Study: Buy CANFINHOME when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CANFINHOME when near 200 SMA and 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 CANFINHOME 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
127455.12603327553014.3614976.65-2667.36-13603.821.131.380.022457.59
215840.04603030504064.5315899-3536.53-14558.471.151.150.011264
329354.8260322853.334649.8915313.03-4265.78-21319.81.091.250.016489.25
493691.6760342656.676105.5322711.27-4380.62-18138.421.391.820.0451561.53
526725.9760312951.675740.8518631.46-5215.19-28639.621.11.180.012445.43
646415.87603030507071.1222332.39-5523.92-26730.311.281.280.019773.6
781102.8660342656.677120.0134769.83-6191.45-27684.961.151.50.0311351.71
870415.2260372361.676712.934769.83-7737.48-30071.60.871.40.0251173.59
998134.41603030509351.7539862.88-6080.61-28382.841.541.540.0311635.57
1012467660342656.679013.3543211.92-6991.44-30548.931.291.690.0372077.94
Although, strategy looks good but profit factor on day 2 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
atrnil310.7514552152183434.6222768.5536890.78-7773.92-14970.792.931.550.0392798.47
atrtrail25.2581943.2272284438.8910204.3619656.57-4631.34-9950.982.21.40.0291138.1
atrnil28.1196766.4657243342.1114724.7324593.86-7776.57-14970.791.891.380.0311697.66
atrtrail35.9647692.4370264437.149572.8723904.34-4572.78-9950.982.091.240.017681.32
200nil32.8141206.5496276928.129370.1711767.5-3069.39-3899.23.051.190.016429.23
200trail32.2936731.18104317329.817471.4311523.39-2669.63-3891.812.81.190.015353.18
200nil22.2934604.1103376635.926349.537845-3035.28-3899.22.091.170.016335.96
200trail22.0221547.91109367333.036011.987769.96-2669.63-3891.812.251.110.01197.69
atrtrail-16.74-13978.7269254436.237483.4632891.67-4569.67-9950.981.640.93-0.0056-202.59
200trail-12.97-17046.81103287527.186439.5536026.49-2631.39-3891.812.450.91-0.0063-165.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 1.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018226 Feb 2018 (-3.95%), 13 Mar 2018 (-4.08%)
2016112 Feb 2016 (18.45%)
2013118 Oct 2013 (11.03%)
2012619 Jan 2012 (8.49%), 28 Feb 2012 (12.52%), 17 May 2012 (12.64%), 01 Aug 2012 (-3.42%), 12 Sep 2012 (-3.11%), 27 Sep 2012 (10.21%)
2010329 Mar 2010 (7.5%), 26 Nov 2010 (-6.91%), 23 Dec 2010 (-5.35%)
2009127 Apr 2009 (-4.24%)
2008122 Aug 2008 (-2.81%)
2007608 Mar 2007 (-4.71%), 11 Sep 2007 (-4.04%), 21 Sep 2007 (-4.1%), 08 Oct 2007 (-3.53%), 17 Oct 2007 (-3.54%), 24 Oct 2007 (11.95%)
2006320 Mar 2006 (-2.88%), 31 Mar 2006 (-2.72%), 13 Sep 2006 (14.74%)
2005408 Jul 2005 (9.93%), 14 Oct 2005 (-4.98%), 07 Nov 2005 (10.91%), 30 Nov 2005 (-2.78%)
2004515 Mar 2004 (-4.83%), 30 Mar 2004 (-4.12%), 31 Mar 2004 (13.14%), 21 May 2004 (-6.81%), 10 Nov 2004 (9.09%)
2003128 Jan 2003 (9.89%)
2002625 Oct 2002 (-2.05%), 04 Nov 2002 (-2.5%), 07 Nov 2002 (-2.75%), 04 Dec 2002 (-2.84%), 18 Dec 2002 (-2.38%), 23 Dec 2002 (8.06%)
2001312 Sep 2001 (-4.56%), 05 Oct 2001 (-4.22%), 12 Oct 2001 (11.61%)
2000208 Feb 2000 (18.19%), 06 Apr 2000 (-7.49%)
1999401 Jan 1999 (6.56%), 21 Jan 1999 (-2.76%), 09 Feb 1999 (-3.36%), 03 May 1999 (-4.72%)
1998222 Oct 1998 (-2.47%), 28 Nov 1998 (-2.0%)
1997130 Jun 1997 (-5.17%)



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