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

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In this study, we evaluate the performance of strategy "Buy MARICO when near 200 SMA and above 200 SMA and RSI is above 50" 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
17553.728171160.711834.965838.6-2149.15-5308.220.851.320.023269.78
219823.6428151353.573117.559148.38-2072.28-6800.831.51.740.042707.99
3-6770.6928131546.433230.0310354.44-3250.74-7250.870.990.86-0.012-241.81
4-8482.928121642.863352.139371.51-3044.28-8161.781.10.83-0.016-302.96
5-19485.832891932.144348.8711549.18-3085.56-10582.821.410.67-0.034-695.92
6-36941.62891932.144580.310195.14-4113.91-20705.521.110.53-0.05-1319.34
7-18979.9428111739.294068.7513381.12-3749.19-17177.911.090.7-0.026-677.86
8-20274.6281414504339.7112664.28-5787.9-20552.150.750.75-0.023-724.09
9-8909.6628131546.436441.1119036.24-6176.27-30214.721.040.9-0.0076-318.2
10-8060.7128171160.714802.0312664.28-8154.11-36196.320.590.91-0.0069-287.88
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail32.9612499.6653153828.37316.411718.13-2559.12-3857.922.861.130.011235.84
atrnil311.876955.923082226.6717267.5625859.69-5962.93-10030.792.91.050.0048231.86
200nil33.592302.7749123724.499287.2411718.13-2949.84-3888.913.151.020.001947
200nil22.76-788.89501634326175.617812.09-2929.37-3860.142.110.99-0.0008-15.78
atrtrail24.9-10751.5442142833.338019.3717239.79-4393.67-9982.911.830.91-0.0082-255.99
200trail22.42-9818.3453153828.35828.547812.09-2559.12-3857.922.280.9-0.01-185.25
atrnil28.63-13081.0830102033.3310943.3517239.79-6125.73-10030.791.790.89-0.011-436.04
atrtrail35.79-20470.9242142833.337325.1218244.34-4393.67-9982.911.670.83-0.016-487.4
200trail-13.96-17886.1153143926.425673.8815303.83-2495.4-3857.922.270.82-0.016-337.47
atrtrail-16.02-32365.1742142833.336475.5414824.78-4393.67-9982.911.470.74-0.027-770.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 28.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019312 Mar 2019 (-1.58%), 08 May 2019 (-1.46%), 15 May 2019 (1.77%)
2018422 Jan 2018 (-1.18%), 16 Apr 2018 (-0.91%), 16 May 2018 (-1.28%), 25 May 2018 (5.57%)
2017807 Feb 2017 (-1.66%), 16 Feb 2017 (0.53%), 23 Feb 2017 (4.07%), 24 Nov 2017 (-1.2%), 01 Dec 2017 (-1.11%), 04 Dec 2017 (-1.59%), 08 Dec 2017 (-0.92%), 19 Dec 2017 (3.9%)
2015405 Nov 2015 (-1.55%), 09 Nov 2015 (-1.93%), 10 Nov 2015 (-0.61%), 17 Nov 2015 (3.17%)
2014702 Jan 2014 (3.66%), 20 Jan 2014 (-0.66%), 04 Feb 2014 (-1.02%), 14 Feb 2014 (-1.09%), 02 Apr 2014 (-1.05%), 03 Apr 2014 (-1.26%), 11 Apr 2014 (-1.07%)
20131015 Jul 2013 (4.55%), 19 Jul 2013 (-1.81%), 24 Jul 2013 (-1.05%), 25 Jul 2013 (-1.38%), 17 Sep 2013 (0.07%), 26 Sep 2013 (-1.64%), 09 Oct 2013 (-1.59%), 05 Dec 2013 (-1.13%), 23 Dec 2013 (3.12%), 31 Dec 2013 (-0.68%)
2011416 Feb 2011 (-1.72%), 17 Feb 2011 (-1.04%), 03 Mar 2011 (-1.53%), 28 Dec 2011 (-1.26%)
2009420 Jan 2009 (-1.41%), 29 Jan 2009 (-1.62%), 30 Jan 2009 (-1.0%), 03 Feb 2009 (4.41%)
2008216 Jun 2008 (-1.07%), 18 Jun 2008 (-1.21%)
2007326 Jul 2007 (-1.18%), 02 Aug 2007 (-1.66%), 06 Aug 2007 (3.96%)
2003103 Jun 2003 (5.83%)
1998322 Jul 1998 (-1.51%), 05 Aug 1998 (4.41%), 18 Aug 1998 (5.86%)



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