Study: Buy LT when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy LT when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy LT 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
18769.041073702035.434740.91-1826.33-4001.681.112.60.095876.9
224614.551091903287.58323.45-4972.98-4972.980.665.950.182461.45
329148.471073705709.439931.46-3605.85-9554.751.583.690.142914.85
427903.161073706584.7113971.27-6063.28-15084.711.092.530.0992790.32
542057.191082807193.113846.05-7743.81-14454.80.933.720.154205.72
625022.261082805675.4311618.56-10190.57-18791.230.562.230.0812502.23
723728.631073707227.59700.4-8954.64-22637.010.811.880.0662372.86
814867.311073707514.5710006.41-12578.22-18824.390.61.390.0391486.73
924956.681073707848.6410815.9-9994.61-14521.10.791.830.0752495.67
1029546.771064608781.9712679.34-5786.26-10973.711.522.280.0992954.68

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 5.95. Strategy is very good and impressively bullish. Percentage of profitable trades is 90%, which is excellent. Average return per trade is 1.23%, which is not very high, but percentage of profitable trades compensates for it. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
LT Performance, X=2, Profit Factor:5.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Nov 2018 (1.76%)
2017127 Jan 2017 (0.44%)
2013415 Mar 2013 (-2.49%), 25 Apr 2013 (0.69%), 13 May 2013 (4.16%), 22 Oct 2013 (3.23%)
2012108 Jun 2012 (0.47%)
2011228 Jun 2011 (1.27%), 18 Jul 2011 (0.56%)
2010112 Mar 2010 (2.2%)

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
atrnil212.12567388627511181.9713970.05-5176.9-5412.72.166.480.257092.25
nilnil-1224614.551091903287.58323.45-4972.98-4972.980.665.950.182461.45
atrnil32571611.9885362.517326.7520955.07-5007.26-5412.73.465.770.218951.5
atrtrail36.6734686.53128466.675756.0215742.67-2840.4-5147.792.034.050.132890.54
atrtrail25.6733166.15128466.675565.9711073.93-2840.4-5147.791.963.920.152763.85
atrtrail-16.8327503.6128466.674858.1511843.02-2840.4-5147.791.713.420.132291.97
200nil22.9236490.12138561.546479.457887.91-3069.09-3568.942.113.380.152806.93
200trail34.1436276.26148657.146478.4911294.15-2591.94-3568.942.53.330.132591.16
200trail22.7127600.6148657.145394.037887.91-2591.94-3568.942.082.770.121971.47
200trail-15.3626144.48148657.145212.0110080.72-2591.94-3568.942.012.680.11867.46
200nil36.2333683.89136746.159368.3911831.86-3218.06-3822.42.912.50.12591.07

In the table above, row 1 shows the best exit criterion. Profit factor is 6.48. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 75%, which is good. Average return per trade is 3.55%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LT Performance, Profit Factor:6.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Nov 2018 (5.54%)
2017127 Jan 2017 (3.75%)
2013315 Mar 2013 (-2.71%), 25 Apr 2013 (5.77%), 22 Oct 2013 (6.99%)
2012108 Jun 2012 (6.84%)
2011128 Jun 2011 (-2.47%)
2010112 Mar 2010 (4.67%)



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