2ICICIBANK @ 1219.55

Entry Price 1=2414.2Entry Price 2=1220.15

Qty 1=1Qty2=2

Profit is 1.29999999999973

Entry 20130517 Time 1311Buy 1SBIN @ 2413Sell 2 ICICIBANK @ 1219.9

Exiting20130517 Time1312Sell 1SBIN@ 2413.05Buy 2ICICIBANK @ 1219.65

Entry Price 1=2413Entry Price 2=1219.9

Qty 1=1Qty2=2

Profit is 0.550000000000182

Entry 20130517 Time 1313Sell 1SBIN @ 2412.5Buy 2ICICIBANK @ 1220.75

Exiting  Time@1314Buy 1SBIN @ 2413.5Sell 2ICICIBANK @ 1221.95

Entry Price 1=2412.5Entry Price 2=1220.75

Qty 1=1Qty2=2

Profit is 1.40000000000009

Entry 20130517 Time 1315Buy 1SBIN @ 2414.15Sell 2 ICICIBANK @ 1222.4

Exiting20130517 Time1316Sell 1SBIN@ 2415.4Buy 2ICICIBANK @ 1222

Entry Price 1=2414.15Entry Price 2=1222.4

Qty 1=1Qty2=2

Profit is 2.05000000000018

Entry 20130517 Time 1317Sell 1SBIN @ 2413.9Buy 2ICICIBANK @ 1221.3

Exiting  Time@1318Buy 1SBIN @ 2413.1Sell 2ICICIBANK @ 1221.5

Entry Price 1=2413.9Entry Price 2=1221.3

Qty 1=1Qty2=2

Profit is 1.20000000000027

Entry 20130517 Time 1319Buy 1SBIN @ 2413Sell 2 ICICIBANK @ 1221.2

Exiting20130517 Time1322Sell 1SBIN@ 2410.7Buy 2ICICIBANK @ 1219.5

Entry Price 1=2413Entry Price 2=1221.2

Qty 1=1Qty2=2

Profit is 1.09999999999991

Entry 20130517 Time 1323Sell 1SBIN @ 2410.45Buy 2ICICIBANK @ 1219.55

Exiting  Time@1324Buy 1SBIN @ 2410Sell 2ICICIBANK @ 1220.4

Entry Price 1=2410.45Entry Price 2=1219.55

Qty 1=1Qty2=2

Profit is 2.15000000000009

Entry 20130517 Time 1325Sell 1SBIN @ 2410.65Buy 2ICICIBANK @ 1220.8

Exiting  Time@1326Buy 1SBIN @ 2410.1Sell 2ICICIBANK @ 1221.1

Entry Price 1=2410.65Entry Price 2=1220.8

Qty 1=1Qty2=2

Profit is 1.15000000000009

Entry 20130517 Time 1327Sell 1SBIN @ 2412.35Buy 2ICICIBANK @ 1221.4

Exiting  Time@1328Buy 1SBIN @ 2413.05Sell 2ICICIBANK @ 1222.45

Entry Price 1=2412.35Entry Price 2=1221.4

Qty 1=1Qty2=2

Profit is 1.39999999999964

Entry 20130517 Time 1329Buy 1SBIN @ 2416Sell 2 ICICIBANK @ 1222.7

Exiting20130517 Time1330Sell 1SBIN@ 2417Buy 2ICICIBANK @ 1222.9

Entry Price 1=2416Entry Price 2=1222.7

Qty 1=1Qty2=2

Profit is 0.599999999999909

Entry 20130517 Time 1331Sell 1SBIN @ 2417.15Buy 2ICICIBANK @ 1221.8

Exiting  Time@1332Buy 1SBIN @ 2417Sell 2ICICIBANK @ 1223.3

Entry Price 1=2417.15Entry Price 2=1221.8

Qty 1=1Qty2=2

Profit is 3.15000000000009

Entry 20130517 Time 1333Sell 1SBIN @ 2421.85Buy 2ICICIBANK @ 1224.85

Exiting  Time@1334Buy 1SBIN @ 2416Sell 2ICICIBANK @ 1224.95

Entry Price 1=2421.85Entry Price 2=1224.85

Qty 1=1Qty2=2

