Study: Sell MARICO when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell MARICO when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
18315.641910952.632426.376107.49-1772.01-4904.881.371.520.034437.67
2-1865.71971236.843588.969848.73-2249.04-7610.621.60.93-0.0059-98.19
3-20074.181910952.631922.027402.64-4366.04-10686.450.440.49-0.058-1056.54
4-34705.291971236.843521.3310806.17-4946.22-11993.970.710.42-0.077-1826.59
5-49707.861941521.056521.1712006.86-5052.83-12866.451.290.34-0.096-2616.2
6-48397.571951426.3210125.1524699.83-7073.1-16042.241.430.51-0.059-2547.24
7-49530.991961331.587867.9226243.57-7441.42-17626.351.060.49-0.057-2606.89
8-51350.721971236.847490.4125214.41-8648.63-16286.640.870.51-0.059-2702.67
9-58162.211981142.115321.4527272.73-9157.62-15398.230.580.42-0.071-3061.17
10-67666.221961331.588320.1328473.41-9045.16-18761.060.920.42-0.072-3561.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.52. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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-118315.641910952.632426.376107.49-1772.01-4904.881.371.520.034437.67
50trail22.25-20391.153292328.125326.427824.91-2970.82-3987.751.790.7-0.036-637.22
50nil22.31-27541.1532824255765.77824.91-3069.45-3987.751.880.63-0.048-860.66
atrtrail34.58-36500.082451920.8310048.8726860.12-4565.5-9046.052.20.58-0.044-1520.84
50trail32.63-31348.7430624205988.7411737.37-2803.38-3987.752.140.53-0.059-1044.96
atrtrail24.16-42615.0125619247666.3817906.75-4663.86-9046.051.640.52-0.059-1704.6
50trail-13.1-35422.043052516.676829.1617459.51-2782.71-3987.752.450.49-0.059-1180.73
atrnil26.14-60142.332141719.0510882.7317906.75-6098.43-9429.431.780.42-0.089-2863.92
50nil32.7-46180.593042613.338075.4111737.37-3018.55-3987.752.680.41-0.086-1539.35
atrnil38.16-64101.671921710.5319708.3726860.12-6089.32-9429.433.240.38-0.088-3373.77
atrtrail-14.67-55935.082451920.836161.8715440.22-4565.5-9046.051.350.36-0.095-2330.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.52. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
MARICO Performance, X=1, Profit Factor:1.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018315 Jan 2018 (-0.72%), 01 Feb 2018 (2.0%), 09 May 2018 (0.05%)
2017112 Dec 2017 (0.05%)
2015113 Nov 2015 (1.5%)
2014330 Jan 2014 (-0.8%), 13 Feb 2014 (-0.7%), 16 Apr 2014 (1.17%)
2013303 Sep 2013 (0.83%), 03 Oct 2013 (-0.19%), 28 Oct 2013 (0.17%)
2011125 Feb 2011 (3.05%)
2009126 Feb 2009 (-2.3%)
2008216 Sep 2008 (-0.18%), 30 Sep 2008 (-0.6%)
2003122 May 2003 (-0.03%)
2001325 Oct 2001 (-2.45%), 14 Nov 2001 (0.94%), 20 Dec 2001 (2.38%)



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