Study: Buy MARICO when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy MARICO when 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
1-8085.838201852.633397.3614153.33-4224.06-20753.270.80.89-0.0079-212.78
219708.8538201852.636122.917200.23-5708.28-37509.611.071.190.013518.65
391077.6338241463.166928.517124.46-5371.88-18293.621.292.210.0722396.78
411802838241463.168421.3318526.24-6006.01-15680.251.42.40.083106
515420038261268.428192.1223868.16-4899.56-13136.471.673.620.114057.9
615938738261268.428195.2921519.23-4474.24-15261.491.833.970.114194.39
714660038251365.799379.0722439.02-6759.75-16172.211.392.670.0863857.89
816161438271171.059649.6222428.49-8993.25-21556.221.072.630.0884253
918402938241463.1611393.231751.34-6386.26-17920.61.783.060.0934842.87
1017400238241463.1611698.1636284.63-7625.31-22796.991.532.630.0784578.99
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=6, Profit Factor:3.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (-0.45%), 11 Feb 2019 (-7.63%), 19 Jul 2019 (0.01%)
2018205 Sep 2018 (-1.6%), 24 Sep 2018 (-1.59%)
2016425 Jan 2016 (2.88%), 20 May 2016 (4.34%), 26 Sep 2016 (1.62%), 02 Nov 2016 (-0.56%)
2015306 May 2015 (7.24%), 28 Jul 2015 (5.13%), 24 Aug 2015 (2.17%)
2013214 Feb 2013 (4.5%), 21 Mar 2013 (5.86%)
2012222 May 2012 (1.6%), 11 Jun 2012 (2.72%)
2011205 May 2011 (4.91%), 15 Sep 2011 (1.64%)
2010325 May 2010 (8.17%), 02 Aug 2010 (-2.98%), 26 Nov 2010 (-3.02%)
2008218 Jan 2008 (1.54%), 08 May 2008 (-0.69%)
2007227 Apr 2007 (1.88%), 12 Jun 2007 (0.36%)
2006117 Nov 2006 (1.69%)
2005212 Jan 2005 (6.91%), 28 Oct 2005 (10.76%)
2004221 Jan 2004 (-2.49%), 17 May 2004 (8.76%)
2003121 Nov 2003 (2.58%)
2002220 May 2002 (0.44%), 31 Jul 2002 (9.65%)
1999512 Apr 1999 (-1.56%), 28 Apr 1999 (7.32%), 11 Jun 1999 (-2.33%), 23 Jul 1999 (-1.93%), 12 Aug 1999 (1.85%)

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
atrnil25.4622110146242252.1715844.7130356.42-7235.11-15106.522.192.390.0864806.54
atrtrail24.711740094824245012962.4630356.42-5712.09-15106.522.272.270.0733625.18
atrnil313.0523019842172540.4824509.2845534.63-7458.38-15106.523.292.230.0725480.91
atrtrail3614923348232547.9212483.3931250.99-5515.39-15106.522.262.080.0613109.02
atrtrail-16.8810728048232547.9210659.3542318.63-5515.39-15106.521.931.780.0452235.01

In the table above, row 1 shows the best exit criterion. Profit factor is 2.39. 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 52.17%, which is not acceptable. Avoid this strategy. Average return per trade is 2.4%, which is very good. Sharpe Ratio is 0.086, 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, Profit Factor:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019428 Jan 2019 (4.53%), 11 Feb 2019 (-2.61%), 13 Feb 2019 (-2.78%), 19 Jul 2019 (-1.75%)
2018305 Sep 2018 (-2.89%), 11 Sep 2018 (-3.08%), 24 Sep 2018 (-3.57%)
2016625 Jan 2016 (-3.16%), 20 May 2016 (5.63%), 26 Sep 2016 (-2.33%), 29 Sep 2016 (5.22%), 02 Nov 2016 (-2.48%), 04 Nov 2016 (-2.66%)
2015306 May 2015 (8.53%), 28 Jul 2015 (5.72%), 24 Aug 2015 (-3.65%)
2013214 Feb 2013 (-2.72%), 21 Mar 2013 (7.11%)
2012222 May 2012 (6.09%), 11 Jun 2012 (6.19%)
2011205 May 2011 (8.74%), 15 Sep 2011 (10.42%)
2010525 May 2010 (9.02%), 02 Aug 2010 (-3.42%), 09 Aug 2010 (6.69%), 26 Nov 2010 (-4.14%), 07 Dec 2010 (-3.82%)
2008218 Jan 2008 (-7.55%), 08 May 2008 (-4.16%)
2007227 Apr 2007 (-4.87%), 12 Jun 2007 (7.1%)
2006117 Nov 2006 (4.72%)
2005212 Jan 2005 (7.73%), 28 Oct 2005 (8.78%)
2004221 Jan 2004 (-4.85%), 17 May 2004 (12.79%)
2003121 Nov 2003 (8.25%)
2002220 May 2002 (7.29%), 31 Jul 2002 (6.82%)
1999712 Apr 1999 (-5.55%), 13 Apr 1999 (12.58%), 28 Apr 1999 (15.18%), 11 Jun 1999 (-3.19%), 16 Jun 1999 (6.15%), 23 Jul 1999 (-4.34%), 04 Aug 1999 (8.85%)



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