Study: Buy CESC when below 200 SMA

home > technical-strategy > cesc > 57

In this study, we evaluate the performance of strategy "Buy CESC 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 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
1-88694.74121625951.244734.0621260.24-6478.07-20948.510.730.77-0.02-733.01
2-144552121556645.456397.4630065.36-7521.4-35364.710.850.71-0.026-1194.64
3-147640121526942.989510.1342922.37-9306.77-57491.091.020.77-0.019-1220.16
4-172611121556645.459688.7352968.04-10689.27-39302.460.910.76-0.021-1426.54
5-150328121576447.1110969.4955707.76-12118.58-35218.780.910.81-0.016-1242.38
6-119012121517042.1512163.4142922.37-10562.08-46744.931.150.84-0.013-983.57
7-141056121536843.812462.0552964.43-11787.42-54855.921.060.82-0.014-1165.75
8-125987121566546.2812190.1162178.22-12440.5-57566.10.980.84-0.012-1041.21
9-210640121536843.812857.6570099.01-13119.05-65666.60.980.76-0.018-1740.83
10-256827121536843.814118.769702.97-14781.14-66413.490.960.74-0.021-2122.53
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
atrnil26.04-46057.532096414530.6223260.7552921.61-10584.45-19920.552.20.97-0.0027-220.37
atrtrail-15.28-96656.422387616231.9316380.44235988-8281.3-18894.721.980.93-0.004-406.12
atrtrail24.15-1054412387816032.7715746.4244633.18-8335.39-18894.721.890.92-0.0066-443.03
atrnil38.35-1714321994415522.1133769.4172628.39-10692.17-22316.593.160.9-0.0089-861.47
atrtrail34.67-1889202387616231.9315166.4549259.91-8281.3-18894.721.830.86-0.011-793.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 30.62%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CESC Performance, Profit Factor:0.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20201231 Jan 2020 (-2.65%), 01 Feb 2020 (5.79%), 24 Feb 2020 (-3.04%), 27 Feb 2020 (-3.1%), 02 Mar 2020 (-3.39%), 04 Mar 2020 (-3.65%), 06 Mar 2020 (-3.87%), 11 Mar 2020 (-4.27%), 12 Mar 2020 (-5.3%), 16 Mar 2020 (-6.89%), 19 Mar 2020 (-7.37%), 23 Mar 2020 (-9.22%)
2019703 Jan 2019 (6.28%), 19 Feb 2019 (6.33%), 23 Apr 2019 (-2.9%), 07 May 2019 (-2.82%), 09 May 2019 (-2.79%), 21 Nov 2019 (-3.02%), 10 Dec 2019 (5.63%)
2018907 Mar 2018 (-3.12%), 19 Mar 2018 (-3.19%), 21 Mar 2018 (6.87%), 05 Jun 2018 (-3.17%), 19 Jun 2018 (-2.77%), 28 Jun 2018 (6.25%), 21 Sep 2018 (-4.22%), 28 Sep 2018 (10.59%), 30 Oct 2018 (-8.14%)
2016607 Jan 2016 (-2.96%), 13 Jan 2016 (-3.09%), 14 Jan 2016 (-3.29%), 18 Jan 2016 (-3.49%), 25 Jan 2016 (-4.15%), 11 Feb 2016 (9.14%)
20151016 Feb 2015 (-5.53%), 25 Feb 2015 (-5.21%), 20 Apr 2015 (-3.41%), 03 Jun 2015 (7.31%), 20 Aug 2015 (-3.39%), 24 Aug 2015 (9.45%), 05 Nov 2015 (-3.3%), 06 Nov 2015 (-3.65%), 09 Dec 2015 (-3.64%), 16 Dec 2015 (-3.65%)
2014117 Dec 2014 (9.26%)
2013714 Feb 2013 (-3.81%), 28 Feb 2013 (7.32%), 20 Mar 2013 (-4.31%), 26 Mar 2013 (-4.47%), 14 Aug 2013 (-4.32%), 16 Aug 2013 (-4.64%), 19 Aug 2013 (9.77%)
2012216 Apr 2012 (-4.1%), 26 Oct 2012 (10.72%)
20112014 Jan 2011 (-3.25%), 19 Jan 2011 (-3.62%), 31 Jan 2011 (-3.4%), 01 Feb 2011 (-3.59%), 08 Feb 2011 (-3.73%), 09 Feb 2011 (8.2%), 05 May 2011 (-3.47%), 17 May 2011 (7.32%), 22 Jun 2011 (-3.44%), 09 Aug 2011 (-3.94%), 17 Aug 2011 (-4.39%), 19 Aug 2011 (-4.38%), 26 Aug 2011 (10.13%), 14 Sep 2011 (-4.67%), 05 Oct 2011 (8.43%), 16 Nov 2011 (-3.91%), 23 Nov 2011 (9.22%), 09 Dec 2011 (-6.4%), 12 Dec 2011 (-7.12%), 27 Dec 2011 (12.74%)
