Study: Buy CESC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CESC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CESC 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
1-15605.6823101343.482962.536451.61-3479.3-11510.790.850.65-0.032-678.51
2-29352.182381534.784504.0211337.58-4358.95-9523.811.030.55-0.049-1276.18
3-32951.282371630.438452.4220000-5757.39-23129.251.470.64-0.033-1432.66
432183.8823101343.4811880.0637826.09-6662.83-20912.221.781.370.0231399.3
511890.423101343.4812639.0238695.65-8807.68-21841.431.441.10.0074516.97
611677023131056.5218886.2757826.09-12875.16-21428.571.471.910.0485076.95
715043723121152.1722517.3653043.48-10888.34-25668.182.072.260.066540.72
818739823131056.5224890.7479314.33-13618.12-35969.431.832.380.0588147.76
913392023131056.5220752.0660516.18-13585.64-27586.211.531.990.0495822.62
101253982314960.8718869.5270916.8-15419.42-27836.341.221.90.0435452.11
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=8, Profit Factor:2.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020120 Jan 2020 (-5.34%)
2019106 Jun 2019 (-0.59%)
2018305 Apr 2018 (3.91%), 21 Aug 2018 (1.09%), 17 Sep 2018 (-17.98%)
2016121 Apr 2016 (3.12%)
2015213 Oct 2015 (2.73%), 29 Oct 2015 (-10.09%)
2011119 Jul 2011 (2.36%)
2010316 Jun 2010 (-3.7%), 08 Jul 2010 (3.83%), 24 Aug 2010 (-0.2%)
2009108 May 2009 (39.66%)
2004113 Sep 2004 (1.13%)
2002307 May 2002 (28.95%), 22 Nov 2002 (1.79%), 11 Dec 2002 (30.68%)
2001125 May 2001 (-10.8%)
2000210 Jan 2000 (-9.21%), 05 Dec 2000 (21.3%)
1999124 Mar 1999 (-4.42%)
1998117 Mar 1998 (21.24%)
1996117 Jun 1996 (-5.75%)

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
atrnil310.2121251259163627088.5142892.82-7659.09-11071.543.541.990.0564850.05
atrtrail-16.4192176.0627111640.7418134.1346230.1-6706.21-11071.542.71.860.0413413.93
atrnil25.3592343.8526121446.1516747.7228595.22-7759.2-11071.542.161.850.0553551.69
atrtrail35.599114727111640.7418040.5842892.82-6706.21-11071.542.691.850.0453375.81
200trail-12.9743689.3936102627.7811928.648571.43-2907.56-3984.344.11.580.0241213.59
atrtrail24.8957992.4727111640.7415026.5328595.22-6706.21-11071.542.241.540.0362147.87
200nil31.9716179.134102429.418921.3611943.82-3043.1-3984.342.931.220.017475.86
200trail31.8313963.8836102627.788956.0511943.82-2907.56-3984.343.081.180.014387.89
200nil21.71-6034.6535112431.436080.167962.55-3038.18-3984.3420.92-0.008-172.42
200trail21.67-7972.3336112530.566101.187962.55-3003.41-3984.342.030.89-0.01-221.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.99. 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 36%, which is not acceptable. Avoid this strategy. Average return per trade is 2.43%, which is very good. Sharpe Ratio is 0.056, 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.
CESC Performance, Profit Factor:1.99

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020220 Jan 2020 (-2.41%), 24 Jan 2020 (-2.44%)
2019106 Jun 2019 (-3.24%)
2018305 Apr 2018 (-3.64%), 21 Aug 2018 (-2.75%), 17 Sep 2018 (-3.12%)
2016121 Apr 2016 (8.49%)
2015213 Oct 2015 (-3.61%), 16 Oct 2015 (-3.47%)
2011119 Jul 2011 (9.51%)
2010316 Jun 2010 (-3.58%), 08 Jul 2010 (-2.73%), 03 Sep 2010 (8.11%)
2009108 May 2009 (-5.31%)
2004113 Sep 2004 (11.69%)
2002407 May 2002 (21.45%), 22 Nov 2002 (-4.4%), 29 Nov 2002 (15.53%), 11 Dec 2002 (17.78%)
2001125 May 2001 (-5.31%)
2000210 Jan 2000 (-5.35%), 05 Dec 2000 (13.04%)
1999124 Mar 1999 (-5.54%)
1998117 Mar 1998 (16.3%)
1996117 Jun 1996 (-4.37%)



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