Study: Buy GMRINFRA when below 200 SMA

home > technical-strategy > gmrinfra > 57

In this study, we evaluate the performance of strategy "Buy GMRINFRA 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 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
1-92014.1671294240.854516.3114745.76-5309.22-22935.780.850.59-0.055-1295.97
2-72295.6871333846.486295.6431946.87-7369.78-48143.410.850.74-0.027-1018.25
3-79633.3571343747.897217.8739496.68-8784.89-37003.840.820.76-0.028-1121.6
4-77324.3571343747.899393.2635651.87-10721.49-33802.820.880.81-0.023-1089.08
5-14061871284339.4410745.1239846.21-10267-38990.831.050.68-0.039-1980.53
6-15557671284339.4412294.141174.41-11623.51-36697.251.060.69-0.039-2191.22
7-10297971323945.0712575.0156903.18-12958.45-43661.970.970.8-0.024-1450.41
8-19649771274438.0314204.2951399.86-13182.11-48399.491.080.66-0.043-2767.57
9-15946571274438.0315882.7456855.71-13370.43-41613.321.190.73-0.033-2245.99
10-14509571284339.4416898.8680831.83-14378.21-393751.180.77-0.026-2043.59
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.35-63565.91120279322.535105.2890843.85-10875.36-25439.643.230.94-0.0071-529.72
atrnil26.25-156229130369427.6923472.0760562.56-10651.32-24876.052.20.84-0.02-1201.76
atrtrail-15.21-3122261444210229.1713238.5469172.26-8512.21-25323.311.560.64-0.045-2168.24
atrtrail24.31-3525081444210229.1712279.4550879.27-8512.21-25323.311.440.59-0.059-2447.97
atrtrail34.71-3611211444210229.1712074.3838853.92-8512.21-25323.311.420.58-0.06-2507.79

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 22.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GMRINFRA Performance, Profit Factor:0.937

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019828 Jan 2019 (-3.14%), 04 Feb 2019 (-3.32%), 13 Feb 2019 (13.33%), 26 Apr 2019 (-4.04%), 06 May 2019 (-3.82%), 13 May 2019 (12.71%), 06 Jun 2019 (-4.49%), 24 Jul 2019 (8.9%)
2018520 Feb 2018 (-7.82%), 01 Jun 2018 (-6.19%), 21 Sep 2018 (-6.15%), 05 Dec 2018 (-4.01%), 10 Dec 2018 (11.82%)
2017127 Sep 2017 (13.87%)
20161013 Jan 2016 (-5.39%), 15 Jan 2016 (-5.81%), 20 Jan 2016 (-6.33%), 11 Feb 2016 (22.49%), 19 May 2016 (-3.84%), 23 May 2016 (11.9%), 16 Aug 2016 (13.08%), 29 Sep 2016 (15.32%), 09 Nov 2016 (-5.38%), 26 Dec 2016 (10.04%)
20151311 Mar 2015 (-5.83%), 18 Mar 2015 (-5.38%), 20 Mar 2015 (16.95%), 27 Apr 2015 (-5.46%), 29 May 2015 (-4.1%), 02 Jun 2015 (-4.19%), 03 Jun 2015 (-5.8%), 28 Jul 2015 (-5.0%), 13 Aug 2015 (-4.9%), 21 Aug 2015 (-4.47%), 24 Aug 2015 (-6.45%), 02 Nov 2015 (-4.76%), 05 Nov 2015 (-4.79%)
2014930 Jan 2014 (15.62%), 05 Sep 2014 (-5.5%), 16 Sep 2014 (-5.79%), 24 Sep 2014 (-7.09%), 25 Sep 2014 (22.92%), 01 Dec 2014 (-4.57%), 02 Dec 2014 (-4.78%), 15 Dec 2014 (-5.14%), 16 Dec 2014 (18.16%)
20131224 Jan 2013 (-4.71%), 30 Apr 2013 (14.09%), 30 May 2013 (-5.42%), 20 Jun 2013 (-4.72%), 24 Jun 2013 (-5.14%), 25 Jun 2013 (-5.44%), 17 Jul 2013 (-4.94%), 29 Jul 2013 (-5.65%), 30 Jul 2013 (-6.48%), 31 Jul 2013 (-7.2%), 02 Aug 2013 (-7.98%), 06 Aug 2013 (25.81%)
20121326 Apr 2012 (-5.78%), 08 May 2012 (-6.35%), 09 May 2012 (-6.98%), 11 May 2012 (-7.4%), 18 May 2012 (22.39%), 10 Aug 2012 (-4.92%), 17 Aug 2012 (-4.9%), 24 Aug 2012 (-4.78%), 27 Aug 2012 (15.95%), 17 Oct 2012 (-6.97%), 25 Oct 2012 (-6.52%), 15 Nov 2012 (-5.18%), 20 Nov 2012 (-5.83%)
20112011 Jan 2011 (-4.61%), 01 Feb 2011 (-4.01%), 08 Feb 2011 (-6.56%), 09 Feb 2011 (-8.35%), 29 Apr 2011 (-4.2%), 18 May 2011 (-3.62%), 20 May 2011 (-3.71%), 25 May 2011 (-3.79%), 06 Jun 2011 (-4.26%), 20 Jun 2011 (-3.83%), 28 Jul 2011 (-2.87%), 16 Aug 2011 (-4.53%), 17 Aug 2011 (-4.98%), 25 Aug 2011 (17.35%), 03 Oct 2011 (-5.42%), 14 Nov 2011 (-5.05%), 15 Nov 2011 (-5.73%), 16 Nov 2011 (-6.39%), 23 Nov 2011 (-7.19%), 09 Dec 2011 (21.45%)
20101620 Jan 2010 (-3.13%), 21 Jan 2010 (-3.35%), 27 Jan 2010 (-3.65%), 04 Feb 2010 (-4.55%), 05 Feb 2010 (15.23%), 14 May 2010 (-4.53%), 24 May 2010 (-4.31%), 25 May 2010 (13.78%), 29 Jul 2010 (7.73%), 31 Aug 2010 (-3.65%), 20 Oct 2010 (-2.97%), 12 Nov 2010 (-2.76%), 16 Nov 2010 (-3.05%), 24 Nov 2010 (-3.59%), 25 Nov 2010 (-4.05%), 26 Nov 2010 (-5.09%)
2009206 Mar 2009 (19.43%), 03 Nov 2009 (19.33%)
20081112 Feb 2008 (-12.72%), 04 Jun 2008 (-6.72%), 09 Jun 2008 (-7.1%), 10 Jun 2008 (-7.67%), 23 Jun 2008 (-7.76%), 27 Jun 2008 (-8.41%), 30 Jun 2008 (28.88%), 07 Oct 2008 (-8.38%), 08 Oct 2008 (-9.72%), 10 Oct 2008 (-12.44%), 27 Oct 2008 (45.42%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play