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

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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 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
115592.93158753.334889.629971.1-3360.58-5882.351.451.660.0571039.53
2-15868.11145935.714316.948474.58-4161.42-11320.751.040.58-0.059-1133.44
3-5431.54148657.144529.439104.05-6944.5-16711.590.650.87-0.015-387.97
42845.63148657.14496910508.47-6151.06-14555.260.811.080.008203.26
57740.471477507292.1722058.82-6186.39-14016.171.181.180.017552.89
620839.26148657.147264.8919117.65-6213.31-11859.841.171.560.0491488.52
7-17758.47146842.867858.9914414.41-8114.05-21775.540.970.73-0.033-1268.46
8-53035.121441028.5711581.1115315.32-9935.96-22939.071.170.47-0.088-3788.22
9-55211.51441028.5712244.820270.27-10419.07-17921.151.180.47-0.09-3943.68
10-56785.421441028.5710858.6621171.17-10022.01-21787.711.080.43-0.094-4056.1

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.66. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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
nilnil-1115592.93158753.334889.629971.1-3360.58-5882.351.451.660.0571039.53
50trail21.3216733.62291340.916413.547862.07-3152.94-3926.212.031.410.043760.62
50nil31.9516397.951961331.589652.7211793.1-3193.72-3926.213.021.390.038863.05
50nil21.3215685.732291340.916413.547862.07-3233.55-3926.211.981.370.04712.99
50trail31.7614034.242161528.579652.7211793.1-2925.47-3926.213.31.320.031668.3
atrnil29.75-3960.52124833.3319375.5229036.05-10182.83-13081.021.90.95-0.0061-330.04
atrtrail26.5-34500.57145935.716836.2116875.43-7631.29-11747.310.90.5-0.076-2464.33
50trail-12.48-24692.812151623.814237.8611086.21-2867.63-3926.211.480.46-0.084-1175.85
atrtrail36.86-37180.15145935.716300.2923801.22-7631.29-11747.310.830.46-0.08-2655.72
atrtrail-17-48082.63145935.714119.812898.73-7631.29-11747.310.540.3-0.13-3434.47
atrnil311.67-88478.69121118.3323801.2223801.22-10207.26-14518.022.330.21-0.21-7373.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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, X=1, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020115 Oct 2020 (1.71%)
2017217 Aug 2017 (-1.62%), 13 Sep 2017 (0.56%)
2016331 Aug 2016 (-2.94%), 19 Sep 2016 (-1.08%), 24 Oct 2016 (-1.49%)
2013112 Dec 2013 (-2.25%)
2012226 Mar 2012 (4.92%), 17 Apr 2012 (1.01%)
2009501 Sep 2009 (-1.09%), 15 Sep 2009 (1.78%), 05 Oct 2009 (1.15%), 16 Nov 2009 (-1.3%), 03 Dec 2009 (4.99%)
2007128 Aug 2007 (3.45%)



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