Study: Sell MARICO when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell MARICO when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell MARICO 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. buy 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
1-20752.2152223042.312536.028037.9-2551.49-7060.550.990.73-0.027-399.08
225963.0752272551.923480.911980.44-2720.85-7503.281.281.380.027499.29
3-763.8651222943.14473618290.6-3619.17-11229.811.310.99-0.00059-14.98
423471.0151262550.985457.1119926.65-4736.56-22209.721.151.20.014460.22
5-330.8851222943.146244.0217948.72-4748.25-23410.241.321-0.0002-6.49
6-13381.5951232845.15679.6313111.25-5143.33-25736.261.10.91-0.0083-262.38
7-42355.2551213041.185650.7310598.29-5367.35-24348.151.050.74-0.026-830.5
8-27834.1451242747.065742.9416956.6-6135.73-19433.50.940.83-0.016-545.77
9-50665.6951262550.985192.5318824.39-7426.86-18357.490.70.73-0.027-993.44
10-81867.951213041.185636.0718120.39-6674.18-18357.490.840.59-0.043-1605.25
Although, strategy looks good but profit factor on day 1 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
atrnil27.88-40108.2849143528.5712891.520328.21-6302.55-11132.022.050.82-0.02-818.54
200nil22.13-68382.5186216524.425579.537364.58-2854.65-3989.141.950.63-0.047-795.15
200trail21.98-70166.2288206822.735425.517364.58-2627.6-3989.142.060.61-0.05-797.34
200trail32.28-73508.4486176919.776278.739569.38-2612.27-3989.142.40.59-0.049-854.75
atrtrail24.39-90092.8366194728.796856.9320328.21-4688.82-11180.221.460.59-0.047-1365.04
atrtrail34.76-96295.2766194728.796530.4821290.39-4688.82-11180.221.390.56-0.049-1459.02
200nil32.62-93868.1281136816.057736.129836.39-2859.38-3989.142.710.52-0.064-1158.87
atrnil311.47-1219904363713.9519199.724890.82-6410.49-11132.0230.49-0.068-2836.97
atrtrail-14.86-13802366184827.274877.1312792.51-4704.4-11180.221.040.39-0.088-2091.25
200trail-12.89-11103185157017.654704.4215052.19-2594.24-3989.141.810.39-0.084-1306.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.41%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:0.818

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019414 Feb 2019 (5.49%), 11 Mar 2019 (-2.59%), 01 Apr 2019 (-2.57%), 13 May 2019 (-2.73%)
2018612 Jan 2018 (-2.18%), 23 Jan 2018 (4.27%), 14 Feb 2018 (5.01%), 13 Apr 2018 (-2.36%), 09 May 2018 (-2.95%), 03 Oct 2018 (7.1%)
2017215 Feb 2017 (-2.16%), 17 Nov 2017 (-2.31%)
2016107 Nov 2016 (5.44%)
2015508 Sep 2015 (-3.6%), 13 Oct 2015 (-2.58%), 20 Oct 2015 (-2.3%), 04 Nov 2015 (-2.6%), 13 Nov 2015 (-2.77%)
2014309 Jan 2014 (5.43%), 07 Apr 2014 (-1.99%), 10 Apr 2014 (4.11%)
2013609 May 2013 (-3.31%), 26 Jul 2013 (6.59%), 02 Sep 2013 (6.84%), 16 Sep 2013 (-3.46%), 01 Oct 2013 (-3.07%), 17 Oct 2013 (-2.88%)
2011603 Jan 2011 (-3.59%), 11 Jan 2011 (-3.59%), 12 Jan 2011 (-3.72%), 23 Feb 2011 (-3.82%), 06 May 2011 (-4.33%), 09 Dec 2011 (-3.22%)
2010109 Dec 2010 (-3.95%)
2009205 Jan 2009 (10.16%), 24 Feb 2009 (-4.06%)
2008313 Mar 2008 (-5.57%), 21 May 2008 (8.3%), 09 Jun 2008 (8.2%)
2007327 Jun 2007 (-3.32%), 10 Jul 2007 (-3.08%), 19 Jul 2007 (-3.14%)
2003319 Mar 2003 (-3.16%), 22 Mar 2003 (5.96%), 15 May 2003 (-2.36%)
1998317 Jul 1998 (-4.28%), 12 Aug 1998 (-3.28%), 01 Sep 1998 (-3.4%)
1997111 Nov 1997 (7.33%)



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