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

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In this study, we evaluate the performance of strategy "Buy GMRINFRA 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 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
139616.3527151255.564900.1111445.78-2823.78-5882.351.742.170.0841467.27
28807.2827131448.156554.634875.44-5457.33-18296.531.21.120.0099326.2
311496.1327141351.857978.0434875.44-7707.42-21766.561.041.110.011425.78
411676.9927141351.859672.5923881.67-9518.41-26647.561.021.090.01432.48
5-20033.9427141351.859104.8625000-11346.31-35331.230.80.86-0.016-742
6-17765.5227151255.569294.0233974.36-13097.98-33123.030.710.89-0.013-657.98
7-65953.4127101737.0411696.5528846.15-10759.94-29629.631.090.64-0.049-2442.72
8-10038527111640.7410381.3920284.7-13411.3-24915.820.770.53-0.075-3717.98
9-1451612772025.9314271.9425000-12253.21-32996.631.160.41-0.11-5376.32
10-1386822772025.9312362.9821171.17-11261.14-33753.941.10.38-0.11-5136.37

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.17. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, 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. This chart is important and informative as it shows the performance of strategy over time.
GMRINFRA Performance, X=1, Profit Factor:2.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Apr 2019 (-2.01%)
2017613 Apr 2017 (3.21%), 12 May 2017 (5.72%), 21 Jul 2017 (3.61%), 17 Aug 2017 (-1.62%), 13 Sep 2017 (0.56%), 21 Nov 2017 (-1.45%)
2016407 Jan 2016 (2.69%), 31 Aug 2016 (-2.94%), 19 Sep 2016 (-1.08%), 24 Oct 2016 (-1.49%)
2014214 Jan 2014 (0.89%), 04 Jul 2014 (-0.79%)
2013224 May 2013 (0.0%), 12 Dec 2013 (-2.25%)
2012309 Mar 2012 (4.63%), 26 Mar 2012 (4.92%), 17 Apr 2012 (1.01%)
2009723 Jun 2009 (0.43%), 01 Sep 2009 (-1.09%), 15 Sep 2009 (1.78%), 05 Oct 2009 (1.15%), 23 Oct 2009 (-0.93%), 16 Nov 2009 (-1.3%), 03 Dec 2009 (4.99%)
2007216 Aug 2007 (0.91%), 30 Aug 2007 (0.26%)

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
nilnil-1139616.3527151255.564900.1111445.78-2823.78-5882.351.742.170.0841467.27
50nil31.7139125.942132930.959766.9911793.1-3029.14-3970.153.221.450.043931.57
50trail31.5837268.1645133228.899766.9911793.1-2803.21-3926.213.481.420.04828.18
50trail21.321131.9947173036.176429.597862.07-2939.04-3926.212.191.240.027449.62
50nil21.3519895.3846172936.966429.597862.07-3083.02-3970.152.091.220.026432.51
50trail-12.36616.144103422.739266.3426557.69-2707.27-3926.213.421.010.0005914
atrtrail25.06-28817.6131131841.949491.5625779.58-8455.99-16557.591.120.81-0.024-929.6
atrnil27.08-39400.282681830.7718697.1329036.05-10498.74-16723.391.780.79-0.03-1515.4
atrtrail35.32-33983.4631121938.719896.8938669.37-8039.27-16557.591.230.78-0.026-1096.24
atrtrail-15.55-61662.3831121938.717590.3123587.06-8039.27-16557.590.940.6-0.059-1989.11
atrnil39.25-1391222432112.527320.3138669.37-10527.76-16723.392.60.37-0.12-5796.75

In the table above, row 1 shows the best exit criterion. Profit factor is 2.17. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, 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.
Performance of strategy chart over time is same as above.

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