Study: Buy MARICO when above 200 SMA and near 50 SMA and above 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
148583.45118645454.242795.5812995.85-2413.58-20564.261.161.370.023411.72
295025.32118694958.473976.515577.37-3660.27-23134.81.091.530.034805.3
3153960118734561.864592.4516413.48-4028.63-24639.51.141.850.0491304.75
4203269118704859.325762.4419312.03-4168.77-23636.361.382.020.0561722.62
5281891118734561.866545.9817730.5-4354.77-17366.771.52.440.0762388.91
6293030118734561.867037.5320942.41-4904.67-18808.781.432.330.0732483.3
7338377118754363.567506.7323676.56-5223.89-17617.551.442.510.0782867.6
8395994118714760.178651.2724468.94-4643.54-28093.951.862.810.0843355.88
9445033117783966.678762.1231561.46-6113.14-21417.451.432.870.0863803.7
10565102117744363.2510771.4841860.47-5395.07-22507.7923.440.0964829.93
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MARICO Performance, X=10, Profit Factor:3.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019725 Jan 2019 (-1.39%), 14 May 2019 (4.11%), 18 Jun 2019 (2.36%), 11 Jul 2019 (-1.79%), 02 Aug 2019 (6.09%), 26 Aug 2019 (2.61%), 16 Sep 2019 (3.5%)
2018523 Apr 2018 (0.63%), 08 May 2018 (-1.91%), 28 May 2018 (9.32%), 07 Sep 2018 (-7.22%), 06 Nov 2018 (5.18%)
2017516 Jun 2017 (3.4%), 08 Sep 2017 (-1.21%), 17 Oct 2017 (-1.83%), 04 Dec 2017 (-1.35%), 19 Dec 2017 (2.43%)
2016521 Jan 2016 (3.68%), 05 May 2016 (0.79%), 25 May 2016 (2.55%), 10 Jun 2016 (1.18%), 12 Sep 2016 (-3.41%)
2015505 Jan 2015 (10.46%), 11 Jun 2015 (10.87%), 21 Jul 2015 (3.09%), 10 Aug 2015 (-9.3%), 17 Nov 2015 (7.46%)
2014603 Jan 2014 (-0.28%), 23 Jan 2014 (-0.62%), 07 Feb 2014 (-0.21%), 10 Jul 2014 (0.89%), 24 Jul 2014 (10.38%), 17 Dec 2014 (1.82%)
2013823 Jan 2013 (-1.46%), 19 Feb 2013 (-2.66%), 02 Apr 2013 (-2.43%), 26 Apr 2013 (-2.42%), 15 May 2013 (5.51%), 13 Jun 2013 (-5.92%), 15 Jul 2013 (-0.37%), 05 Dec 2013 (2.48%)
2012624 Jan 2012 (10.28%), 16 Mar 2012 (11.09%), 15 May 2012 (1.07%), 29 May 2012 (-3.3%), 20 Jun 2012 (3.38%), 21 Sep 2012 (4.22%)
2011821 Jan 2011 (-11.25%), 19 May 2011 (4.42%), 10 Jun 2011 (3.52%), 22 Aug 2011 (5.05%), 14 Sep 2011 (-9.03%), 19 Oct 2011 (-1.38%), 09 Nov 2011 (0.3%), 28 Nov 2011 (-2.94%)
20101018 Jan 2010 (-1.44%), 05 Mar 2010 (6.1%), 04 May 2010 (5.62%), 19 May 2010 (-1.76%), 03 Jun 2010 (4.13%), 04 Aug 2010 (4.74%), 26 Aug 2010 (-0.48%), 14 Sep 2010 (0.44%), 28 Sep 2010 (5.14%), 20 Oct 2010 (10.23%)
2009424 Mar 2009 (3.6%), 14 May 2009 (11.53%), 22 Sep 2009 (5.26%), 30 Dec 2009 (1.5%)
2008211 Mar 2008 (-0.91%), 07 May 2008 (-2.71%)
20071011 Jan 2007 (5.58%), 13 Feb 2007 (10.08%), 22 Mar 2007 (13.12%), 23 Apr 2007 (-1.39%), 10 May 2007 (-0.78%), 30 May 2007 (-4.14%), 06 Jul 2007 (-2.9%), 31 Jul 2007 (4.44%), 19 Oct 2007 (20.93%), 30 Nov 2007 (9.31%)
2006504 Jul 2006 (0.76%), 19 Jul 2006 (7.6%), 18 Oct 2006 (2.44%), 06 Nov 2006 (-4.17%), 11 Dec 2006 (3.55%)
2005625 Jan 2005 (19.69%), 20 Apr 2005 (0.19%), 09 May 2005 (0.47%), 27 Jun 2005 (7.75%), 06 Oct 2005 (-2.08%), 01 Nov 2005 (5.08%)
2004810 Feb 2004 (3.43%), 24 Mar 2004 (8.46%), 21 Apr 2004 (5.51%), 10 Jun 2004 (-6.22%), 23 Jul 2004 (-1.57%), 12 Aug 2004 (0.94%), 12 Oct 2004 (1.37%), 28 Oct 2004 (10.57%)
2003809 Jan 2003 (-0.09%), 28 Jan 2003 (0.09%), 14 Feb 2003 (-1.15%), 03 Mar 2003 (-3.67%), 29 Jul 2003 (2.47%), 13 Aug 2003 (17.7%), 23 Sep 2003 (10.59%), 27 Oct 2003 (-0.46%)
2002820 May 2002 (1.8%), 03 Jun 2002 (4.97%), 21 Jun 2002 (2.77%), 17 Jul 2002 (-2.55%), 02 Aug 2002 (-1.88%), 24 Sep 2002 (1.71%), 23 Oct 2002 (5.56%), 20 Dec 2002 (-1.93%)
1998120 Oct 1998 (7.21%)

