Study: Buy CONCOR when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CONCOR 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 CONCOR 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
15221.266303645.454466.0812120.85-3576.7-14516.231.251.040.003479.11
210318566412562.125064.0216975.23-4177.6-20616.341.211.990.0541563.41
313900166412562.126496.5128336.09-5094.22-17126.711.282.090.0612106.08
412679466422463.647017.4828613.22-6997.52-24489.0211.750.0481921.12
515029466412562.128844.3432808.59-8492.94-22413.091.041.710.0472277.19
612953866382857.589252.8725403.18-7931.12-24291.891.171.580.0421962.69
758132.366382857.588872.624376.13-9965.24-36581.850.891.210.017880.79
811438166353153.0311617.8633905.67-9427.23-43542.971.231.390.0291733.04
914381766363054.5512676.2332166.92-10417.59-55928.951.221.460.0342179.04
1012149166382857.5811661.3130949.79-11487.12-46375.421.021.380.0291840.77
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CONCOR Performance, X=3, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019528 Jan 2019 (1.95%), 13 Feb 2019 (0.92%), 25 Apr 2019 (4.34%), 13 May 2019 (-0.2%), 19 Aug 2019 (3.69%)
2018706 Mar 2018 (1.02%), 04 Jun 2018 (2.62%), 18 Jun 2018 (1.91%), 20 Aug 2018 (1.94%), 18 Sep 2018 (1.17%), 04 Oct 2018 (-1.99%), 22 Oct 2018 (-4.45%)
2016607 Jan 2016 (-0.56%), 03 Feb 2016 (3.96%), 14 Sep 2016 (0.72%), 17 Nov 2016 (-7.43%), 06 Dec 2016 (0.62%), 20 Dec 2016 (2.58%)
2015324 Aug 2015 (-0.53%), 07 Sep 2015 (14.17%), 11 Dec 2015 (-1.79%)
2014113 Feb 2014 (1.49%)
2013230 Jul 2013 (4.59%), 17 Dec 2013 (-1.05%)
2012307 Mar 2012 (1.32%), 09 May 2012 (4.83%), 04 Dec 2012 (-1.02%)
2011901 Feb 2011 (-1.0%), 28 Apr 2011 (-0.45%), 16 May 2011 (-2.42%), 30 Jun 2011 (7.64%), 09 Aug 2011 (-3.56%), 16 Sep 2011 (2.44%), 15 Nov 2011 (-0.29%), 09 Dec 2011 (-1.39%), 29 Dec 2011 (2.48%)
2010326 May 2010 (5.95%), 19 Oct 2010 (1.05%), 25 Nov 2010 (3.63%)
2009104 Mar 2009 (3.15%)
2008711 Jan 2008 (-5.06%), 24 Mar 2008 (3.32%), 03 Jun 2008 (-1.3%), 18 Sep 2008 (5.1%), 08 Oct 2008 (-7.95%), 27 Oct 2008 (6.9%), 20 Nov 2008 (1.71%)
2007506 Mar 2007 (0.4%), 16 Aug 2007 (-5.28%), 05 Oct 2007 (0.6%), 19 Oct 2007 (-0.14%), 22 Nov 2007 (-3.49%)
2004117 May 2004 (8.97%)
2003210 Jan 2003 (1.45%), 07 Mar 2003 (-2.59%)
2002309 Sep 2002 (-0.36%), 30 Sep 2002 (1.93%), 23 Dec 2002 (2.78%)
2001402 Jul 2001 (4.04%), 27 Jul 2001 (6.09%), 14 Sep 2001 (0.12%), 27 Dec 2001 (7.85%)
2000306 Jan 2000 (-8.56%), 11 Feb 2000 (0.49%), 25 Feb 2000 (1.27%)
1999120 Dec 1999 (-0.81%)

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
atrnil39.9926536710034663425320.882518.81-9023.34-20117.162.811.450.0342653.67
atrnil27.61170879102416140.217389.5155012.54-8886.74-17319.751.961.320.0271675.28
atrtrail35.44117621114447038.613222.0643302.2-6630.7-17319.751.991.250.021031.77
