Study: Buy GMRINFRA when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy GMRINFRA when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 GMRINFRA 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
1-796.5138561.542800.036274.51-4639.36-7526.880.60.97-0.0039-61.27
2-31089.62135838.463576.395305.04-6121.45-13359.530.580.37-0.11-2391.51
3-44578.94135838.466096.2210079.58-9382.5-21218.070.650.41-0.1-3429.15
4-1813.64137653.858166.2321750.66-9829.54-12878.790.830.97-0.0037-139.51
552234.79139469.239434.428647.21-8168.7-14285.711.152.60.14018.06
647945.46138561.5410868.4424403.18-7800.42-13605.441.392.230.0943688.11
765518.42138561.5413454.2431830.24-8423.1-16502.951.62.560.15039.88
865885.36139469.2311559.1230238.73-9536.69-16969.71.212.730.115068.1
955954.55138561.5413178.9835013.26-9895.46-18333.331.332.130.0854304.2
1034460.68138561.5411822.235013.26-12023.39-19253.440.981.570.0492650.82
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
GMRINFRA Performance, X=8, Profit Factor:2.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Mar 2019 (0.89%), 17 Sep 2019 (7.19%)
2018109 Aug 2018 (4.57%)
2017210 Jan 2017 (0.4%), 25 Jan 2017 (7.84%)
2013318 Mar 2013 (7.09%), 09 Apr 2013 (5.69%), 13 Sep 2013 (15.12%)
2012313 Jan 2012 (3.23%), 12 Jul 2012 (-5.7%), 28 Sep 2012 (-3.02%)
2010229 Apr 2010 (-8.48%), 12 Aug 2010 (-1.87%)

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
atrnil37.4551025.24114736.3627213.1336405.05-8261.04-10382.323.291.880.0734638.66
atrtrail35.1536224.98136746.1513695.8536405.05-6564.3-10365.92.091.790.0572786.54
atrtrail-16.6234761.95136746.1513452.0131758.86-6564.3-10365.92.051.760.0562674
atrnil26.6729995.6125741.6717564.5824270.03-8261.04-10382.322.131.520.0532499.63
atrtrail24.8510456.43136746.159401.0924270.03-6564.3-10365.91.431.230.022804.34
200nil32.18-5018.961741323.538739.0110896.14-3075-3990.542.840.87-0.016-295.23
200trail21.33-10962.471851327.785618.297264.09-3004.15-3990.541.870.72-0.043-609.03
200nil21.33-11883.581851327.785618.297264.09-3075-3990.541.830.7-0.046-660.2
200trail31.61-18651.681841422.225406.447181.1-2876.96-3990.541.880.54-0.078-1036.2
200trail-11.88-26475.931721511.767653.8814370.08-2785.58-3990.542.750.37-0.1-1557.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.88. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 2.32%, which is very good. 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.
GMRINFRA Performance, Profit Factor:1.88

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Mar 2019 (11.11%)
2018109 Aug 2018 (-3.75%)
2017110 Jan 2017 (9.09%)
2013318 Mar 2013 (-3.71%), 09 Apr 2013 (16.03%), 13 Sep 2013 (18.2%)
2012313 Jan 2012 (-5.18%), 12 Jul 2012 (-4.86%), 28 Sep 2012 (-5.19%)
2010229 Apr 2010 (-3.64%), 12 Aug 2010 (-2.57%)



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