Study: Buy ALBK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy ALBK when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ALBK at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-8510.6935171848.574301.1211318.55-4534.99-17056.40.950.9-0.011-243.16
2-15507.0135152042.865663.5915000-5023.04-15405.781.130.85-0.017-443.06
3-28484.4735132237.147056.8520718.23-5464.71-23640.761.290.76-0.024-813.84
4-30722.8835161945.717316.4527272.73-7778.21-35561.820.940.79-0.021-877.8
56999.6335191654.298119.4724545.45-9204.39-35360.450.881.050.0043199.99
657239.135181751.4311218.3724242.42-8511.26-32501.011.321.40.0331635.4
761600.8835171848.5710626.4726818.18-6613.84-26057.191.611.520.041760.03
896768.91352114609175.1725454.55-6850.69-19452.281.342.010.0662764.83
987029.4735191654.2911552.3835000-8279.11-41212.621.41.660.0432486.56
1099380.9935181751.4313047.6431935.05-7969.2-30151.581.641.730.052839.46
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
ALBK Performance, X=8, Profit Factor:2.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017207 Dec 2017 (-0.2%), 26 Dec 2017 (-4.2%)
2016121 Sep 2016 (-0.75%)
2015114 Jan 2015 (1.24%)
2014212 Sep 2014 (-9.67%), 30 Oct 2014 (4.37%)
2012129 Mar 2012 (5.17%)
2011117 Feb 2011 (-0.88%)
2010608 Jan 2010 (6.43%), 08 Feb 2010 (-1.23%), 26 Feb 2010 (7.39%), 15 Jun 2010 (-2.5%), 30 Jun 2010 (1.54%), 02 Dec 2010 (-9.73%)
2009307 Jul 2009 (7.17%), 12 Aug 2009 (12.0%), 14 Dec 2009 (-0.43%)
2007212 Jan 2007 (0.05%), 08 Oct 2007 (0.48%)
2005711 Feb 2005 (1.07%), 25 Apr 2005 (-2.47%), 25 May 2005 (-4.29%), 07 Jun 2005 (0.12%), 06 Jul 2005 (5.25%), 18 Aug 2005 (-2.99%), 21 Sep 2005 (0.65%)
2004623 Feb 2004 (-2.49%), 09 Mar 2004 (-6.14%), 28 May 2004 (2.48%), 14 Jul 2004 (6.63%), 20 Aug 2004 (3.65%), 10 Sep 2004 (4.79%)
2003330 Sep 2003 (7.43%), 20 Nov 2003 (5.7%), 09 Dec 2003 (12.73%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail-16.5218440246172936.9621950.2168417.16-6508.67-12596.73.371.980.054008.74
50trail-13.0447406.1155154027.2710897.0551932.84-2901.24-3931.293.761.410.022861.93
50nil32.2138980.8852163630.779292.6311970.48-3047.25-3931.293.051.360.032749.63
atrtrail35.0732056.7846172936.9612988.7231743.97-6508.67-12596.721.170.015696.89
atrnil37.5312650.1440112927.523305.2531743.97-8403.71-20347.912.771.050.0054316.25
50nil21.943176.6953183533.966110.717980.32-3051.89-3931.2921.030.003459.94
atrtrail24.394618.3446172936.9611374.721576.41-6508.67-12596.71.751.020.0025100.4
50trail31.91-4419.4455154027.277442.0111846.57-2901.24-3931.292.570.96-0.004-80.35
50trail21.76-7746.6355183732.735593.597980.32-2930.58-3931.291.910.93-0.0084-140.85
atrnil25.74-43930.1742132930.9515625.2521576.41-8519.26-20347.911.830.82-0.022-1045.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.96%, which is not acceptable. Avoid this strategy. Average return per trade is 2%, which is very good. Sharpe Ratio is 0.05, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ALBK Performance, Profit Factor:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017207 Dec 2017 (-2.64%), 26 Dec 2017 (-3.06%)
2016321 Sep 2016 (-0.59%), 27 Sep 2016 (-0.77%), 03 Oct 2016 (-2.34%)
2015214 Jan 2015 (1.23%), 23 Jan 2015 (-2.84%)
2014312 Sep 2014 (-0.71%), 17 Sep 2014 (-0.14%), 30 Oct 2014 (0.5%)
2012129 Mar 2012 (1.01%)
2011217 Feb 2011 (-4.04%), 01 Mar 2011 (-4.31%)
2010708 Jan 2010 (3.79%), 08 Feb 2010 (-2.84%), 11 Feb 2010 (-3.61%), 26 Feb 2010 (6.97%), 15 Jun 2010 (-2.61%), 30 Jun 2010 (24.33%), 02 Dec 2010 (-4.18%)
2009307 Jul 2009 (-6.01%), 12 Aug 2009 (34.21%), 14 Dec 2009 (-4.21%)
2007312 Jan 2007 (-2.44%), 08 Oct 2007 (5.4%), 18 Oct 2007 (-6.3%)
20051011 Feb 2005 (-4.2%), 23 Feb 2005 (32.38%), 25 Apr 2005 (-3.51%), 25 May 2005 (-2.29%), 07 Jun 2005 (2.75%), 20 Jun 2005 (1.43%), 06 Jul 2005 (12.13%), 18 Aug 2005 (-3.72%), 21 Sep 2005 (-3.27%), 03 Oct 2005 (-2.03%)
2004723 Feb 2004 (-4.15%), 09 Mar 2004 (-4.03%), 28 May 2004 (-5.56%), 14 Jul 2004 (5.06%), 20 Aug 2004 (-3.76%), 26 Aug 2004 (0.97%), 17 Sep 2004 (32.32%)
2003330 Sep 2003 (5.93%), 20 Nov 2003 (-4.22%), 09 Dec 2003 (16.18%)



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