Study: Buy IRB 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 IRB 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 IRB 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
136111.5224141058.334122.567653.58-2160.43-5017.791.912.670.131504.65
238069.52241212506599.4816279.58-3427.03-8822.371.931.930.0761586.23
339419.8924111345.838703.518358.77-4332.2-11400.592.011.70.0621642.5
435476.49241212508592.4416368.06-5636.07-11297.471.521.520.0551478.19
533174.8124131154.178432.0915025.11-6949.31-17158.281.211.430.0471382.28
68585.1624141058.337678.3416117.06-9891.15-24677.080.781.090.01357.72
717091.22241212508760.1217217.13-7335.85-19023.241.191.190.021712.13
8-1905.53241212509461.6218300.94-9620.41-18235.530.980.98-0.0022-79.4
9-27122.52241212508359.3517820.48-10619.56-27237.190.790.79-0.029-1130.1
10-60600.9524111345.838432.8122331.13-11797.07-32215.590.710.6-0.059-2525.04

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.67. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, 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.
IRB Performance, X=1, Profit Factor:2.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Jan 2018 (3.12%)
2017310 Mar 2017 (1.99%), 29 Mar 2017 (1.5%), 13 Apr 2017 (1.92%)
2016229 Jan 2016 (0.25%), 17 Oct 2016 (1.8%)
2015505 Feb 2015 (2.34%), 04 Mar 2015 (0.93%), 25 Mar 2015 (-1.6%), 03 Dec 2015 (-2.0%), 22 Dec 2015 (-0.77%)
2014401 Sep 2014 (3.83%), 22 Oct 2014 (-0.02%), 09 Dec 2014 (2.02%), 30 Dec 2014 (1.77%)
2012226 Mar 2012 (-1.47%), 13 Apr 2012 (2.55%)
2010621 Jan 2010 (-1.31%), 23 Feb 2010 (-0.45%), 12 May 2010 (1.23%), 23 Jun 2010 (-0.39%), 31 Aug 2010 (3.62%), 15 Sep 2010 (-2.51%)
2009107 Dec 2009 (-0.28%)

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-1136111.5224141058.334122.567653.58-2160.43-5017.791.912.670.131504.65
50trail32.0644774.8135152042.866491.5411274.05-2629.91-3625.732.471.850.0741279.28
50nil32.4549278.0633122136.369226.1311274.05-2925.5-3982.953.151.80.0751493.27
50trail21.5836598.9436162044.445574.827965.9-2629.91-3625.732.121.70.071016.64
50nil21.6627808.87351421406238.87965.9-2834.97-3895.392.21.470.053794.54
50trail-12.8215937.3634132138.245443.7713941.61-2611.03-3625.732.081.290.029468.75
atrtrail35.3614563.4528121642.869308.6923551.58-6071.3-9503.091.531.150.017520.12
atrtrail24.933133.3128121642.868356.1816525.32-6071.3-9503.091.381.030.0041111.9
atrtrail-15.71-17240.2128121642.866658.3914788.19-6071.3-9503.091.10.82-0.026-615.72
atrnil38.82-39779.662251722.7320642.5924421.11-8411.33-13888.352.450.72-0.044-1808.17
atrnil27.3-37792.472371630.4313848.2116525.32-8420.62-13888.351.640.72-0.047-1643.15

In the table above, row 1 shows the best exit criterion. Profit factor is 2.67. 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 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, 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.

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