Study: Buy COLPAL 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 COLPAL 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 COLPAL 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
13933.12167943.752237.543927.14-1303.3-3444.331.721.340.036245.82
2-6975.95167943.752987.494508.77-3098.71-6587.550.960.75-0.037-436
3-6228.17169756.252333.965766.33-3890.54-7187.580.60.77-0.03-389.26
47067.26167943.755611.314273.93-3579.09-7203.991.571.220.023441.7
55541.291661037.56481.2911421.5-3334.64-6235.911.941.170.019346.33
620708.821688506594.7613140.83-4006.16-7964.171.651.650.061294.3
731845.7167943.75848720106.62-3062.59-6694.832.772.160.0811990.36
835890.53169756.257054.3118205.24-3942.61-6052.331.792.30.092243.16
940234.751688508623.7818631.72-3594.43-7389.512.42.40.12514.67
1033612.311610662.56482.8716730.34-5202.73-9440.191.252.080.0852100.77
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
COLPAL Performance, X=9, Profit Factor:2.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018303 Apr 2018 (1.31%), 23 Oct 2018 (-2.27%), 15 Nov 2018 (9.32%)
2017418 Jan 2017 (-2.28%), 20 Feb 2017 (-1.45%), 07 Mar 2017 (5.75%), 14 Dec 2017 (2.64%)
2016128 Jun 2016 (3.86%)
2015207 Dec 2015 (-0.21%), 22 Dec 2015 (-1.54%)
2014302 Jan 2014 (-2.02%), 14 Feb 2014 (-0.92%), 06 Mar 2014 (2.24%)
2011208 Mar 2011 (-3.69%), 06 Apr 2011 (6.96%)
2008108 Dec 2008 (2.4%)

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
atrnil39.1942887.51167943.7512272.0313545.01-4779.63-6618.62.5720.0922680.47
atrtrail25.6530426.66178947.067659.6410531.99-3427.83-6618.62.231.990.0891789.8
atrtrail36.4133937.91771041.189856.7313545.01-3505.92-6618.62.811.970.0811996.35
atrtrail-17.9430307.621771041.189338.1217994.4-3505.92-6618.62.661.860.0721782.8
atrnil27.3130050.771688508475.1810531.99-4718.84-6618.61.81.80.0821878.17
200nil35.2129431.631971236.849523.3511570.31-3102.65-3732.63.071.790.0741549.03
200trail-16.0518601.9320713357642.3116000-2684.17-3732.62.851.530.048930.1
200trail34.317088.1320713357426.0610684.84-2684.17-3732.62.771.490.049854.41
200trail23.19586.3320713356354.377713.54-2684.17-3732.62.371.270.032479.32
200nil23.687210.461971236.846348.97713.54-3102.65-3732.62.051.190.024379.5

In the table above, row 1 shows the best exit criterion. Profit factor is 2. 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 43.75%, which is not acceptable. Avoid this strategy. Average return per trade is 1.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.092, 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.
COLPAL Performance, Profit Factor:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018303 Apr 2018 (5.48%), 23 Oct 2018 (-2.83%), 15 Nov 2018 (6.75%)
2017418 Jan 2017 (-1.56%), 20 Feb 2017 (-1.84%), 07 Mar 2017 (5.63%), 14 Dec 2017 (5.82%)
2016128 Jun 2016 (6.08%)
2015207 Dec 2015 (-2.03%), 16 Dec 2015 (-2.09%)
2014202 Jan 2014 (-2.14%), 14 Feb 2014 (6.41%)
2011208 Mar 2011 (-2.63%), 06 Apr 2011 (6.77%)
2008208 Dec 2008 (-3.31%), 18 Dec 2008 (-3.07%)



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