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

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In this study, we evaluate the performance of strategy "Buy IRB 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 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
123041.62281414504177.0811039.48-2531.25-5314.261.651.650.057822.91
249.5728161257.145315.6716950.67-7083.43-26750.050.7516.6e-051.77
3-2214.9928151353.575804.0911750.5-6867.41-28727.050.850.98-0.0028-79.11
4949.1328131546.437907.1216278.03-6789.56-22715.351.161.010.001133.9
5-3756.228121642.8611477.0723906.37-8842.57-21307.071.30.97-0.0034-134.15
6-20507.9528121642.8611012.5522825.11-9541.16-46314.531.150.87-0.016-732.43
7-76418.2328111739.2911876.8328654.71-12180.2-57236.650.980.63-0.051-2729.22
8-57217.6228131546.4312042.8751704.04-14251.66-56401.070.850.73-0.032-2043.49
9-76923.62814145010155.8144663.68-15650.36-54789.620.650.65-0.045-2747.27
10-11522228131546.4311500.3344125.56-17648.42-54908.980.650.56-0.063-4115.07

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.65. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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
nilnil-1123041.62281414504177.0811039.48-2531.25-5314.261.651.650.057822.91
200trail-13.1519987.66401228308253.7640308.07-2823.48-3963.882.921.250.02499.69
200trail21.9819228.4541142734.156837.347994.75-2833.12-3963.882.411.250.03468.99
200nil21.9817214.1441142734.156837.347994.75-2907.73-3963.882.351.220.027419.86
200trail32.459162.1140132732.56629.3611992.12-2852.58-3963.882.321.120.014229.05
200nil32.71-1017.843892923.689667.1811992.12-3035.26-3963.883.180.99-0.0015-26.79
atrnil24.59-23701.2734112332.3513873.7219548.07-7665.75-11670.251.810.87-0.02-697.1
atrtrail34.44-32104.6936142238.897902.2219194.34-6487.99-10399.11.220.78-0.031-891.8
atrtrail24.03-34541.4536142238.897728.1615594.31-6487.99-10399.11.190.76-0.036-959.48
atrnil35.94-47069.463272521.8820643.729322.11-7663.01-11670.252.690.75-0.037-1470.92
atrtrail-14.97-60814.936142238.895851.4916104.27-6487.99-10399.10.90.57-0.071-1689.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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.
IRB Performance, X=1, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018412 Feb 2018 (0.59%), 01 Mar 2018 (-2.12%), 28 Mar 2018 (2.98%), 24 May 2018 (2.12%)
2017618 Jan 2017 (0.05%), 08 Jun 2017 (-0.07%), 28 Jul 2017 (-0.2%), 25 Oct 2017 (4.94%), 10 Nov 2017 (0.81%), 19 Dec 2017 (2.28%)
2016402 Feb 2016 (-2.45%), 01 Apr 2016 (-1.31%), 31 Aug 2016 (0.2%), 02 Nov 2016 (-1.13%)
2015601 Apr 2015 (2.19%), 04 Aug 2015 (5.52%), 20 Aug 2015 (-0.89%), 04 Nov 2015 (-2.21%), 04 Dec 2015 (-0.7%), 29 Dec 2015 (-0.06%)
2014101 Jan 2014 (-1.66%)
2013110 Dec 2013 (-2.66%)
2012226 Apr 2012 (0.6%), 10 Oct 2012 (4.6%)
2010425 May 2010 (0.61%), 07 Jul 2010 (1.75%), 23 Jul 2010 (-0.81%), 28 Sep 2010 (-1.46%)



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