Study: Buy IRB when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy IRB 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 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
1-700.04137653.854685.938657.83-5583.59-11027.250.840.98-0.0027-53.85
2-6758.21138561.543391.559925.22-6778.12-11490.880.50.8-0.028-519.86
3-18847.78137653.853236.137455.29-6916.78-18829.940.470.55-0.065-1449.83
4-8265.48136746.155337.8710423.75-5756.1-11574.750.930.79-0.029-635.81
5-36118.9134930.776714.5111058.24-6997.44-12035.40.960.43-0.12-2778.38
6-47996.99135838.466239.5414608.92-9899.34-25473.620.630.39-0.11-3692.08
7-43460.06136746.157707.3516332.69-12814.88-49897.990.60.52-0.062-3343.08
8-65908.12136746.158787.8412599.14-16947.88-60565.430.520.44-0.075-5069.86
9-71809.44136746.159415.8320031.72-18329.21-59749.340.510.44-0.082-5523.8
10-74716.78135838.4611134.7223385.45-16298.79-58175.460.680.43-0.085-5747.44

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. 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 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is -0.027%, we advise you not to use this strategy.

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-11-700.04137653.854685.938657.83-5583.59-11027.250.840.98-0.0027-53.85
atrnil38.13-18285.07153122029655.2330090.97-8937.56-11234.633.320.83-0.024-1219
atrtrail-15.18-20263.581751229.4112197.2139902.79-6770.8-9548.711.80.75-0.03-1191.98
atrnil26.44-29056.66164122519095.1420060.64-8786.44-11234.632.170.72-0.045-1816.04
atrtrail34.65-30613.731751229.4110127.1829552.63-6770.8-9548.711.50.62-0.056-1800.81
atrtrail24.24-32316.261751229.419786.6719701.75-6770.8-9548.711.450.6-0.065-1900.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is -0.027%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IRB Performance, X=1, Profit Factor:0.979

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 May 2018 (-5.51%)
2017119 May 2017 (-2.2%)
2016213 Oct 2016 (3.88%), 02 Nov 2016 (-1.13%)
2015206 Jan 2015 (-4.11%), 18 Feb 2015 (2.11%)
2014317 Sep 2014 (4.33%), 07 Oct 2014 (0.02%), 09 Dec 2014 (2.02%)
2012125 Apr 2012 (-2.33%)
2010319 May 2010 (0.42%), 31 Aug 2010 (3.62%), 28 Sep 2010 (-1.46%)



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