Study: Buy KSCL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy KSCL 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 KSCL 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
120070.3627141351.855406.2718413.11-4278.26-25773.621.261.360.03743.35
220116.127121544.447868.1717697.28-4953.46-27924.161.591.270.025745.04
334041.9627141351.858222.6619589.29-6236.56-23524.581.321.420.0391260.81
454785.6127151255.568939.522690.82-6608.91-14692.61.351.690.0612029.1
528295.2227141351.8510690.3421936.22-9336.11-19929.411.151.230.0251047.97
646946.9427141351.8512265.3424286.33-9597.53-22457.381.281.380.0391738.78
733654.6927151255.5610780.3925798.43-10670.93-28967.131.011.260.0271246.47
855308.9727161159.2612435.6730247.3-13060.16-26797.930.951.380.0392048.48
946954.2627151255.5613375.2443891.36-12806.19-32054.061.041.310.031739.05
1047977.2227131448.1515923.1749361.22-11358.86-35624.91.41.30.031776.93
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail-15.8422871.0543123127.9120607.3464450.31-7239.26-14447.192.851.10.0098531.88
atrnil36.39852.584010302528345.8336089.26-9120.19-15889.23.111.040.0044246.31
atrtrail34.65-6756.3243123127.9118138.3936089.26-7239.26-14447.192.510.97-0.0035-157.12
atrtrail23.93-38635.643123127.9115481.7824059.5-7239.26-14447.192.140.83-0.024-898.5
atrnil24.78-69127.8141113026.8318588.924059.5-9120.19-15889.22.040.75-0.04-1686.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 27.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0098, 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.
KSCL Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018321 Sep 2018 (-0.18%), 28 Sep 2018 (-4.25%), 01 Oct 2018 (-4.68%)
2017616 May 2017 (-2.48%), 22 May 2017 (-2.64%), 23 May 2017 (-2.76%), 24 May 2017 (32.23%), 09 Aug 2017 (-4.37%), 10 Aug 2017 (-6.02%)
2016124 Jun 2016 (0.43%)
2015320 Apr 2015 (-3.64%), 24 Apr 2015 (-4.48%), 27 Apr 2015 (-3.86%)
2014427 Nov 2014 (-3.87%), 04 Dec 2014 (-3.91%), 05 Dec 2014 (-1.57%), 31 Dec 2014 (-2.31%)
2013805 Feb 2013 (-3.2%), 12 Mar 2013 (-4.53%), 19 Mar 2013 (-2.34%), 25 Mar 2013 (4.44%), 30 Apr 2013 (3.45%), 31 Jul 2013 (-3.29%), 03 Sep 2013 (5.34%), 01 Oct 2013 (5.89%)
2012228 Mar 2012 (19.83%), 21 Dec 2012 (20.73%)
2011710 Jan 2011 (-4.79%), 11 Jan 2011 (-0.09%), 24 Jan 2011 (-2.83%), 18 Aug 2011 (13.84%), 26 Sep 2011 (8.12%), 16 Nov 2011 (-4.48%), 21 Nov 2011 (-2.39%)
2010517 May 2010 (-1.13%), 25 May 2010 (-2.99%), 07 Jun 2010 (-5.13%), 25 Aug 2010 (-2.93%), 31 Aug 2010 (9.15%)
2009423 Jun 2009 (0.21%), 08 Jul 2009 (-7.22%), 30 Oct 2009 (-6.92%), 16 Nov 2009 (-6.91%)



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