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

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In this study, we evaluate the performance of strategy "Buy CESC when above 200 SMA and near 50 SMA and above 50 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
1736.4331131841.943513.448609.77-2496.57-5943.541.411.020.001423.76
2-26972.8231121938.713666.447952.78-3735.27-9620.250.980.62-0.039-870.09
3-16836.3831112035.484751.3616439.56-3455.07-11139.241.380.76-0.02-543.11
433643.1631161551.616880.8524000-5096.7-17754.571.351.440.0261085.26
594003.7631171454.8410653.7267891.89-6222.1-17215.191.712.080.0433032.38
610195231171454.8412344.6270918.92-7707.58-22784.811.61.940.0413288.79
715782431181358.0614217.1787135.14-7544.98-25316.461.882.610.0535091.11
824301531151648.3923802.95144649-7126.83-25822.783.343.130.0547839.19
921565831161551.6120630.75160000-7628.95-27341.772.72.880.0466956.7
1023838731161551.6121987.57160000-7560.96-30379.752.913.10.057689.9
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:3.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Aug 2019 (-1.28%)
2018103 Apr 2018 (2.57%)
2017308 Jun 2017 (-2.22%), 14 Jul 2017 (-0.69%), 27 Nov 2017 (-2.77%)
2015105 Jan 2015 (7.49%)
2014211 Feb 2014 (1.79%), 01 Dec 2014 (-8.5%)
2013118 Sep 2013 (5.28%)
2012517 May 2012 (-1.75%), 31 May 2012 (4.41%), 07 Sep 2012 (5.32%), 29 Nov 2012 (4.41%), 14 Dec 2012 (-0.65%)
2010708 Mar 2010 (0.8%), 05 Apr 2010 (-1.21%), 23 Apr 2010 (-0.48%), 12 May 2010 (-7.47%), 16 Jun 2010 (-3.7%), 19 Aug 2010 (-4.64%), 03 Sep 2010 (4.09%)
2009109 Nov 2009 (-2.4%)
2007222 Jan 2007 (14.61%), 14 Mar 2007 (6.22%)
2006113 Jul 2006 (-4.86%)
2005116 Nov 2005 (8.78%)
2004119 Apr 2004 (-1.49%)
2003307 Feb 2003 (8.88%), 26 Feb 2003 (-12.91%), 26 Sep 2003 (72.32%)
2001130 Jan 2001 (31.55%)

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
atrtrail-16.0512830341182343.915408.52165504-6480.46-12885.472.381.860.0233129.33
50nil31.9439981.5348163233.338493.3111044.05-2997.23-39922.831.420.03832.95
atrtrail24.6857352.7841192246.3410582.5627040.27-6532.54-12885.471.621.40.0281398.85
atrnil25.9766780.9339162341.0315134.0127040.27-7624.49-15453.041.981.380.0291712.33
50trail31.7629990.11501535308463.2211044.05-2770.24-39923.061.310.023599.8
atrnil39.2752674.5437112629.7322608.340560.41-7539.1-15453.0431.270.021423.64
atrtrail35.2434036.7241182343.910171.5240560.41-6480.46-12885.471.571.230.015830.16
50nil21.77-5316.1248163233.335662.217362.7-2997.23-39921.890.94-0.0054-110.75
50trail21.64-12326.01501535305642.157362.7-2770.24-39922.040.87-0.013-246.52
50trail-12.58-19515.1948103820.837594.5822927.95-2512.13-39923.020.8-0.016-406.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 43.9%, which is not acceptable. Avoid this strategy. Average return per trade is 1.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
CESC Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Aug 2019 (-3.37%), 26 Aug 2019 (-2.41%)
2018203 Apr 2018 (-3.56%), 05 Apr 2018 (3.65%)
2017408 Jun 2017 (-3.04%), 14 Jul 2017 (-2.45%), 19 Jul 2017 (5.96%), 27 Nov 2017 (-2.03%)
2015105 Jan 2015 (-3.19%)
2014311 Feb 2014 (-3.64%), 18 Feb 2014 (9.45%), 01 Dec 2014 (-3.6%)
2013118 Sep 2013 (0.27%)
2012617 May 2012 (-3.55%), 31 May 2012 (1.62%), 07 Sep 2012 (-2.67%), 14 Sep 2012 (4.85%), 29 Nov 2012 (2.78%), 14 Dec 2012 (1.27%)
20101008 Mar 2010 (0.05%), 05 Apr 2010 (-2.78%), 08 Apr 2010 (2.01%), 15 Apr 2010 (-3.0%), 23 Apr 2010 (1.15%), 12 May 2010 (-1.73%), 16 Jun 2010 (-3.58%), 19 Aug 2010 (-0.55%), 24 Aug 2010 (-2.65%), 03 Sep 2010 (3.32%)
2009209 Nov 2009 (-3.93%), 16 Nov 2009 (-3.12%)
2007222 Jan 2007 (10.76%), 14 Mar 2007 (0.6%)
2006113 Jul 2006 (-6.44%)
2005116 Nov 2005 (5.13%)
2004119 Apr 2004 (1.74%)
2003407 Feb 2003 (-5.01%), 19 Feb 2003 (1.33%), 26 Feb 2003 (-3.16%), 26 Sep 2003 (82.75%)
2001130 Jan 2001 (-5.06%)



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