Study: Buy ENGINERSIN when above 200 SMA and near 50 SMA and above 50 SMA

home > technical-strategy > enginersin > 21

In this study, we evaluate the performance of strategy "Buy ENGINERSIN when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ENGINERSIN 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
1458.2431161551.613208.7610572.15-3392.12-11940.30.951.010.0007414.78
2178.7331131841.945725.2115289.15-4124.94-14718.491.3910.000195.77
39017.8631121938.718800.2639066.55-5083.43-168251.731.090.0063290.9
456608.1731121938.7113467.3264062.23-5526.3-281752.441.540.0261826.07
529641.6531131841.9411648.8155280.9-6766.27-308751.721.240.015956.18
6-11682.231112035.4813948.8252411.41-8255.96-424501.690.93-0.0054-376.85
7-4919.5331112035.4816002.3946119.27-9047.29-404001.770.97-0.0023-158.69
81260.0531141745.1613445.6742108.9-10998.78-411251.221.010.0005640.65
918165.5531131841.9415783.8654831.46-10390.26-425751.521.10.0073585.99
104379631151648.3914604.2541313.74-10954.24-298251.331.250.0181412.77
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
50trail-12.7134426.0149103920.4113345.4956698.36-2539.2-3849.445.261.350.016702.57
atrnil26.0823331.637132435.1415934.9222953.74-7659.26-13266.572.081.130.012630.58
50nil32.1512503.3848133527.088968.2210920.05-2973.81-3855.423.021.120.011260.49
50trail31.989765.7501337268298.6210918.77-2651.79-3849.443.131.10.0088195.31
atrtrail24.55-2003.6638132534.2112181.6722953.74-6414.61-13266.571.90.99-0.0012-52.73
atrtrail34.87-4243.5738132534.2112009.3734430.62-6414.61-13266.571.870.97-0.0024-111.67
atrnil38.43-5478.883592625.7122290.5134430.62-7926.67-13266.572.810.97-0.0026-156.54
50trail21.77-11073.7152163630.775591.467610.79-2792.7-3940.7320.89-0.012-212.96
50nil21.92-11783.4749153430.615998.567610.79-2993-3855.4220.88-0.013-240.48
atrtrail-15.46-27025.8637112629.7312062.1949061.05-6142.69-13266.571.960.83-0.015-730.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 20.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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.
ENGINERSIN Performance, Profit Factor:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20171119 Jan 2017 (-1.19%), 25 Jan 2017 (-1.0%), 01 Feb 2017 (-1.12%), 21 Mar 2017 (-1.06%), 05 Apr 2017 (11.46%), 01 Jun 2017 (-1.21%), 30 Aug 2017 (-1.22%), 01 Sep 2017 (-1.14%), 05 Sep 2017 (-0.25%), 14 Sep 2017 (-0.43%), 21 Sep 2017 (-1.59%)
2016202 Nov 2016 (-1.92%), 08 Nov 2016 (-1.38%)
2014122 Jul 2014 (-1.3%)
2013412 Nov 2013 (-1.0%), 12 Dec 2013 (-1.55%), 17 Dec 2013 (-1.51%), 24 Dec 2013 (-1.21%)
2012103 Apr 2012 (-1.0%)
20101125 Feb 2010 (3.8%), 17 May 2010 (-1.91%), 02 Jul 2010 (-1.51%), 06 Jul 2010 (-1.44%), 23 Jul 2010 (-1.77%), 03 Aug 2010 (-0.33%), 11 Aug 2010 (-1.78%), 13 Aug 2010 (-1.92%), 19 Aug 2010 (-1.24%), 02 Sep 2010 (4.11%), 11 Nov 2010 (-1.65%)
2009317 Aug 2009 (-1.8%), 20 Aug 2009 (1.36%), 11 Sep 2009 (6.67%)
2006222 Mar 2006 (5.39%), 30 Mar 2006 (3.67%)
2005907 Jan 2005 (-0.74%), 11 Jan 2005 (-1.43%), 28 Jan 2005 (-1.74%), 31 Jan 2005 (-1.04%), 09 Feb 2005 (-0.04%), 16 Feb 2005 (1.11%), 11 Apr 2005 (-1.44%), 19 Jul 2005 (-1.06%), 22 Jul 2005 (-1.35%)
2004122 Jan 2004 (-1.46%)
2003329 Aug 2003 (-1.31%), 09 Sep 2003 (0.81%), 29 Sep 2003 (28.35%)
2002118 Jul 2002 (-1.49%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play