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
atrnil310.66561926103465744.6620545.332877.97-6722.07-11759.13.062.470.0855455.59
atrnil27.28347178116566048.2813354.8422587.87-6678.21-11759.121.870.0632992.92
atrtrail36.01305967139617843.8810946.8829421.52-4638.36-10287.442.361.850.0492201.2
atrtrail25.32247748139617843.889992.4524501.46-4638.36-10287.442.151.680.0461782.36
50nil33.582193501685711133.939571.6911966.93-2939.07-3961.383.261.670.0471305.65
50trail32.851983631836711636.617537.4611866.4-2643.5-3961.382.851.650.0441083.95
50nil22.541639731837510840.986414.437977.95-2936.19-3961.382.181.520.042896.03
atrtrail-16.91182389138597942.759229.6244369.02-4584.28-10287.442.011.50.031321.66
50trail22.31453281897511439.686027.577915.32-2690.7-3961.382.241.470.038768.93
50trail-14.051225741755811733.147301.3251099.48-2571.81-3961.382.841.410.023700.42

In the table above, row 1 shows the best exit criterion. Profit factor is 2.47. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.66%, which is not acceptable. Avoid this strategy. Average return per trade is 2.73%, which is very good. Sharpe Ratio is 0.085, which is low, don't trade solely on the basis of this study. 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.
MARICO Performance, Profit Factor:2.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Jan 2019 (-2.23%), 14 May 2019 (8.05%), 11 Jul 2019 (-1.78%), 02 Aug 2019 (6.79%), 26 Aug 2019 (6.42%)
2018523 Apr 2018 (6.17%), 02 May 2018 (-2.91%), 04 May 2018 (9.43%), 07 Sep 2018 (-2.79%), 06 Nov 2018 (11.02%)
2017716 Jun 2017 (-1.95%), 30 Jun 2017 (6.08%), 08 Sep 2017 (6.06%), 17 Oct 2017 (-2.14%), 04 Dec 2017 (-2.15%), 08 Dec 2017 (-1.99%), 19 Dec 2017 (-2.2%)
2016421 Jan 2016 (-3.0%), 03 Feb 2016 (10.01%), 05 May 2016 (9.34%), 12 Sep 2016 (-2.62%)
2015311 Jun 2015 (13.65%), 21 Jul 2015 (-2.96%), 17 Nov 2015 (8.27%)
2014403 Jan 2014 (-2.46%), 04 Feb 2014 (-2.5%), 10 Jul 2014 (8.88%), 17 Dec 2014 (6.88%)
20131023 Jan 2013 (-2.54%), 28 Jan 2013 (-2.56%), 19 Feb 2013 (-2.77%), 02 Apr 2013 (-3.5%), 26 Apr 2013 (8.06%), 06 May 2013 (-3.15%), 15 May 2013 (8.25%), 13 Jun 2013 (-3.21%), 15 Jul 2013 (-3.3%), 05 Dec 2013 (-2.18%)
2012724 Jan 2012 (8.08%), 16 Mar 2012 (8.1%), 15 May 2012 (-2.99%), 24 May 2012 (-2.98%), 31 May 2012 (-3.31%), 20 Jun 2012 (-2.78%), 21 Sep 2012 (10.4%)
2011921 Jan 2011 (-3.61%), 27 Jan 2011 (-3.67%), 19 May 2011 (11.4%), 10 Jun 2011 (9.99%), 22 Aug 2011 (-4.42%), 14 Sep 2011 (-4.14%), 19 Oct 2011 (11.82%), 09 Nov 2011 (-4.35%), 28 Nov 2011 (-3.73%)
2010705 Jan 2010 (-3.97%), 05 Mar 2010 (10.96%), 04 May 2010 (-3.86%), 13 May 2010 (-3.42%), 03 Jun 2010 (-3.76%), 04 Aug 2010 (-3.3%), 26 Aug 2010 (13.92%)
2009424 Mar 2009 (14.71%), 14 May 2009 (-5.31%), 22 Sep 2009 (11.73%), 30 Dec 2009 (-3.41%)
2008211 Mar 2008 (-5.14%), 07 May 2008 (-4.11%)
20071011 Jan 2007 (9.33%), 13 Feb 2007 (-3.56%), 22 Mar 2007 (-4.62%), 23 Apr 2007 (-4.77%), 10 May 2007 (13.15%), 23 May 2007 (-4.42%), 06 Jul 2007 (-3.1%), 31 Jul 2007 (8.53%), 19 Oct 2007 (12.57%), 30 Nov 2007 (12.61%)
2006304 Jul 2006 (-5.88%), 18 Oct 2006 (-2.38%), 11 Dec 2006 (8.76%)
2005525 Jan 2005 (12.3%), 20 Apr 2005 (15.81%), 27 Jun 2005 (11.42%), 06 Oct 2005 (-3.58%), 01 Nov 2005 (12.61%)
2004810 Feb 2004 (16.44%), 24 Mar 2004 (-5.65%), 10 Jun 2004 (-3.45%), 14 Jun 2004 (-3.43%), 23 Jul 2004 (-3.66%), 12 Aug 2004 (8.35%), 12 Oct 2004 (9.26%), 27 Oct 2004 (9.67%)
2003409 Jan 2003 (-2.58%), 29 Jul 2003 (11.82%), 23 Sep 2003 (14.36%), 27 Oct 2003 (-4.92%)
2002520 May 2002 (10.93%), 30 Jul 2002 (-3.12%), 02 Aug 2002 (10.49%), 24 Sep 2002 (10.3%), 20 Dec 2002 (-3.32%)
1998120 Oct 1998 (9.32%)



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