Study: Buy FORTIS when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy FORTIS 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 FORTIS 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
1-41415.8648212743.752013.766427.69-3100.18-9276.020.650.51-0.082-862.83
2-12742.1748212743.755264.2534713.14-4566.35-21342.381.150.9-0.011-265.46
3212.0948222645.837878.1638344.23-6657.98-27752.641.1810.000134.42
460501.5948272156.258128.0337908.5-7569.3-27932.961.071.380.0361260.45
587344.7948301862.58761.4438779.96-9749.9-31005.590.91.50.0461819.68
620274748291960.4213183.2539215.69-9450.91-31564.251.392.130.0884223.9
717579348291960.4213225.2146153.85-10933.59-43165.471.211.850.073662.35
823944548291960.4214365.8154074.64-9324.38-30074.491.542.350.0964988.44
923649048311764.5813380.5745239.91-10488.7-32216.011.282.330.0994926.87
1017549648301862.512221.6140365.58-10619.56-34357.541.151.920.0763656.17
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
FORTIS Performance, X=8, Profit Factor:2.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Feb 2018 (7.43%)
2017722 Mar 2017 (8.54%), 23 Jun 2017 (-5.88%), 17 Jul 2017 (10.28%), 18 Aug 2017 (0.62%), 27 Sep 2017 (5.69%), 01 Nov 2017 (-7.68%), 17 Nov 2017 (6.66%)
2016611 Feb 2016 (9.42%), 05 May 2016 (-1.68%), 30 May 2016 (3.17%), 24 Jun 2016 (2.34%), 29 Sep 2016 (4.39%), 18 Nov 2016 (10.67%)
2015207 Sep 2015 (18.85%), 27 Oct 2015 (0.91%)
2014527 Jan 2014 (0.61%), 17 Feb 2014 (-0.74%), 21 Nov 2014 (-2.01%), 05 Dec 2014 (-2.24%), 22 Dec 2014 (9.31%)
2013511 Feb 2013 (-0.05%), 26 Feb 2013 (0.45%), 21 Mar 2013 (3.47%), 21 May 2013 (-7.76%), 24 Jun 2013 (-1.09%)
2012523 Mar 2012 (-0.58%), 14 May 2012 (2.38%), 25 Jul 2012 (4.02%), 24 Aug 2012 (-0.11%), 20 Nov 2012 (13.36%)
2011907 Jan 2011 (-6.38%), 27 Jan 2011 (13.84%), 20 Jun 2011 (5.75%), 17 Aug 2011 (-1.08%), 19 Sep 2011 (-12.36%), 03 Oct 2011 (1.97%), 16 Nov 2011 (-1.77%), 12 Dec 2011 (-15.04%), 27 Dec 2011 (13.89%)
2010116 Nov 2010 (-7.2%)
2009123 Jan 2009 (1.82%)
2008617 Mar 2008 (27.04%), 26 May 2008 (-2.55%), 09 Jun 2008 (12.56%), 01 Jul 2008 (3.86%), 15 Jul 2008 (4.99%), 29 Sep 2008 (-12.39%)

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
atrnil26.2429924779374246.8417448.6934324.27-8246.53-16049.012.121.860.0843787.94
atrnil39.8525403771254635.2125969.3350786.52-8591.22-17162.143.021.640.0623577.99
atrtrail35.5316845387365141.3814195.3350786.52-6717.24-16049.012.111.490.0441936.24
atrtrail24.7915431987365141.3813802.7233857.68-6717.24-16049.012.051.450.0451773.78
atrtrail-16.0910517487355240.2312967.1846868.38-6705.33-16049.011.931.30.0291208.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 46.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.084, 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.
FORTIS Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018301 Feb 2018 (-6.16%), 05 Feb 2018 (-7.1%), 06 Feb 2018 (15.1%)
20171322 Mar 2017 (6.78%), 23 Jun 2017 (-5.03%), 27 Jun 2017 (-5.42%), 04 Jul 2017 (10.68%), 17 Jul 2017 (11.53%), 18 Aug 2017 (-4.98%), 22 Aug 2017 (11.34%), 27 Sep 2017 (7.56%), 01 Nov 2017 (-2.85%), 08 Nov 2017 (-2.87%), 13 Nov 2017 (6.13%), 17 Nov 2017 (-4.09%), 22 Nov 2017 (8.22%)
2016811 Feb 2016 (-4.62%), 12 Feb 2016 (10.31%), 05 May 2016 (-2.97%), 06 May 2016 (6.28%), 30 May 2016 (-3.53%), 24 Jun 2016 (6.25%), 29 Sep 2016 (6.79%), 18 Nov 2016 (8.05%)
2015207 Sep 2015 (11.48%), 27 Oct 2015 (7.48%)
2014527 Jan 2014 (5.21%), 17 Feb 2014 (6.1%), 21 Nov 2014 (-2.87%), 24 Nov 2014 (-3.06%), 11 Dec 2014 (5.02%)
2013711 Feb 2013 (5.56%), 14 Feb 2013 (-3.73%), 21 Mar 2013 (5.99%), 21 May 2013 (-3.65%), 24 May 2013 (-3.89%), 31 May 2013 (-3.94%), 26 Jun 2013 (6.21%)
2012823 Mar 2012 (-3.71%), 29 Mar 2012 (7.67%), 14 May 2012 (-3.77%), 17 May 2012 (8.15%), 25 Jul 2012 (5.01%), 24 Aug 2012 (-3.0%), 30 Aug 2012 (6.53%), 20 Nov 2012 (5.22%)
20111907 Jan 2011 (-2.55%), 11 Jan 2011 (-2.75%), 18 Jan 2011 (5.98%), 20 Jun 2011 (-2.69%), 17 Aug 2011 (-3.61%), 24 Aug 2011 (7.35%), 19 Sep 2011 (-3.61%), 21 Sep 2011 (-3.71%), 23 Sep 2011 (-3.73%), 26 Sep 2011 (-4.08%), 03 Oct 2011 (8.08%), 16 Nov 2011 (-3.32%), 21 Nov 2011 (-3.39%), 23 Nov 2011 (-3.85%), 12 Dec 2011 (-3.76%), 14 Dec 2011 (-4.18%), 15 Dec 2011 (-4.86%), 27 Dec 2011 (-5.24%), 28 Dec 2011 (11.11%)
2010316 Nov 2010 (-2.75%), 19 Nov 2010 (-3.1%), 26 Nov 2010 (6.62%)
2009123 Jan 2009 (11.13%)
20081017 Mar 2008 (-8.02%), 24 Mar 2008 (16.93%), 26 May 2008 (9.57%), 04 Jun 2008 (-5.89%), 09 Jun 2008 (12.26%), 01 Jul 2008 (17.16%), 29 Sep 2008 (-4.8%), 06 Oct 2008 (-5.44%), 08 Oct 2008 (-6.61%), 10 Oct 2008 (15.93%)



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