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

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In this study, we evaluate the performance of strategy "Buy MARICO when near 200 SMA and above 200 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
160869.4756332358.933380.5715673.47-2203.88-7346.281.532.20.0591086.95
278780.8456302653.574742.0112081.63-2441.51-12265.371.942.240.0621406.8
376239.1756342260.714011.2714230.77-2733.81-7250.871.472.270.0651361.41
411197656332358.935444.5614285.71-2943.24-8161.781.852.650.0781999.57
561320.0556272948.216310.0521655.56-3760.39-11238.531.681.560.0371095
655457.1656292751.796212.7125935.42-4618.94-20705.521.351.440.028990.31
747036.2556272948.216831.3221812.75-4738.26-17177.911.441.340.023839.93
839694.7556302653.576621.8221834.96-6113.84-20552.151.081.250.018708.83
937061.5856312555.366812.8519630.96-6965.47-30214.720.981.210.015661.81
1070673.4556332358.93725230615.38-7332.29-36196.320.991.420.0271262.03

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.65. 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 58.93%, which is not acceptable. Avoid this strategy. Average return per trade is 1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
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=4, Profit Factor:2.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019413 Feb 2019 (-3.6%), 12 Mar 2019 (-2.81%), 02 May 2019 (-0.01%), 30 Oct 2019 (-1.23%)
2018511 Jan 2018 (-1.75%), 16 Apr 2018 (-0.69%), 02 May 2018 (0.57%), 16 May 2018 (-1.68%), 25 Sep 2018 (0.48%)
2017507 Feb 2017 (0.17%), 23 Feb 2017 (4.69%), 13 Nov 2017 (-0.52%), 27 Nov 2017 (-0.48%), 11 Dec 2017 (-2.27%)
2016104 Nov 2016 (2.1%)
2015322 Sep 2015 (0.7%), 12 Oct 2015 (1.2%), 05 Nov 2015 (1.55%)
2014414 Jan 2014 (0.21%), 04 Feb 2014 (-0.02%), 18 Feb 2014 (-0.97%), 02 Apr 2014 (-0.35%)
2013610 May 2013 (2.23%), 15 Jul 2013 (0.5%), 17 Sep 2013 (1.74%), 09 Oct 2013 (0.3%), 05 Dec 2013 (-3.28%), 23 Dec 2013 (2.41%)
2012123 Jan 2012 (-0.07%)
2011804 Jan 2011 (0.65%), 25 Jan 2011 (-3.5%), 16 Feb 2011 (-0.08%), 03 Mar 2011 (4.34%), 17 May 2011 (5.19%), 19 Sep 2011 (4.0%), 18 Nov 2011 (3.94%), 28 Dec 2011 (-0.44%)
2010225 May 2010 (6.87%), 13 Dec 2010 (3.29%)
2009220 Jan 2009 (2.14%), 03 Mar 2009 (6.57%)
2008525 Jan 2008 (4.08%), 13 Feb 2008 (5.5%), 10 Mar 2008 (1.2%), 14 May 2008 (-0.54%), 16 Jun 2008 (-2.99%)
2007512 Jun 2007 (2.98%), 26 Jun 2007 (0.72%), 13 Jul 2007 (-0.36%), 02 Aug 2007 (7.14%), 21 Aug 2007 (3.65%)
2006116 Jun 2006 (6.96%)
2003220 Mar 2003 (-2.11%), 03 Jun 2003 (1.24%)
1998222 Jul 1998 (-4.08%), 05 Aug 1998 (0.5%)

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-1411197656332358.935444.5614285.71-2943.24-8161.781.852.650.0781999.57
atrnil314.521579145016343223311.4761255.12-6325.59-19628.473.691.730.0453158.27
200trail32.57113621102346833.338396.8711718.13-2527.53-3857.923.321.660.0451113.94
atrtrail25.5112198478285035.911353.4240836.74-3918.23-9982.912.91.620.0371563.9
atrnil29.7612803355213438.1816003.3940836.74-6118.77-10030.792.621.620.0422327.87
atrtrail36.4489861.4477255232.4711442.7741870.28-3773.23-9982.913.031.460.0271167.03
200nil33.1184086.591296231.879269.0411880-2979.29-3961.993.111.460.035924.03
200nil22.5440156.8192345836.966219.297920-2953.43-3961.992.111.230.021436.49
atrtrail-16.7842329.0677255232.479541.4841870.28-3773.23-9982.912.531.220.014549.73
200trail22.1635883.71102356734.315926.57812.09-2560.36-3857.922.311.210.019351.8
200trail-13.991949.88101317030.695589.7416191.44-2447.6-3857.922.281.010.0008819.31

In the table above, row 1 shows the best exit criterion. Profit factor is 2.65. 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 58.93%, which is not acceptable. Avoid this strategy. Average return per trade is 1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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