Study: Sell GMRINFRA when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell GMRINFRA when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
129924.851610662.54616.3612432.43-2706.46-5830.91.712.840.11870.3
211437.54167943.758931.5920478.02-5675.95-19411.761.571.220.02714.85
344756.06169756.2511129.2331159.63-7915.29-22352.941.411.810.0592797.25
473373.221610662.511148.0632402.23-6351.24-13529.411.762.930.14585.83
594497.041611568.7512270.4637616.39-8095.61-17058.821.523.330.125906.07
672011.6216885015399.1643575.42-6397.7-15882.352.412.410.0854500.73
779281.72169756.2512523.3550279.33-4775.49-14814.812.623.370.0964955.11
865770.2316885015075.5445437.62-6854.27-27777.782.22.20.0744110.64
985231.44169756.2515874.1552141.53-8233.7-27777.781.932.480.0865326.96
1065687.68169756.2517600.3752886.41-13245.09-31486.881.331.710.0564105.48
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=7, Profit Factor:3.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Apr 2019 (5.31%)
2018117 May 2018 (0.54%)
2017427 Sep 2017 (-1.88%), 12 Oct 2017 (-7.41%), 22 Nov 2017 (-3.53%), 07 Dec 2017 (-0.29%)
2016313 Jan 2016 (8.77%), 16 Aug 2016 (-2.71%), 06 Oct 2016 (0.39%)
2014305 Feb 2014 (1.51%), 13 Aug 2014 (-0.4%), 09 Sep 2014 (9.47%)
2013130 May 2013 (-0.49%)
2012103 May 2012 (25.14%)
2010112 Jan 2010 (4.7%)
2008107 Feb 2008 (0.53%)

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
atrtrail-16.577535.072291340.9119343.950549.37-7427.7-11757.832.61.80.0593524.32
atrtrail35.1458967.682291340.9117280.8632838.73-7427.7-11757.832.331.610.0532680.35
200trail-12.7739429.163072323.3314944.5452543.76-2834.03-39085.271.60.0331314.31
atrnil38.2166103.521971236.8427763.8432838.73-10686.95-20620.572.61.520.0513479.13
atrtrail24.3643385.452291340.9115549.521892.49-7427.7-11757.832.091.450.0451972.07
atrnil25.819939.81208124018522.921892.49-10686.95-20620.571.731.160.019996.99
200trail31.74-1071.693182325.818023.3111648.81-2837.31-39082.830.98-0.002-34.57
200nil31.77-7874.153182325.818023.3111648.81-3133.07-3944.442.560.89-0.014-254
200trail21.58-14442.513192229.035493.247765.87-2903.71-39081.890.77-0.033-465.89
200nil21.61-19297.433192229.035493.247765.87-3124.39-3944.441.760.72-0.043-622.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.059, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Apr 2019 (6.32%)
2018217 May 2018 (3.66%), 28 May 2018 (7.75%)
2017627 Sep 2017 (-4.61%), 12 Oct 2017 (-2.04%), 22 Nov 2017 (-4.05%), 07 Dec 2017 (-4.99%), 12 Dec 2017 (-3.0%), 15 Dec 2017 (-4.45%)
2016313 Jan 2016 (7.47%), 16 Aug 2016 (-4.36%), 06 Oct 2016 (-0.65%)
2014405 Feb 2014 (-1.87%), 13 Aug 2014 (-5.88%), 22 Aug 2014 (-4.9%), 09 Sep 2014 (25.27%)
2013230 May 2013 (-5.42%), 10 Jun 2013 (0.72%)
2012103 May 2012 (22.15%)
2010212 Jan 2010 (-2.07%), 15 Jan 2010 (8.85%)
2008107 Feb 2008 (4.84%)



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