Study: Buy ASHOKLEY when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ASHOKLEY 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
137915.5135171848.575059.3116073.78-2671.82-8066.31.891.790.0441083.3
288994.6435171848.5710295.2137655.86-4779.11-12342.222.152.030.0532542.7
377430.5235201557.148993.2722661.4-6829-15848.531.321.760.0442212.3
47233135171848.5710949.236451.47-6322.53-18840.581.731.640.0382066.6
571603.5335171848.5712252.1629863.86-7593.51-19631.091.611.520.0352045.82
694476.6335171848.5715695.0944464.78-9574.44-20622.571.641.550.0352699.33
753016.735152042.8616880.2953117.21-10009.38-30272.761.691.260.0181514.76
850110.7835181751.4314525.4148628.43-12432.15-39723.41.171.240.0161431.74
934206.6235161945.7116351.1253615.96-11969.02-38724.551.371.150.011977.33
1089674.8335161945.7118236.8949875.31-10637.65-36573.181.711.440.0282562.14

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.03. 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 48.57%, which is not acceptable. Avoid this strategy. Average return per trade is 1.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ASHOKLEY Performance, X=2, Profit Factor:2.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017517 Mar 2017 (-2.37%), 25 Apr 2017 (-1.64%), 11 May 2017 (-0.4%), 25 May 2017 (6.5%), 28 Nov 2017 (-2.92%)
2016407 Jan 2016 (1.15%), 02 Feb 2016 (-3.2%), 23 Feb 2016 (-3.64%), 02 Jun 2016 (-0.24%)
2015404 May 2015 (-6.17%), 27 May 2015 (0.63%), 19 Jun 2015 (2.58%), 18 Nov 2015 (2.13%)
2014101 Aug 2014 (3.98%)
2013114 Jan 2013 (-1.11%)
2011108 Dec 2011 (-2.14%)
2010303 Feb 2010 (-3.64%), 11 Mar 2010 (-1.54%), 01 Jul 2010 (4.63%)
2007210 Jan 2007 (4.86%), 23 Nov 2007 (18.83%)
2006126 Dec 2006 (4.76%)
2005327 Sep 2005 (-0.87%), 25 Oct 2005 (-4.9%), 11 Nov 2005 (3.33%)
2004220 Feb 2004 (-2.99%), 31 Mar 2004 (2.57%)
2003219 Mar 2003 (2.29%), 22 Apr 2003 (-0.5%)
2002123 Jan 2002 (-2.5%)
2001227 Apr 2001 (10.52%), 24 Oct 2001 (5.88%)
1999221 Oct 1999 (4.0%), 14 Dec 1999 (8.87%)
1996105 Sep 1996 (-2.21%)

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
50trail-12.9111967047123525.5318223.0879294.71-2828.76-39786.442.210.0382546.18
nilnil-1288994.6435171848.5710295.2137655.86-4779.11-12342.222.152.030.0532542.7
atrnil36.9513351137112629.7329624.3655768.78-7398.34-12927.1741.690.0413608.41
50trail31.6837661.4247153231.918599.8911463.26-2854.28-39783.011.410.03801.31
50nil31.7433562.0646153132.618599.8911463.26-3078.59-39782.791.350.027729.61
atrnil24.9255588.838132534.2118593.137179.18-7444.86-12927.172.51.30.0231462.86
atrtrail34.3531579.6343133030.2314884.9936268.92-5397.51-10604.012.761.20.013734.41
atrtrail23.8829507.6943133030.2314725.6137179.18-5397.51-10604.012.731.180.013686.23
50nil21.5312309.1647182938.35685.017642.17-3104.17-39781.831.140.012261.9
50trail21.58229.9348173135.425743.117642.17-2883.97-39781.991.090.0082171.46
atrtrail-14.845785.1343133030.2312900.826517.08-5397.51-10604.012.391.040.0027134.54

In the table above, row 1 shows the best exit criterion. Profit factor is 2.21. 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 25.53%, which is not acceptable. Avoid this strategy. Average return per trade is 1.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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.
ASHOKLEY Performance, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017717 Mar 2017 (-1.99%), 25 Apr 2017 (-1.0%), 11 May 2017 (-1.36%), 15 May 2017 (-1.06%), 22 May 2017 (-1.22%), 25 May 2017 (6.99%), 28 Nov 2017 (-1.09%)
2016507 Jan 2016 (-1.16%), 02 Feb 2016 (-1.87%), 23 Feb 2016 (-1.72%), 02 Jun 2016 (-1.0%), 07 Jun 2016 (-1.52%)
2015804 May 2015 (-1.3%), 12 May 2015 (-1.95%), 27 May 2015 (-1.18%), 29 May 2015 (-1.21%), 19 Jun 2015 (-0.93%), 25 Jun 2015 (-1.93%), 18 Nov 2015 (3.1%), 02 Dec 2015 (-1.5%)
2014201 Aug 2014 (1.48%), 11 Aug 2014 (-0.43%)
2013114 Jan 2013 (-1.98%)
2011108 Dec 2011 (-1.35%)
2010303 Feb 2010 (-1.28%), 11 Mar 2010 (-1.56%), 01 Jul 2010 (9.83%)
2007308 Jan 2007 (-1.54%), 10 Jan 2007 (2.47%), 23 Nov 2007 (7.89%)
2006126 Dec 2006 (0.57%)
2005527 Sep 2005 (-1.43%), 07 Oct 2005 (-1.79%), 25 Oct 2005 (-1.54%), 07 Nov 2005 (-1.18%), 11 Nov 2005 (9.06%)
2004220 Feb 2004 (-1.77%), 31 Mar 2004 (2.09%)
2003319 Mar 2003 (-1.72%), 24 Mar 2003 (-1.21%), 22 Apr 2003 (-1.22%)
2002123 Jan 2002 (-1.36%)
2001227 Apr 2001 (14.13%), 24 Oct 2001 (39.65%)
1999221 Oct 1999 (-1.36%), 14 Dec 1999 (12.09%)
1996105 Sep 1996 (-1.79%)



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