Study: Buy BALRAMCHIN 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 BALRAMCHIN 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 BALRAMCHIN 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
148259.7743251858.144339.2322663.44-3345.6-12155.111.31.80.0421122.32
223641.6743212248.845647.1115849.67-4315.8-23861.851.311.250.016549.81
3-9954.7343251858.145818.5614930.02-8634.37-39709.440.670.94-0.0047-231.51
4-10896843182541.868350.9222761.07-10371.38-70411.620.810.58-0.036-2534.14
5-12281843222151.167168.726834.79-13358.55-59564.160.540.56-0.039-2856.24
6-99302.4743212248.849525.0727661.23-13605.86-56464.890.70.67-0.03-2309.36
7-27615.9243212248.8411816.9936519.04-12535.12-49816.850.940.9-0.0082-642.23
8-43644.9143202346.5112457.5639083.14-12730.26-38630.970.980.85-0.013-1015
9-42469.4343212248.841340132167.83-14722.29-41070.820.910.87-0.012-987.66
10-35548.9143192444.1914364.2831701.63-12852.93-45617.431.120.88-0.01-826.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.8. 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 58.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, which is low, don't trade solely on the basis of this study.

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
nilnil-1148259.7743251858.144339.2322663.44-3345.6-12155.111.31.80.0421122.32
atrtrail25.3610095353233043.415135.8534009.85-8239.05-18594.261.841.410.031904.78
atrtrail-16.9488534.3552213140.3816032.4971829.84-8004.78-18594.2621.360.0221702.58
atrnil27.1992022.4847192840.4319914.9334009.85-10227.19-18594.261.951.320.0271957.93
atrnil39.4581879.8544133129.5530334.4844113.38-10079.63-18594.263.011.260.021860.91
atrtrail36.3361736.0452213140.3814756.3844471.08-8004.78-18594.261.841.250.0171187.23
50trail31.6425463.6577215627.278935.9711213.06-2896.28-3955.523.091.160.013330.7
50nil31.7425354.4374215328.388935.9711213.06-3062.28-3960.872.921.160.013342.63
50trail21.48-12005.7179255431.655899.237475.38-2953.45-3955.5220.92-0.0076-151.97
50nil21.56-13819.4977255232.475899.237475.38-3101.93-3960.871.90.91-0.0088-179.47
50trail-12.49-15815.7776175922.378626.2426285.71-2753.59-3955.523.130.9-0.0074-208.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 58.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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.
BALRAMCHIN Performance, X=1, Profit Factor:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017511 Apr 2017 (0.46%), 13 Jul 2017 (-0.93%), 27 Jul 2017 (0.23%), 30 Oct 2017 (2.33%), 23 Nov 2017 (-0.94%)
2016512 Feb 2016 (2.03%), 25 May 2016 (2.2%), 13 Oct 2016 (-1.41%), 21 Nov 2016 (3.91%), 20 Dec 2016 (1.23%)
2014122 Jul 2014 (1.35%)
2013205 Dec 2013 (2.55%), 31 Dec 2013 (0.0%)
2012328 Apr 2012 (0.36%), 25 Sep 2012 (0.31%), 23 Oct 2012 (-0.44%)
2009226 Aug 2009 (2.75%), 20 Nov 2009 (-6.08%)
2008316 Jan 2008 (11.33%), 11 Mar 2008 (-2.51%), 28 May 2008 (-3.44%)
2004406 Feb 2004 (6.62%), 14 Jul 2004 (-3.44%), 07 Oct 2004 (0.04%), 04 Nov 2004 (2.69%)
2003106 Oct 2003 (1.38%)
2002420 May 2002 (-2.11%), 05 Jun 2002 (-0.24%), 26 Jun 2002 (2.49%), 16 Jul 2002 (-1.66%)
2001302 Jan 2001 (1.32%), 16 Jan 2001 (2.97%), 05 Mar 2001 (0.55%)
2000410 Jan 2000 (-2.46%), 22 Sep 2000 (-0.21%), 01 Nov 2000 (0.2%), 11 Dec 2000 (-0.78%)
1999120 Dec 1999 (-0.26%)
1998303 Jun 1998 (-1.32%), 21 Aug 1998 (4.13%), 23 Sep 1998 (0.24%)
1997221 Mar 1997 (-1.89%), 26 Aug 1997 (0.56%)



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