Study: Buy CANFINHOME when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CANFINHOME when below 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
116405968432563.246277.7624791.9-4235.4-22600.621.482.550.0682412.63
212975268402858.827508.0131226.1-6091.74-29056.61.231.760.0411908.11
315417368363252.949518.4238701.48-5890.31-298001.621.820.0452267.25
415112268383055.8810193.2441804.91-7874.05-31683.171.291.640.0382222.38
514649268323647.0612366.7743265.34-6923.45-22442.241.791.590.0362154.3
61968076834345012856.6948188.98-7068.25-30666.671.821.820.0442894.22
720490968323647.0616066.2848323.96-8589.22-29333.331.871.660.043013.37
82982376834345017834.3254494.38-9062.64-35781.31.971.970.0524385.84
939923968383055.8817079.2551685.39-8325.74-39113.562.052.60.0725871.17
1045093068402858.8217941.2963306.61-9525.76-52927.861.882.690.0736631.33

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 2.69. 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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 3.32%, which is very good. Sharpe Ratio is 0.073, 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.
CANFINHOME Performance, X=10, Profit Factor:2.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Jan 2019 (-6.38%), 11 Feb 2019 (11.83%)
20181218 Jan 2018 (-7.75%), 02 Feb 2018 (17.77%), 28 Mar 2018 (-8.37%), 30 Apr 2018 (-10.0%), 15 May 2018 (1.99%), 19 Jun 2018 (-0.98%), 12 Jul 2018 (6.06%), 13 Aug 2018 (1.91%), 11 Sep 2018 (-26.46%), 27 Sep 2018 (7.85%), 23 Oct 2018 (24.63%), 06 Dec 2018 (20.21%)
2017225 Oct 2017 (-9.88%), 08 Nov 2017 (2.45%)
2016115 Nov 2016 (31.65%)
2013229 Jul 2013 (-5.28%), 19 Aug 2013 (-1.28%)
2012327 Feb 2012 (25.78%), 04 Jun 2012 (1.43%), 26 Jul 2012 (-0.82%)
2011711 Jan 2011 (9.59%), 08 Feb 2011 (0.66%), 06 Jun 2011 (6.74%), 01 Aug 2011 (-10.39%), 17 Aug 2011 (-0.93%), 16 Nov 2011 (-2.94%), 28 Dec 2011 (8.77%)
2008318 Sep 2008 (-0.15%), 07 Oct 2008 (-10.91%), 23 Oct 2008 (4.62%)
2007407 Mar 2007 (4.06%), 31 May 2007 (-6.16%), 18 Jun 2007 (8.91%), 17 Aug 2007 (8.94%)
2006222 Mar 2006 (7.41%), 05 Jun 2006 (4.4%)
2005116 Dec 2005 (9.56%)
2004516 Mar 2004 (3.41%), 17 May 2004 (3.23%), 14 Jun 2004 (-1.81%), 30 Jun 2004 (1.02%), 16 Aug 2004 (-1.72%)
2002108 Nov 2002 (-1.13%)
2001305 Jul 2001 (-5.33%), 26 Jul 2001 (5.14%), 17 Sep 2001 (9.94%)
2000415 Feb 2000 (16.01%), 07 Mar 2000 (-0.58%), 11 May 2000 (2.68%), 07 Aug 2000 (1.53%)
1999116 Feb 1999 (25.0%)
1998403 Feb 1998 (-4.23%), 19 Feb 1998 (-0.4%), 11 Mar 1998 (18.67%), 20 Oct 1998 (6.05%)
1997824 Feb 1997 (6.9%), 31 Mar 1997 (4.17%), 21 May 1997 (0.0%), 22 Jul 1997 (15.69%), 15 Sep 1997 (0.0%), 30 Sep 1997 (5.56%), 25 Nov 1997 (-1.14%), 10 Dec 1997 (-0.38%)
1996323 Sep 1996 (-7.94%), 27 Nov 1996 (1.61%), 13 Dec 1996 (5.0%)

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-11045093068402858.8217941.2963306.61-9525.76-52927.861.882.690.0736631.33
atrtrail24.07282837123546943.913960.3646382.79-6826.42-19145.912.051.60.0382299.49
atrtrail34.68263969123527142.2814253.1850832.95-6721.08-19145.912.121.550.0342146.09
atrtrail-15.22263313123527142.2814240.5792448.5-6721.08-19145.912.121.550.032140.75
atrnil39.0928344297316631.9628692.3869574.18-9182.15-19145.913.121.470.0322922.08
atrnil26.27210322105436240.9518274.946382.79-9282.24-19145.911.971.370.0292003.07

In the table above, row 1 shows the best exit criterion. Profit factor is 2.69. 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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 3.32%, which is very good. Sharpe Ratio is 0.073, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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