Study: Buy BALRAMCHIN when above 200 SMA

home > technical-strategy > balramchin > 58

In this study, we evaluate the performance of strategy "Buy BALRAMCHIN 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 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
15315.7842241857.145320.6612147.68-6798.9-32659.250.781.040.0032126.57
252776.3842271564.296959.2922847.86-9008.29-64711.830.771.390.021256.58
324755.6342251759.528127.3122288.14-10495.71-53387.260.771.140.0094589.42
428551.3942251759.529750.2130855.66-12659.04-50151.670.771.130.0092679.8
533869.6842231954.7610213.4631510.56-10581.04-34789.820.971.170.013806.42
612659.7942202247.6212939.5532977.69-11187.78-30013.771.161.050.0042301.42
718226.914221215013677.7642871-12809.81-31574.121.071.070.0055433.97
8-1239.794221215013188.1332686.71-13247.17-38827.111-0.00038-29.52
96797.624221215013219.1933892.8-12895.49-46511.631.031.030.0021161.85
10-29169.5842231954.7612346.5836689.71-16481.1-44375.480.750.91-0.008-694.51
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
atrnil39.8945795.453153828.333605.4281100.97-12060.15-28038.422.791.10.008864.06
atrnil27.35-46693.7654183633.3321669.2254067.32-12131.66-28038.421.790.89-0.01-864.7
atrtrail35.28-75175.1964214332.8114925.3844546.19-9037.4-28038.421.650.81-0.018-1174.61
atrtrail24.56-10052864214332.8113718.1229921.2-9037.4-28038.421.520.74-0.025-1570.75
atrtrail-15.95-11874464214332.8112850.6659544.29-9037.4-28038.421.420.69-0.028-1855.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 28.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.008, 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, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017422 Mar 2017 (12.75%), 05 Jun 2017 (-3.87%), 08 Jun 2017 (11.06%), 28 Sep 2017 (10.83%)
2016711 Feb 2016 (21.89%), 09 Aug 2016 (-4.62%), 11 Aug 2016 (-5.0%), 29 Aug 2016 (-4.79%), 15 Sep 2016 (12.19%), 03 Nov 2016 (-3.69%), 22 Dec 2016 (9.12%)
2014414 Jul 2014 (-5.53%), 13 Aug 2014 (-5.03%), 25 Aug 2014 (-5.4%), 10 Sep 2014 (-5.64%)
2012323 Apr 2012 (-6.23%), 02 Nov 2012 (-3.96%), 19 Nov 2012 (-3.51%)
2010420 Jan 2010 (-4.0%), 22 Jan 2010 (-4.18%), 28 Jan 2010 (-4.58%), 05 Feb 2010 (-5.26%)
2009313 Jul 2009 (22.27%), 26 Aug 2009 (15.13%), 23 Nov 2009 (18.08%)
2008318 Jan 2008 (-10.59%), 21 Jan 2008 (-14.02%), 26 May 2008 (-6.36%)
2006319 May 2006 (-9.71%), 25 May 2006 (-11.06%), 01 Jun 2006 (-11.29%)
2004622 Jan 2004 (22.44%), 11 May 2004 (-8.33%), 14 May 2004 (-11.14%), 17 May 2004 (40.55%), 06 Sep 2004 (-4.87%), 02 Nov 2004 (10.54%)
2003118 Sep 2003 (19.94%)
2002322 Jul 2002 (-5.19%), 08 Aug 2002 (15.28%), 09 Sep 2002 (-3.62%)
2000428 Jan 2000 (-5.55%), 31 Jan 2000 (-6.22%), 24 Oct 2000 (9.98%), 21 Nov 2000 (-3.06%)
1998305 Jun 1998 (-7.32%), 08 Jun 1998 (-7.91%), 15 Jun 1998 (-8.49%)
1997501 Sep 1997 (-4.05%), 02 Sep 1997 (-4.67%), 23 Sep 1997 (-3.5%), 09 Oct 1997 (-3.25%), 13 Oct 1997 (-3.63%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play