Study: Sell MARICO when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell MARICO when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-14051.4125916362906.918037.9-2513.35-5836.371.160.65-0.038-562.06
2-2556.71251114443836.5111980.44-3197.03-7610.621.20.94-0.0052-102.27
3-38694.632491537.53803.9810666.26-4862.03-11229.810.780.47-0.067-1612.28
4-5148.6724111345.835396.2919926.65-4962.15-12714.961.090.92-0.007-214.53
5-8843.42491537.57145.815556.23-4877.04-13001.171.470.88-0.011-368.48
6-26845.212481633.336785.5813111.25-5070.62-11985.411.340.67-0.037-1118.55
7-40347.032481633.335744.169558.69-5393.77-15221.241.060.53-0.055-1681.13
8-22216.982491537.56848.0216956.6-5589.94-15752.211.230.74-0.027-925.71
9-17865.66241212506169.4418824.39-7658.24-18357.490.810.81-0.018-744.4
10-43233.4224111345.835917.0318120.39-8332.37-18761.060.710.6-0.041-1801.39
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
atrnil310.27-35893.092652119.2320474.924890.82-6584.17-11132.023.110.74-0.028-1380.5
atrnil26.19-39466.432671926.9212659.6116593.88-6741.25-11132.021.880.69-0.038-1517.94
atrtrail34.41-46341.81328242510074.821290.39-5289.18-11180.221.90.63-0.04-1448.18
200nil22.02-34339.3141103124.395671.487364.58-2937.23-3854.441.930.62-0.048-837.54
200trail32.12-34803.664073317.57595.7910376.46-2665.88-3854.442.850.6-0.046-870.09
atrtrail23.97-52040.6232824259362.4514659.8-5289.18-11180.221.770.59-0.05-1626.27
200trail21.85-36797.564193221.955537.087364.58-2707.23-3854.442.050.58-0.055-897.5
200trail-12.8-42785.194073317.56455.5715052.19-2665.88-3854.442.420.51-0.057-1069.63
200nil32.44-47223.143963315.388259.910376.46-2932.8-3854.442.820.51-0.064-1210.85
atrtrail-14.56-83305.283272521.887010.2212792.51-5295.07-11180.221.320.37-0.094-2603.29

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:0.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Feb 2019 (-2.75%)
2018209 May 2018 (-2.95%), 03 Oct 2018 (10.65%)
2017117 Nov 2017 (-2.31%)
2016107 Nov 2016 (8.15%)
2015308 Sep 2015 (-3.6%), 13 Oct 2015 (-2.58%), 20 Oct 2015 (-2.3%)
2014231 Jan 2014 (-2.34%), 13 Feb 2014 (-2.35%)
2013109 May 2013 (-3.31%)
2011503 Jan 2011 (-3.59%), 11 Jan 2011 (-3.59%), 12 Jan 2011 (-3.72%), 06 May 2011 (-4.33%), 09 Dec 2011 (-3.22%)
2010109 Dec 2010 (-3.95%)
2009126 Feb 2009 (-3.99%)
2008213 Mar 2008 (-5.57%), 21 May 2008 (12.45%)
2007327 Jun 2007 (-3.32%), 10 Jul 2007 (-3.08%), 19 Jul 2007 (-3.14%)
2003219 Mar 2003 (-3.16%), 22 Mar 2003 (8.95%)
1997111 Nov 1997 (10.99%)



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