Study: Buy ALBK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ALBK when above 200 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
1-56474.5528121642.865739.1930744.85-7834.05-28469.430.730.55-0.048-2016.95
21632.9128131546.438525.6757686.21-7280.05-15273.311.171.010.001158.32
33784.1528121642.8610899.9961489.7-7938.48-15473.441.371.030.0024135.15
445902.452814145010344.1350713.15-7065.38-19773.241.461.460.0321639.37
552992.7328161257.1410788.4451980.98-9968.53-23310.661.081.440.0321892.6
663556.4628161257.1410827.1352614.9-9139.8-27301.591.181.580.0392269.87
789829.0728171160.7111090.1645958.8-8973.06-25215.421.241.910.0573208.18
811200728161257.1414127.5645324.88-9502.83-23076.921.491.980.0634000.25
910974528171160.7113523.9139552.76-10923.75-24946.51.241.910.0633919.47
1091734.3528161257.1414305.0435538.75-11428.86-22561.911.251.670.0543276.23
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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-16.4516413049193038.7821618.9596147.77-8220.99-15225.512.631.670.0413349.6
atrtrail35.0875132.2149193038.7816934.8436273.27-8220.99-15225.512.061.30.0271533.31
atrnil39.3763974.5441113026.8331166.0781162.61-9295.08-15225.513.351.230.0191560.35
atrtrail24.0625927.349193038.7814345.1154108.41-8220.99-15225.511.741.110.0098529.13
atrnil25.67-3945.3645143131.1120594.3154108.41-9427.92-15225.512.180.99-0.0014-87.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 38.78%, which is not acceptable. Avoid this strategy. Average return per trade is 1.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Apr 2019 (-1.74%), 30 Apr 2019 (-3.51%), 07 May 2019 (-3.79%)
2016529 Sep 2016 (2.23%), 13 Oct 2016 (1.87%), 04 Nov 2016 (-3.4%), 08 Nov 2016 (-3.49%), 09 Nov 2016 (4.48%)
2014509 Jul 2014 (-5.57%), 10 Jul 2014 (-6.06%), 11 Jul 2014 (1.5%), 28 Aug 2014 (0.58%), 24 Sep 2014 (-4.43%)
2013331 Jan 2013 (-4.23%), 04 Feb 2013 (-2.86%), 07 Feb 2013 (-3.81%)
2011110 Jan 2011 (-2.3%)
2010424 Feb 2010 (10.73%), 25 Jun 2010 (27.8%), 07 Dec 2010 (-5.0%), 08 Dec 2010 (-5.46%)
2009418 Jun 2009 (0.11%), 08 Jul 2009 (16.01%), 14 Dec 2009 (-4.21%), 15 Dec 2009 (10.78%)
2008121 Jan 2008 (-7.61%)
2007309 Feb 2007 (-2.76%), 12 Feb 2007 (-1.68%), 21 Feb 2007 (-3.88%)
2005912 Apr 2005 (-3.5%), 15 Apr 2005 (-5.72%), 19 Apr 2005 (-5.87%), 28 Apr 2005 (12.06%), 29 Jun 2005 (-3.46%), 30 Jun 2005 (17.03%), 22 Aug 2005 (-3.77%), 25 Aug 2005 (7.5%), 17 Oct 2005 (-3.66%)
2004816 Mar 2004 (-2.68%), 22 Mar 2004 (-3.98%), 23 Mar 2004 (48.07%), 17 May 2004 (17.07%), 21 Jun 2004 (-6.91%), 24 Jun 2004 (4.64%), 20 Aug 2004 (-3.76%), 23 Aug 2004 (6.84%)
2003318 Sep 2003 (13.78%), 20 Nov 2003 (-4.22%), 21 Nov 2003 (2.3%)



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