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

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In this study, we evaluate the performance of strategy "Buy ENGINERSIN when near 200 SMA and above 200 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 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
117387.9228151353.573128.199557.52-2271.92-7982.741.381.590.037621
219762.48281414504472.521160.28-3060.89-11081.641.461.460.027705.8
3-935.7628121642.865575.3322340.22-4239.98-13793.11.310.99-0.0011-33.42
4-11594.0328131546.435659.9118761.06-5678.19-17683.4710.86-0.013-414.07
5-3764.2428111739.298201.4115314.7-5528.22-16976.131.480.96-0.0038-134.44
6-17029.8428121642.868011.4515905.48-7072.95-18390.81.130.85-0.016-608.21
7-52343.5228111739.297739.2919359.24-8086.81-22222.220.960.62-0.043-1869.41
8-30904.6528121642.868976.3626860.84-8663.81-21568.821.040.78-0.022-1103.74
9-55409.4328121642.868919.7736030.2-10152.92-25631.110.880.66-0.036-1978.91
10-85465.22891932.1410315.8545523.19-9384.62-30232.561.10.52-0.05-3052.33

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.59. 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 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study.

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-15.6488060.933112233.3318163.46151149-5078.96-14520.133.581.790.0222668.51
nilnil-1117387.9228151353.573128.199557.52-2271.92-7982.741.381.590.037621
200nil21.6936123.3542182442.866069.477921.19-3046.96-3959.151.991.490.042860.08
200trail21.6535154.3243182541.866069.477921.19-2963.84-3896.262.051.470.04817.54
200trail32.2634299.1942132930.958665.4911854.77-2701.8-3896.263.211.440.033816.65
200nil32.4621791.5241122929.279141.7811854.77-3031.38-3960.593.021.250.021531.5
atrtrail24.6113961.6233122136.3610026.3425973.8-5064.5-14520.131.981.130.011423.08
atrnil26.38-1336.152992031.0315198.2325973.8-6906.01-14520.132.20.99-0.00096-46.07
atrtrail35.21-15322.3833112233.338764.9925909.7-5078.96-14520.131.730.86-0.012-464.31
200trail-13.23-11580.38401030256987.1314860.18-2715.06-3896.262.570.86-0.014-289.51
atrnil38.7-41825.632752218.5221761.9325909.7-6847.06-12986.93.180.72-0.031-1549.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.79. 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 33.33%, 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 0.022, 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:1.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Apr 2019 (-3.0%), 06 Jun 2019 (-2.32%), 21 Jun 2019 (0.52%)
2018114 Mar 2018 (-3.51%)
2017231 Aug 2017 (0.42%), 20 Sep 2017 (-1.9%)
2016103 Jun 2016 (1.64%)
2015224 Jun 2015 (1.34%), 14 Oct 2015 (-1.86%)
2014103 Dec 2014 (-3.85%)
2013403 Jan 2013 (-1.89%), 04 Jan 2013 (-0.03%), 09 Oct 2013 (-1.5%), 25 Oct 2013 (4.51%)
2012702 Feb 2012 (6.5%), 09 Jul 2012 (-2.76%), 30 Jul 2012 (-2.01%), 06 Aug 2012 (-0.67%), 13 Aug 2012 (-3.94%), 13 Sep 2012 (-1.83%), 05 Oct 2012 (2.26%)
2010402 Sep 2010 (3.81%), 07 Oct 2010 (1.67%), 21 Oct 2010 (-2.69%), 09 Nov 2010 (-0.95%)
2009218 Feb 2009 (-2.69%), 25 Feb 2009 (-7.26%)
2007224 Jan 2007 (-3.02%), 27 Apr 2007 (-2.48%)
2004202 Nov 2004 (-1.61%), 11 Nov 2004 (1.66%)
2002225 Jan 2002 (-4.09%), 31 Jan 2002 (75.57%)



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