atrtrail24.8990573.38114447038.612607.3340234.33-6630.7-17319.751.91.20.016794.5
atrtrail-16.577046.46114437137.7212636.7545264.45-6568.08-17319.751.921.170.013675.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 34%, which is not acceptable. Avoid this strategy. Average return per trade is 1.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
CONCOR Performance, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 Jan 2019 (-2.68%), 13 Feb 2019 (-3.59%), 22 Feb 2019 (10.72%), 25 Apr 2019 (-2.7%), 08 May 2019 (9.47%), 19 Aug 2019 (9.21%)
20181006 Mar 2018 (-3.13%), 19 Mar 2018 (8.21%), 04 Jun 2018 (-2.88%), 15 Jun 2018 (-3.03%), 18 Jun 2018 (9.43%), 20 Aug 2018 (-3.09%), 04 Oct 2018 (-3.91%), 08 Oct 2018 (-4.19%), 22 Oct 2018 (-4.29%), 25 Oct 2018 (13.52%)
2016907 Jan 2016 (-3.46%), 13 Jan 2016 (-3.68%), 18 Jan 2016 (-3.96%), 03 Feb 2016 (-4.36%), 12 Feb 2016 (12.76%), 14 Sep 2016 (8.01%), 17 Nov 2016 (-3.58%), 21 Nov 2016 (-4.19%), 06 Dec 2016 (-3.8%)
2015624 Aug 2015 (-3.82%), 28 Aug 2015 (-4.43%), 04 Sep 2015 (-4.68%), 07 Sep 2015 (15.12%), 11 Dec 2015 (-3.62%), 17 Dec 2015 (10.26%)
2014113 Feb 2014 (8.03%)
2013230 Jul 2013 (-4.01%), 17 Dec 2013 (8.53%)
2012407 Mar 2012 (-3.79%), 14 Mar 2012 (12.15%), 09 May 2012 (10.84%), 04 Dec 2012 (9.48%)
20112001 Feb 2011 (-3.22%), 08 Feb 2011 (-3.83%), 09 Feb 2011 (-4.03%), 11 Feb 2011 (12.22%), 28 Apr 2011 (-3.91%), 10 May 2011 (-3.66%), 19 May 2011 (-3.65%), 24 May 2011 (11.9%), 30 Jun 2011 (11.29%), 09 Aug 2011 (-3.9%), 12 Aug 2011 (-3.96%), 17 Aug 2011 (-4.2%), 18 Aug 2011 (-4.38%), 16 Sep 2011 (13.29%), 15 Nov 2011 (-3.23%), 23 Nov 2011 (-2.95%), 24 Nov 2011 (-3.15%), 09 Dec 2011 (-3.95%), 16 Dec 2011 (-3.98%), 20 Dec 2011 (12.18%)
2010426 May 2010 (11.72%), 19 Oct 2010 (-2.83%), 25 Nov 2010 (-2.8%), 26 Nov 2010 (11.64%)
2009104 Mar 2009 (11.73%)
20081311 Jan 2008 (-3.63%), 16 Jan 2008 (-3.69%), 17 Jan 2008 (-4.09%), 18 Jan 2008 (13.49%), 24 Mar 2008 (11.24%), 03 Jun 2008 (-4.28%), 04 Jun 2008 (-4.68%), 13 Jun 2008 (15.85%), 18 Sep 2008 (-4.05%), 08 Oct 2008 (-4.72%), 10 Oct 2008 (-5.59%), 15 Oct 2008 (-6.49%), 27 Oct 2008 (-8.45%)
2007806 Mar 2007 (12.75%), 16 Aug 2007 (-4.02%), 17 Aug 2007 (12.6%), 05 Oct 2007 (-3.84%), 12 Oct 2007 (-4.16%), 19 Oct 2007 (14.19%), 22 Nov 2007 (-4.21%), 28 Nov 2007 (12.45%)
2004117 May 2004 (-8.2%)
2003110 Mar 2003 (9.76%)
2002409 Sep 2002 (-4.32%), 16 Sep 2002 (-4.72%), 30 Sep 2002 (13.53%), 23 Dec 2002 (-6.46%)
2001102 Jul 2001 (41.26%)
2000810 Jan 2000 (-6.48%), 11 Jan 2000 (21.65%), 11 Feb 2000 (-6.75%), 22 Feb 2000 (-7.29%), 28 Feb 2000 (-7.31%), 03 Mar 2000 (-8.19%), 07 Mar 2000 (-8.66%), 09 Mar 2000 (-10.06%)
1999120 Dec 1999 (-6.92%)



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