2010819 May 2010 (-3.16%), 21 May 2010 (6.46%), 26 May 2010 (8.03%), 27 Aug 2010 (5.63%), 20 Oct 2010 (6.19%), 23 Nov 2010 (-2.88%), 25 Nov 2010 (-2.96%), 26 Nov 2010 (6.67%)
2009316 Feb 2009 (-5.6%), 17 Feb 2009 (-5.96%), 18 Feb 2009 (-6.22%)
20081804 Mar 2008 (-8.52%), 10 Mar 2008 (17.63%), 19 Mar 2008 (21.91%), 05 Jun 2008 (-5.18%), 09 Jun 2008 (-5.6%), 19 Jun 2008 (-5.72%), 23 Jun 2008 (12.21%), 11 Jul 2008 (-6.86%), 15 Jul 2008 (-7.42%), 16 Jul 2008 (16.42%), 27 Aug 2008 (-4.61%), 12 Sep 2008 (-4.88%), 15 Sep 2008 (-5.76%), 06 Oct 2008 (-6.38%), 07 Oct 2008 (-7.25%), 08 Oct 2008 (-9.09%), 10 Oct 2008 (22.32%), 20 Oct 2008 (26.46%)
2007107 Mar 2007 (14.42%)
2006208 Jun 2006 (24.21%), 12 Dec 2006 (10.47%)
2005227 Oct 2005 (-5.01%), 28 Oct 2005 (10.93%)
2004414 May 2004 (-8.39%), 17 May 2004 (-9.45%), 21 May 2004 (19.63%), 21 Jun 2004 (13.18%)
2003524 Jan 2003 (-5.07%), 04 Feb 2003 (11.1%), 07 Mar 2003 (-6.01%), 10 Mar 2003 (-6.22%), 28 Mar 2003 (12.35%)
2002521 Jan 2002 (-5.55%), 30 Jan 2002 (-5.49%), 04 Apr 2002 (12.77%), 08 Oct 2002 (-8.18%), 14 Oct 2002 (16.52%)
20011205 Mar 2001 (-8.88%), 12 Mar 2001 (-9.22%), 20 Mar 2001 (-9.96%), 19 Jun 2001 (-6.36%), 02 Jul 2001 (-5.89%), 03 Jul 2001 (13.88%), 06 Sep 2001 (-4.17%), 10 Sep 2001 (-4.53%), 12 Sep 2001 (-5.58%), 17 Sep 2001 (14.41%), 19 Dec 2001 (-6.34%), 21 Dec 2001 (-6.7%)
20001227 Jan 2000 (-7.03%), 04 Feb 2000 (-6.86%), 06 Mar 2000 (-8.36%), 10 Mar 2000 (-9.04%), 24 Apr 2000 (-6.17%), 02 May 2000 (13.89%), 27 Jun 2000 (-5.58%), 03 Jul 2000 (-6.3%), 03 Aug 2000 (-4.93%), 18 Sep 2000 (-5.0%), 22 Sep 2000 (-5.65%), 17 Oct 2000 (12.22%)
1999701 Mar 1999 (-4.94%), 16 Mar 1999 (11.2%), 30 Mar 1999 (12.4%), 26 Apr 1999 (11.73%), 01 Nov 1999 (-7.77%), 02 Nov 1999 (-7.98%), 16 Nov 1999 (-6.49%)
19981222 Jan 1998 (-4.66%), 17 Feb 1998 (-4.65%), 19 Feb 1998 (9.62%), 02 Jun 1998 (-7.3%), 08 Jun 1998 (-7.83%), 10 Jun 1998 (-8.44%), 11 Jun 1998 (-8.97%), 16 Jun 1998 (19.45%), 10 Aug 1998 (-4.98%), 20 Oct 1998 (-6.73%), 22 Oct 1998 (14.82%), 29 Oct 1998 (15.79%)
19971931 Jan 1997 (-6.14%), 03 Feb 1997 (13.34%), 31 Mar 1997 (-5.1%), 01 Apr 1997 (-5.89%), 05 May 1997 (-4.97%), 22 May 1997 (-4.5%), 29 May 1997 (9.08%), 11 Jun 1997 (10.38%), 28 Aug 1997 (-4.78%), 29 Aug 1997 (-5.25%), 17 Sep 1997 (-4.66%), 18 Sep 1997 (9.97%), 28 Oct 1997 (-4.65%), 13 Nov 1997 (-4.04%), 27 Nov 1997 (-4.23%), 28 Nov 1997 (-4.74%), 01 Dec 1997 (-5.26%), 03 Dec 1997 (-5.83%), 04 Dec 1997 (11.99%)
19962518 Jan 1996 (-3.76%), 23 Jan 1996 (-4.29%), 24 Jan 1996 (9.01%), 02 Apr 1996 (10.44%), 16 Apr 1996 (10.36%), 21 May 1996 (-5.11%), 27 May 1996 (10.38%), 09 Jul 1996 (11.65%), 29 Jul 1996 (-5.77%), 30 Jul 1996 (-6.45%), 10 Sep 1996 (-4.2%), 16 Sep 1996 (-4.43%), 19 Sep 1996 (-4.97%), 23 Sep 1996 (-5.37%), 01 Oct 1996 (-5.08%), 14 Oct 1996 (-5.25%), 17 Oct 1996 (11.02%), 01 Nov 1996 (-5.6%), 04 Nov 1996 (-5.91%), 06 Nov 1996 (-6.31%), 22 Nov 1996 (-5.61%), 26 Nov 1996 (-6.07%), 27 Nov 1996 (-6.51%), 29 Nov 1996 (-7.3%), 04 Dec 1996 (15.06%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play