Study: Buy ASHOKLEY when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ASHOKLEY 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 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
130288.2848252352.086197.7916710.88-5419.84-19002.71.141.240.017631.01
266853.8848262254.177701.7424237.14-6063.24-11079.941.271.50.0341392.79
342718.8148232547.929339.0434350.48-6883.16-16550.591.361.250.018889.98
482171.8148282058.338867.5433653.01-8305.96-20505.21.071.490.0321711.91
510315348272156.2510182.9330863.12-8180.3-20524.021.241.60.0392149.01
614999748262254.1713076.9541325.2-8636.53-20960.71.511.790.0463124.94
714942948282058.3313677.5844463.82-11677.14-30626.451.171.640.043113.11
812132848272156.2513077.4941836.29-11036.42-44176.331.181.520.0322527.66
917724548272156.2515324.7351624.08-11262.98-56612.531.361.750.0423692.61
1021245848282058.3316039.0356474.66-11831.72-45104.411.361.90.054426.22
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-15.5610236068244435.2917476.8172549.81-7206.44-17129.712.431.320.0191505.29
atrtrail34.4662624.5668254336.7615103.8248904.33-7324.91-17129.712.061.20.014920.95
atrnil36.644074.9362174527.4229095.4854865.69-10012.18-20455.352.911.10.0078710.89
atrtrail23.7824236.1268254336.7613568.2836577.13-7324.91-17129.711.851.080.006356.41
atrnil24.79-35120.3863204331.7519549.6136577.13-9909.6-20455.351.970.92-0.0077-557.47

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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 May 2018 (-3.06%), 21 May 2018 (8.61%), 19 Jun 2018 (-2.88%)
2017307 Nov 2017 (-3.1%), 08 Nov 2017 (-3.39%), 09 Nov 2017 (-3.83%)
2016615 Jan 2016 (-3.31%), 18 Jan 2016 (0.87%), 04 May 2016 (0.51%), 20 May 2016 (-0.36%), 25 May 2016 (8.55%), 24 Jun 2016 (0.23%)
2015509 Feb 2015 (17.44%), 27 Apr 2015 (4.73%), 05 Nov 2015 (-2.55%), 09 Dec 2015 (-0.23%), 14 Dec 2015 (5.7%)
2014116 Dec 2014 (-4.27%)
2013122 Jan 2013 (-2.94%)
2012104 May 2012 (-4.0%)
2010323 Feb 2010 (12.35%), 23 Aug 2010 (-1.06%), 09 Dec 2010 (-0.84%)
2009121 Dec 2009 (13.12%)
2007213 Feb 2007 (0.56%), 21 Feb 2007 (-4.27%)
2006517 Jan 2006 (-3.42%), 18 Jan 2006 (22.77%), 22 May 2006 (-0.89%), 31 Oct 2006 (2.92%), 20 Nov 2006 (3.02%)
2005701 Mar 2005 (0.79%), 16 Mar 2005 (-3.98%), 18 Mar 2005 (-4.06%), 22 Mar 2005 (-4.22%), 23 Aug 2005 (-4.13%), 24 Aug 2005 (11.31%), 20 Oct 2005 (4.31%)
2004630 Jan 2004 (-7.62%), 03 Feb 2004 (14.66%), 15 Mar 2004 (-4.32%), 16 Mar 2004 (-0.35%), 23 Mar 2004 (23.66%), 11 May 2004 (2.05%)
2003122 Jul 2003 (36.27%)
2002808 Jan 2002 (4.17%), 21 Mar 2002 (-1.99%), 15 Jul 2002 (-4.57%), 22 Jul 2002 (-2.96%), 26 Jul 2002 (-5.64%), 30 Jul 2002 (-6.17%), 16 Sep 2002 (-3.33%), 18 Sep 2002 (-3.62%)
2001620 Jun 2001 (-5.79%), 22 Jun 2001 (-0.63%), 23 Jul 2001 (-0.19%), 25 Jul 2001 (-4.22%), 12 Sep 2001 (1.17%), 20 Dec 2001 (-7.26%)
2000103 Feb 2000 (-6.65%)
1999701 Feb 1999 (-7.23%), 09 Mar 1999 (-0.48%), 09 Apr 1999 (-8.46%), 16 Sep 1999 (-1.0%), 21 Sep 1999 (-3.12%), 27 Sep 1999 (9.93%), 29 Oct 1999 (-8.56%)
1996121 May 1996 (-3.58%)



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