Study: Buy COLPAL 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 COLPAL 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 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
15266.0937191851.351780.14656.16-1586.43-4233.31.121.180.019142.33
25681.8737201754.052585.936204.16-2708.05-10158.240.951.120.013153.56
372.8537211656.762994.0110584.47-3925.09-9962.990.7610.000141.97
426126.9637251267.573367.816631.88-4839-10447.270.71.450.04706.13
560167.4837241364.864797.7115829.95-4229.04-9618.681.132.090.0871626.15
657670.7337221559.465668.4120465.78-4468.95-160001.271.860.0691558.67
781477.2137211656.767140.5325486.1-4279.62-12482.491.672.190.0862202.09
876133.8137211656.766964.5622421.18-4382.62-8290.531.592.090.0842057.67
911294937251267.576748.519323.3-4646.98-7228.681.453.030.133052.67
1011781137261170.276604.7721630.23-4901.15-9215.661.353.190.133184.09
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
COLPAL Performance, X=10, Profit Factor:3.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Feb 2019 (-4.61%), 12 Mar 2019 (-1.54%)
2018203 Apr 2018 (1.29%), 27 Aug 2018 (-2.67%)
2017518 Jan 2017 (-1.06%), 30 May 2017 (5.71%), 04 Aug 2017 (0.65%), 21 Aug 2017 (2.7%), 14 Dec 2017 (3.99%)
2016401 Sep 2016 (1.94%), 20 Sep 2016 (1.86%), 24 Oct 2016 (1.43%), 10 Nov 2016 (-4.11%)
2015505 Jan 2015 (6.43%), 04 May 2015 (1.9%), 24 Jun 2015 (2.07%), 13 Jul 2015 (2.45%), 16 Sep 2015 (-2.78%)
2014306 Mar 2014 (0.78%), 02 Jun 2014 (8.19%), 09 Sep 2014 (3.29%)
2013110 Apr 2013 (5.25%)
2012431 Jan 2012 (0.11%), 14 Feb 2012 (4.4%), 06 Jul 2012 (0.04%), 23 Jul 2012 (2.11%)
2011523 Jun 2011 (10.82%), 25 Aug 2011 (2.48%), 14 Sep 2011 (-1.18%), 12 Dec 2011 (1.05%), 26 Dec 2011 (-3.43%)
2010404 Jan 2010 (2.91%), 08 Apr 2010 (6.81%), 10 Aug 2010 (-0.93%), 06 Dec 2010 (-1.48%)
2009218 Sep 2009 (5.2%), 04 Dec 2009 (-3.17%)

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
atrnil39.1893221.8640152537.514217.320164.73-4801.5-7285.752.961.780.0732330.55
atrnil26.5883661.4945212446.679421.7713443.15-4758.15-7285.751.981.730.0751859.14
atrtrail35.9672286.8251193237.259171.8517551.51-3186.82-7285.752.881.710.0581417.39
atrtrail-17.1872091.6351193237.259161.5829531.66-3186.82-7285.752.871.710.0531413.56
50nil34.8350937.8748173135.428237.711992.23-2874.29-3999.92.871.570.0571061.21
atrtrail25.2750659.4151203139.227563.4312591.27-3245.46-7285.752.331.50.049993.32
50nil23.3941257.5351222943.145663.977994.82-2874.13-3999.91.971.490.055808.97
50trail22.9539782.356223439.295592.317820.54-2448.49-3999.92.281.480.051710.4
50trail-15.1533885.2255173830.917076.2620726.21-2273.98-3999.93.111.390.034616.09
50trail33.8933263.0255183732.736598.2411728.81-2310.95-3999.92.861.390.039604.78

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.17%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.073, 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:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Feb 2019 (-2.17%), 12 Mar 2019 (-2.29%)
2018203 Apr 2018 (5.48%), 27 Aug 2018 (-2.07%)
2017518 Jan 2017 (-1.56%), 30 May 2017 (7.78%), 04 Aug 2017 (-2.19%), 21 Aug 2017 (6.37%), 14 Dec 2017 (5.82%)
2016301 Sep 2016 (-2.12%), 24 Oct 2016 (-2.1%), 10 Nov 2016 (-2.99%)
2015505 Jan 2015 (6.85%), 04 May 2015 (-2.95%), 24 Jun 2015 (-2.2%), 29 Jun 2015 (-2.25%), 16 Sep 2015 (-2.39%)
2014306 Mar 2014 (4.51%), 02 Jun 2014 (7.64%), 09 Sep 2014 (6.39%)
2013110 Apr 2013 (7.43%)
2012531 Jan 2012 (6.99%), 06 Jul 2012 (-2.36%), 19 Jul 2012 (-2.02%), 23 Jul 2012 (-2.01%), 31 Jul 2012 (6.61%)
2011523 Jun 2011 (8.78%), 25 Aug 2011 (-3.15%), 23 Sep 2011 (10.08%), 12 Dec 2011 (-2.37%), 26 Dec 2011 (-2.48%)
2010604 Jan 2010 (-2.24%), 12 Jan 2010 (-2.47%), 08 Apr 2010 (8.32%), 10 Aug 2010 (-1.8%), 06 Dec 2010 (-3.64%), 20 Dec 2010 (-3.38%)
2009318 Sep 2009 (-2.48%), 01 Oct 2009 (7.57%), 04 Dec 2009 (-2.33%)



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