Study: Buy MARICO when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 and ADX is Trending" 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
150288.0643281565.123163.9412995.85-2553.48-4396.481.242.310.0681169.49
292390.643281565.124840.1112187.6-2875.49-6619.941.683.140.12148.62
313111743331076.744769.3516413.48-2627.16-5685.691.825.990.143049.23
414588643311272.095745.8119312.03-2686.22-6152.652.145.530.133392.69
517637443301369.777169.4517730.5-2977.62-8175.252.415.560.154101.73
618249743291467.448557.9419443.36-4691.63-13395.641.823.780.124244.13
718205743301369.778224.7321841.49-4975.74-17253.841.653.810.124233.89
819064143311272.098679.1924418.6-6534.52-28093.951.333.430.14433.5
920741743321174.429223.1431561.46-7974.84-21417.451.163.360.14823.65
1027789343311272.0911623.8541860.47-6870.53-22507.791.694.370.116462.63

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 5.99. Strategy is very good and impressively bullish. Percentage of profitable trades is 76.74%, which is excellent. Average return per trade is 1.52%, which is not very high, but percentage of profitable trades compensates for it.
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.
MARICO Performance, X=3, Profit Factor:5.99

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Nov 2018 (1.21%)
2017116 Jun 2017 (1.1%)
2016121 Jan 2016 (-2.84%)
2015111 Jun 2015 (0.49%)
2014323 Jan 2014 (-2.54%), 10 Jul 2014 (-1.85%), 17 Dec 2014 (3.41%)
2013323 Jan 2013 (0.11%), 13 Jun 2013 (0.14%), 15 Jul 2013 (1.86%)
2012316 Mar 2012 (3.9%), 15 May 2012 (-0.23%), 21 Sep 2012 (3.47%)
2011621 Jan 2011 (-0.9%), 19 May 2011 (2.32%), 10 Jun 2011 (3.73%), 21 Oct 2011 (1.41%), 09 Nov 2011 (-0.87%), 28 Nov 2011 (0.27%)
2010613 Jan 2010 (0.77%), 04 May 2010 (-1.29%), 26 Aug 2010 (0.44%), 14 Sep 2010 (0.28%), 28 Sep 2010 (3.19%), 20 Oct 2010 (2.47%)
2009214 May 2009 (4.56%), 22 Sep 2009 (6.01%)
2007322 Mar 2007 (3.9%), 19 Oct 2007 (2.82%), 30 Nov 2007 (4.96%)
2006204 Jul 2006 (3.75%), 18 Oct 2006 (1.59%)
2004310 Feb 2004 (3.14%), 10 Jun 2004 (-0.15%), 01 Nov 2004 (3.63%)
2003129 Jul 2003 (2.18%)
2002620 May 2002 (-0.95%), 03 Jun 2002 (0.97%), 17 Jul 2002 (0.13%), 24 Sep 2002 (1.52%), 23 Oct 2002 (0.75%), 20 Dec 2002 (-1.52%)
1998120 Oct 1998 (8.21%)

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
nilnil-1313111743331076.744769.3516413.48-2627.16-5685.691.825.990.143049.23
atrnil311.2827482740192147.522079.7332877.97-6889.88-11759.13.22.90.16870.68
50nil33.5114921557253243.869772.8211872.98-2972.06-3888.743.292.570.0892617.8
50trail32.5812600562283445.167830.7411864.95-2742.81-3881.282.862.350.0752032.34
50nil22.3811764563323150.796526.947915.32-2942.49-3881.282.222.290.0851867.38
atrtrail36.0613814049242548.9810499.5327301.45-4553.94-8697.722.312.210.0612819.19
atrnil28.2616811743222151.1614218.3921918.65-6889.88-11759.12.062.160.0783909.7
50trail-14.1191271.0861253640.987323.4422009.97-2550.41-3881.282.871.990.0511496.25
atrtrail-17.0210933349242548.989299.2338121.06-4553.94-8697.722.041.960.0512231.28
50trail22.0588301.9565313447.695896.317915.32-2778.94-3881.282.121.930.0641358.49
atrtrail25.5110173049242548.988982.4218200.96-4553.94-8697.721.971.890.0552076.11

In the table above, row 1 shows the best exit criterion. Profit factor is 5.99. Strategy is very good and impressively bullish. Percentage of profitable trades is 76.74%, which is excellent. Average return per trade is 1.52%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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