Profit is 6.05000000000018

Entry 20130517 Time 1335Buy 1SBIN @ 2415.8Sell 2 ICICIBANK @ 1224.4

Exiting20130517 Time1337Sell 1SBIN@ 2413.5Buy 2ICICIBANK @ 1223.1

Entry Price 1=2415.8Entry Price 2=1224.4

Qty 1=1Qty2=2

Profit is 0.300000000000182

Entry 20130517 Time 1338Buy 1SBIN @ 2409.15Sell 2 ICICIBANK @ 1223.05

Exiting20130517 Time1340Sell 1SBIN@ 2414.6Buy 2ICICIBANK @ 1223.7

Entry Price 1=2409.15Entry Price 2=1223.05

Qty 1=1Qty2=2

Profit is 4.14999999999964

Entry 20130517 Time 1341Sell 1SBIN @ 2414.8Buy 2ICICIBANK @ 1222.7

Exiting  Time@1342Buy 1SBIN @ 2413.7Sell 2ICICIBANK @ 1223.1

Entry Price 1=2414.8Entry Price 2=1222.7

Qty 1=1Qty2=2

Profit is 1.90000000000009

Entry 20130517 Time 1343Sell 1SBIN @ 2413Buy 2ICICIBANK @ 1222.85

Exiting  Time@1344Buy 1SBIN @ 2412.55Sell 2ICICIBANK @ 1223.5

Entry Price 1=2413Entry Price 2=1222.85

Qty 1=1Qty2=2

Profit is 1.75

Entry 20130517 Time 1345Buy 1SBIN @ 2415Sell 2 ICICIBANK @ 1224.95

Exiting20130517 Time1346Sell 1SBIN@ 2413.3Buy 2ICICIBANK @ 1224

Entry Price 1=2415Entry Price 2=1224.95

Qty 1=1Qty2=2

Profit is 0.200000000000273

Entry 20130517 Time 1347Sell 1SBIN @ 2416.15Buy 2ICICIBANK @ 1224.65

Exiting  Time@1350Buy 1SBIN @ 2418Sell 2ICICIBANK @ 1225.95

Entry Price 1=2416.15Entry Price 2=1224.65

Qty 1=1Qty2=2

Profit is 0.75

Entry 20130517 Time 1351Sell 1SBIN @ 2415.4Buy 2ICICIBANK @ 1224

Exiting  Time@1352Buy 1SBIN @ 2413.55Sell 2ICICIBANK @ 1224.9

Entry Price 1=2415.4Entry Price 2=1224

Qty 1=1Qty2=2

Profit is 3.65000000000009

Entry 20130517 Time 1353Buy 1SBIN @ 2413Sell 2 ICICIBANK @ 1225.05

Exiting20130517 Time1355Sell 1SBIN@ 2409.9Buy 2ICICIBANK @ 1223.15

Entry Price 1=2413Entry Price 2=1225.05

Qty 1=1Qty2=2

Profit is 0.699999999999818

Entry 20130517 Time 1356Buy 1SBIN @ 2410.55Sell 2 ICICIBANK @ 1223.45

Exiting20130517 Time1358Sell 1SBIN@ 2409.3Buy 2ICICIBANK @ 1221

Entry Price 1=2410.55Entry Price 2=1223.45

Qty 1=1Qty2=2

Profit is 3.65000000000009

Entry 20130517 Time 1359Buy 1SBIN @ 2406.5Sell 2 ICICIBANK @ 1219.95

Exiting20130517 Time1401Sell 1SBIN@ 2410.45Buy 2ICICIBANK @ 1219.65

Entry Price 1=2406.5Entry Price 2=1219.95

Qty 1=1Qty2=2

Profit is 4.54999999999973

Entry 20130517 Time 1402Sell 1SBIN @ 2410.05Buy 2ICICIBANK @ 1220.1

Exiting  Time@1406Buy 1SBIN @ 2409Sell 2ICICIBANK @ 1220.4

Entry Price 1=2410.05Entry Price 2=1220.1

Qty 1=1Qty2=2

Profit is 1.65000000000055

Entry 20130517 Time 1407Buy 1SBIN @ 2409.2Sell 2 ICICIBANK @ 1219.55

