Study: Buy IDEA when below 200 SMA

home > technical-strategy > idea > 57

In this study, we evaluate the performance of strategy "Buy IDEA 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 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
15470.3673363749.326251.0747457.63-5934.27-23911.031.051.020.002274.94
2-27976.6273363749.329873.6101695-10362.87-71929.820.950.93-0.0055-383.24
312881573353847.9515404.55210169-10798.55-75438.61.431.310.0161764.58
417540273343946.5818701.21277966-11806.14-82456.141.581.380.0182402.76
515587173383552.0517473.24250847-14517.51-88421.051.21.310.0172135.21
610605173373650.6817726.88244068-15273.42-93684.211.161.190.0111452.76
796226.3373363749.3219628.35264407-16497.15-85614.041.191.160.00961318.17
832506.1773353847.9517821.29206780-15558.92-78596.491.151.050.0038445.29
91926.0273343946.5818958.09200000-16478.18-81052.631.1510.0002226.38
107800273383552.0519836.79247458-19308.46-85263.161.031.120.00771068.52
Although, strategy looks good but profit factor on day 2 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
atrnil26.2911619.33123418233.3324769.7482488.92-12243.17-35210.132.021.010.001394.47
atrnil38.65-55474.42121309124.7935879.15123733-12437.9-35210.132.880.95-0.0051-458.47
atrtrail34.59-69753.171393910028.0621147.62123733-8945.1-35210.132.360.92-0.0068-501.82
atrtrail-14.99-1214351383810027.5420334.44220312-8941.44-35210.132.270.86-0.01-879.96
atrtrail24.24-1386471393910028.0619381.1282488.92-8945.1-35210.132.170.85-0.016-997.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.047%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0013, 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:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020317 Jan 2020 (27.37%), 14 Feb 2020 (-17.61%), 18 Feb 2020 (41.24%)
20191921 Jan 2019 (-4.48%), 28 Jan 2019 (-5.5%), 27 Mar 2019 (-5.52%), 29 Mar 2019 (-12.47%), 03 Apr 2019 (-12.75%), 08 May 2019 (-8.75%), 15 May 2019 (-9.26%), 17 May 2019 (19.46%), 19 Jun 2019 (12.95%), 19 Jul 2019 (-5.52%), 24 Jul 2019 (-5.99%), 26 Jul 2019 (-6.61%), 29 Jul 2019 (-11.27%), 05 Aug 2019 (-11.85%), 07 Aug 2019 (25.76%), 24 Oct 2019 (-15.09%), 25 Oct 2019 (-16.09%), 14 Nov 2019 (39.2%), 27 Dec 2019 (-11.22%)
20182002 Feb 2018 (-5.17%), 06 Feb 2018 (-5.48%), 07 Mar 2018 (-3.87%), 20 Mar 2018 (-3.99%), 10 Apr 2018 (-3.71%), 16 Apr 2018 (-3.55%), 26 Apr 2018 (-3.46%), 03 May 2018 (-4.02%), 08 May 2018 (-4.15%), 10 May 2018 (-4.24%), 11 May 2018 (11.05%), 05 Jul 2018 (-5.22%), 18 Jul 2018 (10.56%), 29 Aug 2018 (-4.28%), 05 Sep 2018 (-4.9%), 21 Sep 2018 (-5.42%), 25 Sep 2018 (-6.38%), 03 Oct 2018 (-6.84%), 04 Oct 2018 (15.46%), 30 Nov 2018 (-7.54%)
2017813 Jan 2017 (7.15%), 27 Mar 2017 (-7.17%), 05 May 2017 (6.22%), 24 May 2017 (9.35%), 05 Sep 2017 (-3.8%), 07 Sep 2017 (-3.9%), 22 Sep 2017 (-4.07%), 04 Oct 2017 (7.85%)
20161712 Jan 2016 (-3.28%), 13 Jan 2016 (-3.6%), 15 Jan 2016 (-4.27%), 22 Jan 2016 (-5.17%), 04 Feb 2016 (10.2%), 14 Mar 2016 (8.08%), 19 May 2016 (7.63%), 03 Jun 2016 (-4.84%), 13 Jun 2016 (8.33%), 09 Aug 2016 (-3.23%), 10 Aug 2016 (7.12%), 01 Sep 2016 (-4.07%), 26 Sep 2016 (-2.98%), 13 Oct 2016 (-3.2%), 17 Oct 2016 (6.9%), 11 Nov 2016 (8.35%), 23 Dec 2016 (-3.33%)
2015724 Feb 2015 (6.4%), 04 Aug 2015 (-3.1%), 13 Aug 2015 (-3.34%), 24 Aug 2015 (-3.69%), 22 Sep 2015 (-3.49%), 09 Nov 2015 (-3.22%), 10 Nov 2015 (7.09%)
20141017 Jan 2014 (-3.77%), 27 Jan 2014 (-3.74%), 28 Jan 2014 (8.55%), 10 Feb 2014 (11.02%), 30 Apr 2014 (-3.99%), 05 May 2014 (8.12%), 27 Jun 2014 (7.29%), 16 Oct 2014 (8.6%), 08 Dec 2014 (-3.95%), 10 Dec 2014 (8.18%)
2012718 Apr 2012 (-3.48%), 19 Apr 2012 (-3.7%), 23 Apr 2012 (-4.36%), 24 Apr 2012 (-4.95%), 23 May 2012 (-5.6%), 08 Aug 2012 (-3.61%), 09 Aug 2012 (8.08%)
2011310 Feb 2011 (-5.4%), 28 Feb 2011 (12.96%), 23 Dec 2011 (11.07%)
2010722 Feb 2010 (7.35%), 28 Apr 2010 (-3.11%), 29 Apr 2010 (6.71%), 11 May 2010 (-4.36%), 12 May 2010 (10.3%), 21 May 2010 (-6.43%), 26 May 2010 (12.61%)
2009609 Jan 2009 (-8.1%), 15 Jan 2009 (15.98%), 21 Oct 2009 (-4.42%), 26 Oct 2009 (-4.67%), 27 Oct 2009 (-4.91%), 03 Nov 2009 (11.76%)
20081621 Jan 2008 (-6.42%), 23 Jan 2008 (-9.85%), 13 Feb 2008 (-10.0%), 17 Mar 2008 (14.07%), 11 Jun 2008 (9.87%), 30 Jun 2008 (-5.95%), 01 Jul 2008 (-6.91%), 15 Jul 2008 (15.29%), 19 Aug 2008 (-5.4%), 15 Sep 2008 (-4.78%), 29 Sep 2008 (-6.47%), 07 Oct 2008 (-7.63%), 10 Oct 2008 (16.29%), 21 Oct 2008 (-11.33%), 22 Oct 2008 (-13.27%), 23 Oct 2008 (-15.49%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play