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

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In this study, we evaluate the performance of strategy "Buy KAJARIACER 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 KAJARIACER 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
18060.5532171553.122675.227515.75-2494.54-6290.431.071.220.016251.89
2-39309.4332141843.754099.6311566.16-5372.46-21770.480.760.59-0.04-1228.42
3-37468.3432141843.755982.2517994.86-6734.44-20012.360.890.69-0.029-1170.89
4-31482.1732151746.886674.3216611.3-7741-21985.820.860.76-0.022-983.82
5-39567.7932131940.628108.7516946.87-7630.61-23821.161.060.73-0.027-1236.49
6-56493.332131940.628316.3322371.67-8663.45-26833.980.960.66-0.034-1765.42
7-54300.4132131940.6210048.2122730.33-9733.01-30635.421.030.71-0.028-1696.89
8-21706.81321616509834.3319009.19-11191.01-33590.730.880.88-0.011-678.34
9-14654.0432151746.8810885.0120480.23-10466.42-29729.731.040.92-0.0073-457.94
103025.4432151746.8813006.8122382.67-11298.63-30501.931.151.020.001494.55

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.22. 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 53.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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-118060.5532171553.122675.227515.75-2494.54-6290.431.071.220.016251.89
200trail21.35-46783.8752124023.085679.517607.78-2873.45-3974.031.980.59-0.051-899.69
atrnil36.41-1457573773018.9229709.448138.98-11790.75-32549.882.520.59-0.046-3939.37
200nil21.37-50930.9252124023.085679.517607.78-2977.13-3974.031.910.57-0.055-979.44
200trail31.49-51482.524984116.337948.6311411.67-2806.62-3974.032.830.55-0.054-1050.66
200nil31.51-57772.774984116.337948.6311411.67-2960.04-3974.032.690.52-0.06-1179.04
atrnil25.28-1978433983120.5121382.1632413.4-11900.03-32549.881.80.46-0.07-5072.91
atrtrail34.6-2326264073317.514859.4640054.67-10201.27-32549.881.460.31-0.097-5815.64
200trail-12.04-88550.09483456.2511226.9418860.79-2716.24-3974.034.130.28-0.1-1844.79
atrtrail-15.1-2457224073317.512988.4933026.82-10201.27-32549.881.270.27-0.11-6143.06
atrtrail24.05-2571004073317.511363.1326703.11-10201.27-32549.881.110.24-0.12-6427.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 53.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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.
KAJARIACER Performance, X=1, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018225 Jan 2018 (-1.14%), 24 Dec 2018 (1.61%)
2017231 Jan 2017 (0.01%), 28 Feb 2017 (-0.45%)
2015120 Aug 2015 (-2.42%)
2013525 Feb 2013 (-0.07%), 19 Aug 2013 (-3.15%), 03 Sep 2013 (-0.16%), 18 Sep 2013 (3.14%), 17 Oct 2013 (3.76%)
2012103 Jan 2012 (1.52%)
2011406 Jan 2011 (-1.43%), 14 Feb 2011 (-0.21%), 22 Mar 2011 (1.98%), 21 Nov 2011 (-1.12%)
2009213 Jan 2009 (0.65%), 23 Jun 2009 (0.5%)
2008507 Apr 2008 (1.08%), 25 Jun 2008 (1.24%), 13 Oct 2008 (1.69%), 29 Oct 2008 (0.33%), 18 Dec 2008 (-0.82%)
2007122 Jan 2007 (-0.77%)
2002331 Jul 2002 (2.83%), 04 Sep 2002 (2.03%), 04 Dec 2002 (0.26%)
2000122 Dec 2000 (-2.84%)
1998115 Apr 1998 (-2.47%)
1997205 Feb 1997 (-0.81%), 17 Mar 1997 (0.08%)
1996205 Jul 1996 (-0.83%), 01 Aug 1996 (0.04%)



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