Study: Buy JISLJALEQS 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 JISLJALEQS 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 JISLJALEQS 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
128727.0543232053.494244.1913295.86-3444.47-10338.681.231.420.032668.07
235131.4943251858.145461.8513695.97-5634.16-26582.040.971.350.027817.01
343238.1243222151.167629.3618852.87-5933.7-16657.051.291.350.0291005.54
485229.3443232053.498888.8828329.18-5960.75-16984.921.491.710.051982.08
594678.8243251858.148821.7229703.17-6992.45-16926.331.261.750.0522201.83
613879143251858.1410901.9431212.15-7430.97-155001.472.040.073227.7
712848943261760.4711008.5832204.9-9278.45-254001.191.810.0542988.13
814262943261760.4711475.5933815.46-9160.97-282001.251.920.063316.95
916554143271662.7910968.2830298.82-8162.68-20579.711.342.270.0783849.78
1019396443232053.4914602.2528886.34-7094.38-21449.282.062.370.0824510.79
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
JISLJALEQS Performance, X=10, Profit Factor:2.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018224 Apr 2018 (-0.84%), 09 May 2018 (-8.82%)
2017903 Jan 2017 (3.72%), 20 Jan 2017 (8.7%), 27 Feb 2017 (-0.76%), 17 Mar 2017 (-0.79%), 12 May 2017 (-1.3%), 31 May 2017 (6.78%), 18 Jul 2017 (2.33%), 08 Sep 2017 (-3.3%), 15 Nov 2017 (14.41%)
2016101 Aug 2016 (11.11%)
2015121 Dec 2015 (14.37%)
2014116 Jan 2014 (-10.72%)
2013116 Dec 2013 (9.83%)
2010515 Feb 2010 (10.76%), 10 May 2010 (-2.21%), 02 Sep 2010 (4.0%), 23 Sep 2010 (-6.14%), 24 Nov 2010 (-2.68%)
2009319 Aug 2009 (3.21%), 30 Oct 2009 (14.23%), 23 Dec 2009 (2.75%)
2008224 Jan 2008 (-0.83%), 15 May 2008 (-2.86%)
2007515 Mar 2007 (1.9%), 30 Mar 2007 (-2.22%), 24 Apr 2007 (6.14%), 10 Aug 2007 (-7.16%), 19 Oct 2007 (14.33%)
2006218 May 2006 (-2.9%), 28 Jul 2006 (14.44%)
2005606 Jan 2005 (-6.03%), 15 Apr 2005 (-0.08%), 12 May 2005 (9.65%), 14 Jun 2005 (-5.38%), 30 Jun 2005 (-1.93%), 29 Sep 2005 (0.06%)
2004412 Aug 2004 (4.26%), 01 Nov 2004 (3.27%), 29 Nov 2004 (3.65%), 17 Dec 2004 (4.01%)
2003116 Jan 2003 (-3.98%)

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
50nil31.8511402562253740.328879.2311933.63-2917.73-3960.693.042.060.0751839.11
50trail31.7910783563243938.18751.9711780.79-2620.83-3960.693.342.060.0731711.66
atrtrail36.0913969347222546.8114121.5734037.09-6839.27-12210.92.061.820.0562972.18
atrnil27.3314385543202346.5117197.5338524.87-8699.81-12210.91.981.720.063345.46
50trail-13.5266756.51601842309248.5632168.58-2374.23-3960.693.91.670.0381112.61
atrtrail25.5511192547232448.9412158.7122691.39-6988.55-12210.91.741.670.0532381.38
50trail21.5954278.8163263741.275936.027955.75-2704.26-3960.692.21.540.048861.57
50nil21.6549554.9162263641.945936.027955.75-2910.6-3960.692.041.470.044799.27
atrtrail-17.1179794.7547222546.8111398.9336449.12-6839.27-12210.91.671.470.0361697.76
atrnil311.2496564.1937132435.1424599.8234037.09-9301.39-19262.432.641.430.0382609.84

In the table above, row 1 shows the best exit criterion. Profit factor is 2.06. 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 40.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, 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.
JISLJALEQS Performance, Profit Factor:2.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018324 Apr 2018 (3.91%), 02 May 2018 (-1.59%), 03 May 2018 (-1.65%)
20171003 Jan 2017 (4.41%), 20 Jan 2017 (4.65%), 27 Feb 2017 (-1.72%), 17 Mar 2017 (-1.73%), 27 Mar 2017 (-1.2%), 12 May 2017 (-1.02%), 31 May 2017 (3.78%), 18 Jul 2017 (4.83%), 08 Sep 2017 (5.61%), 15 Nov 2017 (4.0%)
2016101 Aug 2016 (5.82%)
2015221 Dec 2015 (-1.17%), 24 Dec 2015 (3.53%)
2014216 Jan 2014 (-1.21%), 20 Jan 2014 (-1.78%)
2013116 Dec 2013 (5.15%)
2010906 Jan 2010 (5.5%), 15 Feb 2010 (4.04%), 10 May 2010 (-1.51%), 02 Sep 2010 (-1.52%), 03 Sep 2010 (3.75%), 23 Sep 2010 (-1.45%), 24 Sep 2010 (-1.35%), 28 Sep 2010 (-1.56%), 24 Nov 2010 (-1.09%)
2009419 Aug 2009 (5.25%), 28 Aug 2009 (-1.94%), 30 Oct 2009 (4.26%), 23 Dec 2009 (3.46%)
2008324 Jan 2008 (3.11%), 28 Jan 2008 (-1.59%), 15 May 2008 (-1.92%)
2007815 Mar 2007 (-1.44%), 22 Mar 2007 (3.43%), 26 Mar 2007 (-1.77%), 30 Mar 2007 (-1.93%), 24 Apr 2007 (-1.35%), 27 Apr 2007 (-1.18%), 10 Aug 2007 (-1.14%), 19 Oct 2007 (-1.31%)
2006218 May 2006 (-1.1%), 28 Jul 2006 (-1.14%)
20051006 Jan 2005 (-1.16%), 10 Jan 2005 (-1.19%), 15 Apr 2005 (-1.26%), 22 Apr 2005 (3.44%), 26 Apr 2005 (-1.14%), 12 May 2005 (3.22%), 14 Jun 2005 (-1.73%), 30 Jun 2005 (-1.23%), 29 Sep 2005 (-1.57%), 05 Oct 2005 (-1.98%)
2004612 Aug 2004 (-1.6%), 01 Nov 2004 (4.81%), 04 Nov 2004 (5.89%), 12 Nov 2004 (4.57%), 29 Nov 2004 (4.61%), 17 Dec 2004 (-1.77%)
2003116 Jan 2003 (5.97%)



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