Exiting20130517 Time1408Sell 1SBIN@ 2409.5Buy 2ICICIBANK @ 1219.5

Entry Price 1=2409.2Entry Price 2=1219.55

Qty 1=1Qty2=2

Profit is 0.400000000000091

Entry 20130517 Time 1409Sell 1SBIN @ 2410.45Buy 2ICICIBANK @ 1220.35

Exiting  Time@1410Buy 1SBIN @ 2409.05Sell 2ICICIBANK @ 1220.65

Entry Price 1=2410.45Entry Price 2=1220.35

Qty 1=1Qty2=2

Profit is 2

Entry 20130517 Time 1411Buy 1SBIN @ 2408.7Sell 2 ICICIBANK @ 1220.7

Exiting20130517 Time1412Sell 1SBIN@ 2407.25Buy 2ICICIBANK @ 1219.6

Entry Price 1=2408.7Entry Price 2=1220.7

Qty 1=1Qty2=2

Profit is 0.750000000000455

Entry 20130517 Time 1413Buy 1SBIN @ 2405Sell 2 ICICIBANK @ 1219

Exiting20130517 Time1415Sell 1SBIN@ 2405.9Buy 2ICICIBANK @ 1219

Entry Price 1=2405Entry Price 2=1219

Qty 1=1Qty2=2

Profit is 0.900000000000091

Entry 20130517 Time 1416Buy 1SBIN @ 2403.05Sell 2 ICICIBANK @ 1217.95

Exiting20130517 Time1417Sell 1SBIN@ 2404Buy 2ICICIBANK @ 1218

Entry Price 1=2403.05Entry Price 2=1217.95

Qty 1=1Qty2=2

Profit is 0.849999999999909

Entry 20130517 Time 1418Buy 1SBIN @ 2403.6Sell 2 ICICIBANK @ 1217.9

Exiting20130517 Time1419Sell 1SBIN@ 2404Buy 2ICICIBANK @ 1217.55

Entry Price 1=2403.6Entry Price 2=1217.9

Qty 1=1Qty2=2

Profit is 1.10000000000036

Entry 20130517 Time 1420Buy 1SBIN @ 2405.8Sell 2 ICICIBANK @ 1218

Exiting20130517 Time1421Sell 1SBIN@ 2406.15Buy 2ICICIBANK @ 1217.5

Entry Price 1=2405.8Entry Price 2=1218

Qty 1=1Qty2=2

Profit is 1.34999999999991

Entry 20130517 Time 1422Buy 1SBIN @ 2405.9Sell 2 ICICIBANK @ 1217.8

Exiting20130517 Time1423Sell 1SBIN@ 2406.55Buy 2ICICIBANK @ 1217.7

Entry Price 1=2405.9Entry Price 2=1217.8

Qty 1=1Qty2=2

Profit is 0.849999999999909

Entry 20130517 Time 1424Buy 1SBIN @ 2406.5Sell 2 ICICIBANK @ 1217.95

Exiting20130517 Time1426Sell 1SBIN@ 2407.15Buy 2ICICIBANK @ 1217.8

Entry Price 1=2406.5Entry Price 2=1217.95

Qty 1=1Qty2=2

Profit is 0.950000000000273

Entry 20130517 Time 1427Buy 1SBIN @ 2407.9Sell 2 ICICIBANK @ 1218.8

Exiting20130517 Time1428Sell 1SBIN@ 2407.95Buy 2ICICIBANK @ 1218.5

Entry Price 1=2407.9Entry Price 2=1218.8

Qty 1=1Qty2=2

Profit is 0.649999999999636

Entry 20130517 Time 1429Sell 1SBIN @ 2407.05Buy 2ICICIBANK @ 1219.15

Exiting  Time@1430Buy 1SBIN @ 2405Sell 2ICICIBANK @ 1220.7

Entry Price 1=2407.05Entry Price 2=1219.15

Qty 1=1Qty2=2

Profit is 5.15000000000009

Entry 20130517 Time 1431Buy 1SBIN @ 2403Sell 2 ICICIBANK @ 1220.05

Exiting20130517 Time1432Sell 1SBIN@ 2404.7Buy 2ICICIBANK @ 1220

