Study: Buy IDEA 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 IDEA 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 IDEA 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
174.1630161453.333347.4911157.5-3820.4-9723.640.8810.000162.47
2-19729.5630161453.334538.529909.91-6596.14-13101.330.690.79-0.029-657.65
3-20713.6330141646.675890.4714323.26-6448.76-15558.060.910.8-0.026-690.45
4-21581.8730131743.337740.8217310.17-7188.97-18038.331.080.82-0.022-719.4
5-43758.0830131743.337390.5219176.32-8225.58-20675.540.90.69-0.042-1458.6
6-44144.1130141646.677015.0218857.76-8897.15-22660.650.790.69-0.041-1471.47
7-46376.9130131743.337520.9124777.18-8479.34-22547.910.890.68-0.041-1545.9
8-25474.1330141646.677775.9736631.02-8396.11-22950.820.930.81-0.021-849.14
9-12840.3830131743.339940.4542245.99-8356.84-27322.41.190.91-0.0093-428.01
10-15150.6530131743.3311488.5840106.95-9676.6-29145.731.190.91-0.01-505.02

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0012%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00016, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
50trail21.5510857.4151183335.295667.357671.96-2762.27-3956.792.051.120.015212.89
50nil21.588849.6501832365667.357671.96-2911.33-3956.791.951.090.012176.99
50trail31.844742.6501436287114.6710276.28-2635.08-3956.792.71.050.005894.85
nilnil-1174.1630161453.333347.4911157.5-3820.4-9723.640.8810.000162.47
50trail-12.59-877.9849133626.537229.634882.35-2635.08-3956.792.740.99-0.0008-17.92
50nil32.15-5352.3646113523.918717.2510799.32-2892.63-3956.793.010.95-0.0066-116.36
atrtrail24.24-45983.0438122631.589698.2121878.2-6244.68-15048.141.550.72-0.039-1210.08
atrtrail-14.87-68457.7238122631.587825.3232801.33-6244.68-15048.141.250.58-0.06-1801.52
atrtrail34.63-73067.5838122631.587441.1723316.9-6244.68-15048.141.190.55-0.069-1922.83
atrnil28.18-84012.932862221.4315292.1721878.2-7989.36-15048.141.910.52-0.086-3000.46
atrnil310.19-1227272632311.5421434.6923316.9-8131.77-15048.142.640.34-0.14-4720.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
IDEA Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018122 Jan 2018 (2.29%)
2017620 Mar 2017 (-1.47%), 11 Aug 2017 (-1.19%), 14 Aug 2017 (2.31%), 01 Sep 2017 (-1.18%), 13 Dec 2017 (-1.57%), 15 Dec 2017 (-1.89%)
20151119 Jan 2015 (2.59%), 30 Jan 2015 (-1.14%), 03 Feb 2015 (2.23%), 04 Feb 2015 (-1.3%), 12 Feb 2015 (2.97%), 26 Feb 2015 (-1.92%), 27 Feb 2015 (-1.65%), 30 Apr 2015 (2.99%), 19 May 2015 (-1.08%), 30 Jun 2015 (3.6%), 10 Jul 2015 (2.95%)
2014405 Nov 2014 (-1.23%), 11 Nov 2014 (-1.57%), 27 Nov 2014 (-1.31%), 02 Dec 2014 (-1.16%)
2013920 Feb 2013 (2.94%), 07 Mar 2013 (3.84%), 14 Mar 2013 (-1.55%), 28 Mar 2013 (-1.84%), 16 Apr 2013 (3.19%), 01 Nov 2013 (-0.18%), 14 Nov 2013 (3.23%), 25 Nov 2013 (2.44%), 04 Dec 2013 (3.4%)
2011704 Jan 2011 (-1.23%), 24 Jan 2011 (2.1%), 31 Jan 2011 (-1.53%), 17 Oct 2011 (-1.66%), 03 Nov 2011 (-0.59%), 08 Nov 2011 (-1.18%), 14 Nov 2011 (-1.98%)
2010712 Oct 2010 (-1.15%), 14 Oct 2010 (-1.71%), 22 Oct 2010 (-1.53%), 22 Nov 2010 (-1.39%), 24 Dec 2010 (-1.61%), 29 Dec 2010 (-1.53%), 31 Dec 2010 (2.31%)
2009521 Jul 2009 (-1.47%), 05 Aug 2009 (-1.52%), 17 Aug 2009 (2.2%), 11 Sep 2009 (-1.08%), 22 Sep 2009 (-1.2%)
2007128 Dec 2007 (3.43%)



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