Study: Buy GRANULES when above 200 SMA

home > technical-strategy > granules > 58

In this study, we evaluate the performance of strategy "Buy GRANULES when above 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy GRANULES 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
150161.42213959.095167.1317157.17-1890.14-6736.112.733.950.122280.06
263556.482214863.646811.0716359.45-3974.81-6111.111.7130.122888.93
321617.2322101245.459658.2917532.87-6247.14-11458.331.551.290.031982.6
426439.42211115012192.9124273.07-9789.33-23364.841.251.250.0251201.79
539880.22213959.0911645.1923168.44-12389.7-38109.640.941.360.0341812.74
624285.342213959.0911391.1324546.02-13755.48-34858.220.831.20.021103.88
745330.072214863.6412035.2130306.83-15395.36-48194.440.781.370.0332060.46
876600.772214863.6412906.4731934.88-13011.23-537500.991.740.0563481.85
953866.352213959.0911724.729805.89-10950.52-39583.331.071.550.0452448.47
1083151.1822121054.5515442.4847714.46-10215.86-37361.111.511.810.063779.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.95. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 1.14%, which is not very high, 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.
GRANULES Performance, X=1, Profit Factor:3.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017324 May 2017 (1.75%), 27 Jun 2017 (2.48%), 03 Aug 2017 (-0.45%)
2016206 Jan 2016 (-3.37%), 11 Aug 2016 (-0.19%)
2015406 Feb 2015 (-1.74%), 26 Feb 2015 (0.36%), 28 Apr 2015 (2.91%), 06 Nov 2015 (4.73%)
2014311 Mar 2014 (4.33%), 26 Mar 2014 (-0.23%), 11 Dec 2014 (-1.03%)
2013108 Jan 2013 (2.98%)
2012415 May 2012 (2.19%), 30 Oct 2012 (-0.09%), 15 Nov 2012 (-0.29%), 21 Dec 2012 (0.5%)
2010117 May 2010 (0.15%)
2009103 Nov 2009 (8.58%)
2007328 Feb 2007 (2.38%), 12 Jun 2007 (0.25%), 27 Jul 2007 (-1.11%)

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-1150161.42213959.095167.1317157.17-1890.14-6736.112.733.950.122280.06
atrtrail-16.6312801530131743.3319740.7873403.25-7565.6-11198.542.6120.0624267.17
atrtrail35.3310530030131743.3317993.4646977.57-7565.6-11198.542.381.820.0633509.99
atrnil310.3974769.522882028.5731203.9946977.57-8743.12-13022.193.571.430.0392670.34
atrtrail24.9348910.2230131743.3313655.831318.38-7565.6-11198.541.81.380.0371630.34
atrnil27.39-8441.122882028.5720802.6631318.38-8743.12-13022.192.380.95-0.006-301.47

In the table above, row 1 shows the best exit criterion. Profit factor is 3.95. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 1.14%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play