Entry Price 1=2403Entry Price 2=1220.05

Qty 1=1Qty2=2

Profit is 1.79999999999973

Entry 20130517 Time 1433Sell 1SBIN @ 2406Buy 2ICICIBANK @ 1220.8

Exiting  Time@1434Buy 1SBIN @ 2406.35Sell 2ICICIBANK @ 1221.4

Entry Price 1=2406Entry Price 2=1220.8

Qty 1=1Qty2=2

Profit is 0.850000000000364

Entry 20130517 Time 1435Buy 1SBIN @ 2408.5Sell 2 ICICIBANK @ 1223

Exiting20130517 Time1436Sell 1SBIN@ 2408.5Buy 2ICICIBANK @ 1223.05

Entry Price 1=2408.5Entry Price 2=1223

Qty 1=1Qty2=2

Profit is -0.0999999999999091

Entry 20130517 Time 1437Sell 1SBIN @ 2407.3Buy 2ICICIBANK @ 1222.8

Exiting  Time@1438Buy 1SBIN @ 2408Sell 2ICICIBANK @ 1223.6

Entry Price 1=2407.3Entry Price 2=1222.8

Qty 1=1Qty2=2

Profit is 0.900000000000091

Entry 20130517 Time 1439Buy 1SBIN @ 2408.5Sell 2 ICICIBANK @ 1223.35

Exiting20130517 Time1440Sell 1SBIN@ 2411.75Buy 2ICICIBANK @ 1224.8

Entry Price 1=2408.5Entry Price 2=1223.35

Qty 1=1Qty2=2

Profit is 0.349999999999909

Entry 20130517 Time 1441Buy 1SBIN @ 2410.8Sell 2 ICICIBANK @ 1225.2

Exiting20130517 Time1443Sell 1SBIN@ 2411Buy 2ICICIBANK @ 1224.25

Entry Price 1=2410.8Entry Price 2=1225.2

Qty 1=1Qty2=2

Profit is 2.09999999999991

Entry 20130517 Time 1444Sell 1SBIN @ 2409.35Buy 2ICICIBANK @ 1223.8

Exiting  Time@1445Buy 1SBIN @ 2409Sell 2ICICIBANK @ 1224.7

Entry Price 1=2409.35Entry Price 2=1223.8

Qty 1=1Qty2=2

Profit is 2.15000000000009

Entry 20130517 Time 1446Sell 1SBIN @ 2409Buy 2ICICIBANK @ 1224.5

Exiting  Time@1447Buy 1SBIN @ 2410Sell 2ICICIBANK @ 1225.35

Entry Price 1=2409Entry Price 2=1224.5

Qty 1=1Qty2=2

Profit is 0.699999999999818

Entry 20130517 Time 1448Sell 1SBIN @ 2410.8Buy 2ICICIBANK @ 1224.85

Exiting  Time@1449Buy 1SBIN @ 2410.2Sell 2ICICIBANK @ 1225

Entry Price 1=2410.8Entry Price 2=1224.85

Qty 1=1Qty2=2

Profit is 0.900000000000546

Entry 20130517 Time 1450Sell 1SBIN @ 2410.25Buy 2ICICIBANK @ 1223.5

Exiting  Time@1451Buy 1SBIN @ 2408.6Sell 2ICICIBANK @ 1223.75

Entry Price 1=2410.25Entry Price 2=1223.5

Qty 1=1Qty2=2

Profit is 2.15000000000009

Entry 20130517 Time 1452Buy 1SBIN @ 2409.8Sell 2 ICICIBANK @ 1224.25

Exiting20130517 Time1453Sell 1SBIN@ 2410Buy 2ICICIBANK @ 1223.75

Entry Price 1=2409.8Entry Price 2=1224.25

Qty 1=1Qty2=2

Profit is 1.19999999999982

Entry 20130517 Time 1454Buy 1SBIN @ 2411.5Sell 2 ICICIBANK @ 1224.75

Exiting20130517 Time1457Sell 1SBIN@ 2416Buy 2ICICIBANK @ 1225

Entry Price 1=2411.5Entry Price 2=1224.75

Qty 1=1Qty2=2

Profit is 4

