Study: Buy ARVIND when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ARVIND 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 ARVIND 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
1-59494.0843202346.513519.858483.63-5647.44-16166.280.620.54-0.048-1383.58
231465.2843251858.146558.518329.24-7360.96-26789.840.891.240.017731.75
312136.6443212248.849606.9828722.28-8618.63-24805.051.111.060.0048282.25
436286.1543212248.8411262.1538648.36-9100.87-30375.051.241.180.013843.86
562220.3443222151.1612667.6170327.35-10307.96-32606.061.231.290.0181446.98
652464.4943222151.1614613.0766737.06-12810.62-31043.451.141.20.0141220.1
715572.2743202346.5117295.6670749.74-14362.65-59126.981.21.050.0034362.15
8386.8743232053.4916125.4367370.64-18524.9-87037.040.8717.6e-059
9-15155.6143241955.8114040.8878352.69-18533.51-72222.220.760.96-0.0031-352.46
10-52517.3843212248.8414913.2673284.05-16622.54-78571.430.90.86-0.011-1221.33
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
atrtrail34.3711623070244634.2920090.6466912.36-7955.32-20538.722.531.320.021660.44
atrtrail-15.3110304970244634.2919541.4192112.39-7955.32-20538.722.461.280.0161472.13
atrtrail23.6349131.4470244634.2917294.8444608.24-7955.32-20538.722.171.130.01701.88
atrnil24.4510858.2266224433.3321176.144608.24-10341.27-20538.722.051.020.0021164.52
atrnil36.92-8475.9564154923.4432921.5666912.36-10251.01-20538.723.210.98-0.0014-132.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 34.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
ARVIND Performance, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018230 Jan 2018 (-3.2%), 31 Jan 2018 (-3.48%)
2017219 May 2017 (-2.26%), 24 May 2017 (3.71%)
2016518 Jan 2016 (-0.45%), 04 Feb 2016 (-4.36%), 26 Jul 2016 (-2.61%), 15 Nov 2016 (5.3%), 26 Dec 2016 (10.67%)
2015313 Mar 2015 (-0.74%), 20 Mar 2015 (-4.28%), 12 Aug 2015 (0.29%)
2014711 Jul 2014 (16.12%), 07 Oct 2014 (-1.36%), 10 Oct 2014 (-4.25%), 16 Oct 2014 (15.01%), 09 Dec 2014 (-2.58%), 15 Dec 2014 (-4.49%), 17 Dec 2014 (13.8%)
2013523 Jan 2013 (-3.67%), 24 Jan 2013 (-2.08%), 07 Feb 2013 (-1.24%), 14 Feb 2013 (-1.2%), 13 Dec 2013 (12.04%)
20111017 Jan 2011 (-5.36%), 08 Feb 2011 (-6.65%), 09 Feb 2011 (7.9%), 05 Aug 2011 (-5.03%), 09 Aug 2011 (-1.31%), 14 Nov 2011 (-4.34%), 15 Nov 2011 (-5.12%), 16 Nov 2011 (-3.52%), 23 Nov 2011 (-1.25%), 09 Dec 2011 (-5.67%)
2010627 Jan 2010 (-3.23%), 05 Feb 2010 (1.09%), 23 Feb 2010 (0.17%), 25 Nov 2010 (-6.14%), 26 Nov 2010 (7.36%), 09 Dec 2010 (20.9%)
2009407 Jul 2009 (-10.27%), 13 Jul 2009 (33.46%), 28 Oct 2009 (-4.03%), 03 Nov 2009 (-1.64%)
2008210 Jan 2008 (-1.87%), 18 Jan 2008 (-7.01%)
2005917 Jan 2005 (-4.06%), 24 Jan 2005 (18.98%), 17 Mar 2005 (-3.74%), 21 Mar 2005 (-4.03%), 22 Mar 2005 (-4.29%), 23 Mar 2005 (2.18%), 17 Jun 2005 (-3.1%), 27 Jun 2005 (0.47%), 24 Aug 2005 (1.78%)
2004221 Jan 2004 (3.31%), 30 Jan 2004 (-8.19%)
2003127 Jan 2003 (-1.41%)
2002721 Mar 2002 (-7.73%), 21 May 2002 (19.78%), 26 Jul 2002 (-6.89%), 29 Jul 2002 (-7.86%), 09 Sep 2002 (15.16%), 23 Oct 2002 (-3.56%), 24 Oct 2002 (11.24%)
2001212 Jan 2001 (20.04%), 20 Feb 2001 (-6.76%)
1999109 Feb 1999 (-3.84%)
1997212 May 1997 (0.31%), 12 Aug 1997 (-2.84%)



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