Study: Buy IDFC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy IDFC 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 IDFC 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
145005.2932201262.55650.5629572.65-5667.16-16735.4211.660.0491406.42
288144.6932191359.387877.0942735.04-4732.3-12846.21.662.430.0782754.52
381574.39321616509760.9437179.49-4662.54-22392.462.092.090.0682549.2
411596732191359.3811434.4338888.89-7791.34-21715.981.472.140.0793623.96
517977832211165.6211641.9142649.57-5881.98-16745.561.983.780.125618.07
61767543223971.8810972.5439572.65-8401.63-38047.341.313.340.115523.55
714227332221068.7510516.2538505.2-8908.48-35621.31.182.60.0924446.02
813662232211165.6211360.6745979.19-9268.4-34674.561.232.340.0844269.43
915989632201262.513452.2148817.41-9095.68-30828.41.482.460.0894996.75
1023190632211165.6215512.9948060.55-8533.3-22014.051.823.470.127247.08

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 3.78. Strategy is very good and impressively bullish. Percentage of profitable trades is 65.62%, which is good. Average return per trade is 2.81%, which is very good.
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.
IDFC Performance, X=5, Profit Factor:3.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017208 Nov 2017 (1.6%), 06 Dec 2017 (-1.87%)
2016303 Nov 2016 (-0.23%), 21 Nov 2016 (6.65%), 19 Dec 2016 (-5.6%)
2015226 Mar 2015 (8.41%), 06 May 2015 (-2.02%)
2014505 May 2014 (8.71%), 08 Aug 2014 (4.43%), 26 Aug 2014 (1.15%), 25 Sep 2014 (-1.34%), 16 Dec 2014 (2.67%)
2013324 Jan 2013 (2.01%), 12 Feb 2013 (5.25%), 26 Feb 2013 (-3.31%)
2012426 Mar 2012 (4.9%), 23 Apr 2012 (-6.2%), 24 Jul 2012 (2.67%), 04 Sep 2012 (-1.39%)
2010522 Jan 2010 (1.29%), 09 Feb 2010 (4.04%), 07 May 2010 (6.89%), 06 Aug 2010 (0.06%), 12 Nov 2010 (1.63%)
2009213 Jul 2009 (21.32%), 21 Dec 2009 (4.53%)
2008221 Jan 2008 (16.17%), 07 Mar 2008 (-8.37%)
2007302 Mar 2007 (-0.53%), 13 Jun 2007 (13.67%), 17 Aug 2007 (-1.49%)
2006112 Dec 2006 (4.18%)

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-1517977832211165.6211641.9142649.57-5881.98-16745.561.983.780.125618.07
atrtrail-14.9363025.241162539.0212685.4752085.74-5597.69-16379.552.271.450.0311537.2
atrnil310.5877760.8133102330.328492.1454170.11-9006.98-16379.553.161.380.0342356.39
atrtrail34.3231061.9741162539.0210687.7726684.75-5597.69-16379.551.911.220.02757.61
atrtrail24.0213021.2441162539.029560.2333596.87-5597.69-16379.551.711.090.0089317.59
atrnil27.85-3446.5934112332.3518519.4536113.41-9006.98-16379.552.060.98-0.002-101.37

In the table above, row 1 shows the best exit criterion. Profit factor is 3.78. Strategy is very good and impressively bullish. Percentage of profitable trades is 65.62%, which is good. Average return per trade is 2.81%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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