Study: Buy CESC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CESC 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 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
133848.5651282354.94216.0511381.43-3660.91-14496.471.151.40.026663.7
212026051292256.867187.8625621.89-4008.53-20833.331.792.360.0572358.04
356395.0551272452.946962.2324875.62-5482.72-19103.311.271.430.0271105.79
479870.7651282354.97811.5422950.82-6037.05-37134.51.291.580.0321566.09
567014.2451331864.717094.3524550.08-9283.29-36939.570.761.40.0251314
689282.7851341766.677150.3123837.01-9048.69-33717.180.791.580.0331750.64
791812.8751312060.788477.6227096.77-8549.67-29532.160.991.540.0331800.25
894034.8251312060.789213.0425297.11-9578.46-42397.660.961.490.0321843.82
912189751321962.759712.9842786.07-9943.05-26608.190.981.650.0392390.14
1017231051331864.7110776.6262189.05-10184.36-23122.981.061.940.0483378.63
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=2, Profit Factor:2.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Jul 2019 (1.27%), 30 Sep 2019 (0.4%), 13 Nov 2019 (0.45%)
2018101 Feb 2018 (-4.3%)
2017510 Mar 2017 (2.91%), 18 May 2017 (6.46%), 23 Jun 2017 (1.28%), 25 Sep 2017 (-0.16%), 07 Nov 2017 (2.78%)
2016427 Sep 2016 (-1.24%), 13 Oct 2016 (-0.99%), 04 Nov 2016 (0.98%), 21 Nov 2016 (-1.65%)
2014424 Jan 2014 (-1.74%), 29 Apr 2014 (-2.23%), 16 Oct 2014 (-4.8%), 09 Dec 2014 (3.06%)
2013313 Feb 2013 (-1.11%), 26 Jul 2013 (0.11%), 12 Aug 2013 (-1.12%)
2012226 Jul 2012 (-0.02%), 13 Sep 2012 (12.36%)
2010328 Jan 2010 (5.22%), 18 Feb 2010 (0.32%), 30 Mar 2010 (2.53%)
2009318 Jun 2009 (-2.85%), 07 Jul 2009 (-0.64%), 03 Nov 2009 (3.36%)
2008121 Jan 2008 (1.14%)
2007408 May 2007 (2.12%), 31 May 2007 (-0.43%), 14 Jun 2007 (-0.92%), 17 Aug 2007 (-0.64%)
2006327 Apr 2006 (1.77%), 15 May 2006 (3.92%), 11 Dec 2006 (-1.73%)
2005218 Apr 2005 (0.94%), 18 May 2005 (3.77%)
2004420 Jan 2004 (-10.42%), 26 Feb 2004 (2.47%), 15 Mar 2004 (6.4%), 11 May 2004 (0.49%)
2003216 Jan 2003 (0.0%), 10 Sep 2003 (2.68%)
2002326 Jul 2002 (-6.6%), 04 Sep 2002 (0.0%), 30 Sep 2002 (11.8%)
1999319 Aug 1999 (12.81%), 21 Sep 1999 (-0.5%), 05 Oct 1999 (7.92%)
1998129 Apr 1998 (2.53%)

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-15.7216011069294042.0317409.64204415-8619.24-18454.792.021.460.0172320.44
atrnil310.3766607.0657183931.5827865.8347800.02-11153.28-22174.892.51.150.0121168.54
atrtrail24.2543159.3869294042.0313376.8631440.76-8619.24-18454.791.551.130.0096625.5
atrtrail35.1638566.1669294042.0313218.4747161.14-8619.24-18454.791.531.110.0078558.93
atrnil26.4426417.3761243739.3418171.2631866.68-11072.78-22174.891.641.060.0057433.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 42.03%, which is not acceptable. Avoid this strategy. Average return per trade is 1.16%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Jul 2019 (-2.6%), 30 Sep 2019 (7.67%), 13 Nov 2019 (-1.82%)
2018201 Feb 2018 (-3.15%), 02 Feb 2018 (-3.55%)
2017510 Mar 2017 (5.24%), 18 May 2017 (2.25%), 23 Jun 2017 (-1.49%), 25 Sep 2017 (-0.54%), 07 Nov 2017 (1.5%)
2016527 Sep 2016 (-2.03%), 29 Sep 2016 (0.86%), 13 Oct 2016 (0.07%), 04 Nov 2016 (-1.5%), 21 Nov 2016 (-3.86%)
2014824 Jan 2014 (-3.53%), 30 Jan 2014 (8.91%), 29 Apr 2014 (-3.48%), 30 Apr 2014 (26.32%), 16 Oct 2014 (-4.29%), 20 Oct 2014 (0.0%), 09 Dec 2014 (-1.16%), 15 Dec 2014 (-4.29%)
2013413 Feb 2013 (-3.62%), 26 Jul 2013 (-0.6%), 31 Jul 2013 (-1.78%), 12 Aug 2013 (-1.56%)
2012226 Jul 2012 (4.5%), 13 Sep 2012 (8.71%)
2010328 Jan 2010 (0.86%), 18 Feb 2010 (6.34%), 30 Mar 2010 (2.32%)
2009418 Jun 2009 (-7.25%), 23 Jun 2009 (-4.95%), 07 Jul 2009 (17.07%), 03 Nov 2009 (1.72%)
2008121 Jan 2008 (-8.88%)
2007408 May 2007 (0.68%), 31 May 2007 (-2.0%), 12 Jun 2007 (4.64%), 17 Aug 2007 (3.62%)
2006527 Apr 2006 (-5.23%), 15 May 2006 (-5.14%), 19 May 2006 (-5.94%), 22 May 2006 (-7.49%), 11 Dec 2006 (-4.4%)
2005218 Apr 2005 (4.97%), 18 May 2005 (-0.18%)
2004820 Jan 2004 (-7.52%), 21 Jan 2004 (-8.56%), 26 Feb 2004 (0.7%), 15 Mar 2004 (-5.23%), 19 Mar 2004 (-5.83%), 22 Mar 2004 (-6.51%), 23 Mar 2004 (21.51%), 11 May 2004 (-6.62%)
2003316 Jan 2003 (-3.77%), 10 Sep 2003 (-4.96%), 19 Sep 2003 (102.21%)
2002526 Jul 2002 (-9.23%), 30 Jul 2002 (4.9%), 04 Sep 2002 (-4.26%), 09 Sep 2002 (1.6%), 30 Sep 2002 (4.55%)
1999319 Aug 1999 (5.16%), 21 Sep 1999 (-5.75%), 04 Oct 1999 (2.7%)
1998229 Apr 1998 (-7.85%), 30 Apr 1998 (0.88%)



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