Study: Buy CANFINHOME when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CANFINHOME 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 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
145051.0247301763.833515.518985.51-3553.77-10873.790.991.750.041958.53
291196.0247242351.066951.4923367.7-3288.69-12081.622.112.210.0591940.34
367228.9547291861.76184.7524054.98-6229.38-49662.910.991.60.031430.4
410916447281959.577951.327168.18-5972.26-34323.731.331.960.0492322.63
518257147281959.5710973.730171.07-6562.76-36334.351.672.460.0663884.49
617838447272057.4511189.7732659.41-6186.98-27947.61.812.440.0663795.41
715671847262155.3211996.8434313.02-7390.46-28165.941.622.010.0543334.43
811046447242351.0611544.7935524.2-7243.95-20585.911.591.660.042350.3
916498747262155.3212107.936688.44-7134.21-21218.491.72.10.0573510.36
1014914647272057.4511387.9438264.05-7916.43-19736.291.441.940.0533173.31

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 2.46. 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 59.57%, which is not acceptable. Avoid this strategy. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
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=5, Profit Factor:2.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019113 May 2019 (14.84%)
2017406 Mar 2017 (9.88%), 03 Aug 2017 (-5.33%), 21 Aug 2017 (-3.48%), 22 Sep 2017 (-0.14%)
2016618 Jan 2016 (14.57%), 12 Feb 2016 (9.32%), 24 May 2016 (6.45%), 22 Jun 2016 (8.75%), 09 Nov 2016 (-18.17%), 26 Dec 2016 (14.06%)
2015216 Mar 2015 (-3.49%), 12 Aug 2015 (6.22%)
2014227 Jan 2014 (4.14%), 05 Dec 2014 (2.0%)
2013423 May 2013 (3.09%), 13 Jun 2013 (-2.52%), 04 Jul 2013 (0.04%), 24 Jul 2013 (-3.81%)
2012227 Apr 2012 (-0.19%), 25 Jul 2012 (-1.04%)
2010527 Jan 2010 (1.41%), 22 Feb 2010 (1.23%), 15 Mar 2010 (0.19%), 21 Sep 2010 (5.72%), 18 Nov 2010 (-9.32%)
2008310 Mar 2008 (9.49%), 09 Jun 2008 (1.46%), 23 Jun 2008 (5.2%)
2007123 Feb 2007 (1.9%)
2006121 Mar 2006 (-1.73%)
2005315 Mar 2005 (-3.15%), 27 May 2005 (1.26%), 21 Jun 2005 (-1.51%)
2004121 Jan 2004 (0.47%)
2003313 Jun 2003 (15.09%), 17 Sep 2003 (0.57%), 03 Nov 2003 (0.94%)
2002320 May 2002 (-1.94%), 17 Jul 2002 (-0.73%), 25 Oct 2002 (-0.19%)
2000118 Jan 2000 (-1.06%)
1999323 Jun 1999 (-2.19%), 21 Sep 1999 (-2.37%), 26 Nov 1999 (4.71%)
1998216 Jun 1998 (9.28%), 29 Sep 1998 (1.35%)

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-1518257147281959.5710973.730171.07-6562.76-36334.351.672.460.0663884.49
atrtrail35.6623697571284339.4416357.7838670.41-5140.52-11233.023.182.070.0553337.68
atrtrail-17.1422099671264536.6217183.4874111.76-5017.21-11233.023.421.980.0443112.62
atrtrail25.0619060671294240.8514159.2325780.27-5238.38-11233.022.71.870.0522684.59
atrnil28.725012664293545.3118651.9629082.84-8308.01-15632.252.251.860.0593908.23
atrnil312.7320820960194131.6729085.6943624.26-8400.45-15632.253.461.60.0413470.16

In the table above, row 1 shows the best exit criterion. Profit factor is 2.46. 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 59.57%, which is not acceptable. Avoid this strategy. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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