Entry 20130517 Time 1458Buy 1SBIN @ 2414Sell 2 ICICIBANK @ 1223.95

Exiting20130517 Time1459Sell 1SBIN@ 2414.5Buy 2ICICIBANK @ 1223.8

Entry Price 1=2414Entry Price 2=1223.95

Qty 1=1Qty2=2

Profit is 0.800000000000182

Entry 20130517 Time 1500Sell 1SBIN @ 2413.55Buy 2ICICIBANK @ 1223.85

Exiting  Time@1501Buy 1SBIN @ 2414Sell 2ICICIBANK @ 1224.8

Entry Price 1=2413.55Entry Price 2=1223.85

Qty 1=1Qty2=2

Profit is 1.45000000000027

Entry 20130517 Time 1502Sell 1SBIN @ 2416Buy 2ICICIBANK @ 1224.8

Exiting  Time@1503Buy 1SBIN @ 2416.7Sell 2ICICIBANK @ 1225.65

Entry Price 1=2416Entry Price 2=1224.8

Qty 1=1Qty2=2

Profit is 1.00000000000045

Entry 20130517 Time 1504Buy 1SBIN @ 2416Sell 2 ICICIBANK @ 1226.7

Exiting20130517 Time1507Sell 1SBIN@ 2422Buy 2ICICIBANK @ 1228.8

Entry Price 1=2416Entry Price 2=1226.7

Qty 1=1Qty2=2

Profit is 1.80000000000018

Entry 20130517 Time 1508Sell 1SBIN @ 2422.5Buy 2ICICIBANK @ 1230.7

Exiting  Time@1511Buy 1SBIN @ 2430.15Sell 2ICICIBANK @ 1234.8

Entry Price 1=2422.5Entry Price 2=1230.7

Qty 1=1Qty2=2

Profit is 0.549999999999727

Entry 20130517 Time 1512Sell 1SBIN @ 2429.2Buy 2ICICIBANK @ 1233.85

Exiting  Time@1513Buy 1SBIN @ 2423.55Sell 2ICICIBANK @ 1232.95

Entry Price 1=2429.2Entry Price 2=1233.85

Qty 1=1Qty2=2

Profit is 3.84999999999991

Entry 20130517 Time 1514Buy 1SBIN @ 2424.05Sell 2 ICICIBANK @ 1232.3

Exiting20130517 Time1515Sell 1SBIN@ 2425.8Buy 2ICICIBANK @ 1232.7

Entry Price 1=2424.05Entry Price 2=1232.3

Qty 1=1Qty2=2

Profit is 0.949999999999818

Entry 20130517 Time 1516Sell 1SBIN @ 2428.65Buy 2ICICIBANK @ 1233.95

Exiting  Time@1518Buy 1SBIN @ 2425.65Sell 2ICICIBANK @ 1233.75

Entry Price 1=2428.65Entry Price 2=1233.95

Qty 1=1Qty2=2

Profit is 2.59999999999991

Entry 20130517 Time 1519Buy 1SBIN @ 2427.7Sell 2 ICICIBANK @ 1233.7

Exiting20130517 Time1521Sell 1SBIN@ 2426.5Buy 2ICICIBANK @ 1230.25

Entry Price 1=2427.7Entry Price 2=1233.7

Qty 1=1Qty2=2

Profit is 5.70000000000027

Entry 20130517 Time 1522Sell 1SBIN @ 2426.75Buy 2ICICIBANK @ 1229.95

Exiting  Time@1523Buy 1SBIN @ 2425.1Sell 2ICICIBANK @ 1229.8

Entry Price 1=2426.75Entry Price 2=1229.95

Qty 1=1Qty2=2

Profit is 1.34999999999991

Entry 20130517 Time 1524Sell 1SBIN @ 2426.65Buy 2ICICIBANK @ 1228.85

Exiting  Time@1526Buy 1SBIN @ 2425.6Sell 2ICICIBANK @ 1229.8

Entry Price 1=2426.65Entry Price 2=1228.85

Qty 1=1Qty2=2

Profit is 2.95000000000027

Entry 20130517 Time 1527Buy 1SBIN @ 2427Sell 2 ICICIBANK @ 1229.95