Study: Buy INDIACEM when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy INDIACEM when near 200 SMA and 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 INDIACEM 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
111995.2138182047.374692.0514956.95-3623.08-9496.731.31.170.013315.66
2-48904.5538162242.114570.1516793.89-5546.68-30818.970.820.6-0.035-1286.96
3-24002.6638162242.118538.8420124.91-7301.1-21336.211.170.85-0.014-631.65
4-44230.7838132534.2111106.1430829.16-7544.42-21301.781.470.77-0.021-1163.97
5-42746.3438152339.4712179.4728174.88-9801.67-32112.071.240.81-0.017-1124.9
6-41489.133819195010408.7234420.54-12592.36-34435.580.830.83-0.015-1091.82
7-10323.2738201852.6312079.9848299.79-13995.72-36716.080.860.96-0.0033-271.66
814024.9438201852.6313967.3748993.75-14740.14-39680.730.951.050.0041369.08
938396.513819195016928.5951492.02-14907.72-34891.681.141.140.011010.43
1010992.193819195017659.5850936.85-17081.04-42645.291.031.030.0026289.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.17. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study.

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
200trail31.7631248.8554163829.638212.4811800.1-2635.55-3871.043.121.310.023578.68
200trail-12.626663.9452114121.1511776.5724320.75-2509.23-3871.044.691.260.015512.77
200nil31.7620286.5554153927.788738.2611800.1-2840.7-3911.63.081.180.015375.68
nilnil-1111995.2138182047.374692.0514956.95-3623.08-9496.731.31.170.013315.66
200trail21.4716758.7958213736.215666.17866.73-2762.95-3991.112.051.160.014288.94
200nil21.4711350.7558213736.215666.17866.73-2909.12-3991.111.951.110.0096195.7
atrtrail-14.91-20819.643113225.5819415.5672742.73-7324.71-19590.722.650.91-0.0063-484.18
atrnil36.26-66421.034293321.4326694.8841955.22-9293.18-19590.722.870.78-0.021-1581.45
atrtrail33.98-55430.3443113225.5816269.1341955.22-7324.71-19590.722.220.76-0.021-1289.08
atrnil24.86-84312.4342123028.5716802.6227970.15-9531.46-19590.721.760.71-0.033-2007.44
atrtrail23.42-77006.0143113225.5814307.7127970.15-7324.71-19590.721.950.67-0.035-1790.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 29.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
INDIACEM Performance, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019514 Mar 2019 (-1.72%), 20 Mar 2019 (-1.71%), 08 May 2019 (-1.19%), 10 May 2019 (-1.55%), 21 May 2019 (5.9%)
2017422 Sep 2017 (-1.59%), 13 Oct 2017 (-1.08%), 23 Oct 2017 (3.26%), 24 Oct 2017 (5.47%)
2016208 Dec 2016 (-1.13%), 30 Dec 2016 (3.39%)
2015416 Feb 2015 (-1.34%), 19 Feb 2015 (-1.16%), 16 Apr 2015 (-1.05%), 06 Jul 2015 (-1.82%)
2014625 Feb 2014 (-1.22%), 26 Feb 2014 (-1.14%), 20 Mar 2014 (3.03%), 25 Mar 2014 (-1.65%), 02 Dec 2014 (-1.79%), 05 Dec 2014 (-1.18%)
2013715 Jan 2013 (-1.91%), 23 Jan 2013 (-1.5%), 29 Jan 2013 (-1.0%), 27 Feb 2013 (-1.0%), 08 Mar 2013 (-1.37%), 15 May 2013 (4.46%), 17 May 2013 (-1.11%)
2012522 Jun 2012 (5.19%), 17 Aug 2012 (5.46%), 21 Sep 2012 (4.54%), 10 Dec 2012 (-0.94%), 28 Dec 2012 (3.39%)
2010805 Jan 2010 (-0.53%), 13 Jan 2010 (0.16%), 19 Mar 2010 (-1.21%), 30 Apr 2010 (-1.22%), 29 Sep 2010 (-1.94%), 05 Oct 2010 (5.56%), 12 Oct 2010 (-1.04%), 15 Nov 2010 (-1.22%)
2009117 Oct 2009 (-1.55%)
2007130 Jul 2007 (5.62%)
2004516 Mar 2004 (-0.12%), 24 May 2004 (-1.51%), 25 May 2004 (-1.01%), 25 Oct 2004 (-1.71%), 26 Oct 2004 (3.11%)
2003119 May 2003 (-1.64%)
2001225 Apr 2001 (-1.05%), 21 Dec 2001 (-1.46%)
2000124 Jan 2000 (-1.71%)
1998119 May 1998 (3.66%)
1997126 Jun 1997 (3.47%)



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