Study: Sell MARUTI when near 200 SMA and below 200 SMA

home > technical-strategy > maruti > 1

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell MARUTI 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
14872.2933151845.453897.511773.42-2977.23-8379.581.311.090.0084147.65
2-2660.1933181554.553795.6810641.89-4732.16-17758.050.80.96-0.0036-80.61
320112.633211263.644265.7312222.78-5788.97-14668.890.741.290.025609.47
426571.2433191457.585916.913932.18-6132.13-14336.270.961.310.028805.19
58185.8633161748.487766.9719775.43-6828.57-13911.521.141.070.0073248.06
6-8323.4833161748.487395.7920984.37-7450.36-15736.390.990.93-0.0068-252.23
7-37604.433141942.427616.7816618.41-7591.54-16527.2310.74-0.031-1139.53
8-27508.9633151845.458865.0920532.72-8915.85-17698.260.990.83-0.02-833.6
9-61155.4833141942.428527.4116928.23-9502.06-21064.170.90.66-0.043-1853.2
10-89773.4833122136.36960417672.26-9762.93-23218.560.980.56-0.061-2720.41
Although, strategy looks good but profit factor on day 2 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
200nil21.8217764.4956203635.715988.277958.23-2833.36-3884.052.111.170.018317.22
200nil32.3915818.7549133626.538975.4811301.96-2801.73-3884.053.21.160.015322.83
200trail21.7611935.7458203834.485677.187958.23-2673.89-3816.632.121.120.013205.79
200trail32.11-6214.8555144125.457053.4411301.96-2560.07-3816.632.760.94-0.0062-113
200trail-12.85-11690.3755134223.647352.2127975.57-2554.03-3816.632.880.89-0.0096-212.55
atrtrail23.79-45317.4847173036.176665.1119765.29-5287.48-12113.531.260.71-0.034-964.2
atrnil38.06-58180.753472720.5919517.7529647.93-7215-17348.732.710.7-0.038-1711.2
atrnil26.28-73688.43369272513328.8919765.29-7172.17-17348.731.860.62-0.055-2046.9
atrtrail34.26-69979.547163134.045551.2916832.55-5122.59-12113.531.080.56-0.059-1488.93
atrtrail-14.45-71116.7447163134.045480.2225892.32-5122.59-12113.531.070.55-0.057-1513.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
MARUTI Performance, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Sep 2019 (-1.28%), 11 Oct 2019 (-1.11%)
2018218 May 2018 (-1.9%), 30 May 2018 (-1.36%)
2016526 May 2016 (-1.86%), 06 Jun 2016 (-1.01%), 07 Jun 2016 (-1.13%), 10 Jun 2016 (-1.57%), 17 Jun 2016 (-1.25%)
2013420 Mar 2013 (3.22%), 13 Jun 2013 (-1.61%), 19 Sep 2013 (2.53%), 11 Oct 2013 (-1.94%)
2012822 May 2012 (2.43%), 23 May 2012 (2.52%), 24 May 2012 (3.98%), 30 May 2012 (2.57%), 07 Jun 2012 (3.26%), 12 Jun 2012 (2.94%), 20 Jul 2012 (3.77%), 03 Sep 2012 (-1.48%)
2011125 Apr 2011 (3.25%)
2010715 Feb 2010 (-1.18%), 22 Mar 2010 (2.55%), 26 Mar 2010 (-1.68%), 30 Mar 2010 (2.31%), 30 Jun 2010 (3.51%), 09 Jul 2010 (2.94%), 15 Sep 2010 (-1.11%)
2009311 Feb 2009 (2.84%), 13 Feb 2009 (-1.75%), 20 Feb 2009 (-1.16%)
2008110 Mar 2008 (3.24%)
2007423 Feb 2007 (-1.74%), 03 Aug 2007 (2.64%), 29 Aug 2007 (-1.88%), 30 Aug 2007 (-1.45%)
2006119 Jul 2006 (-1.87%)
2005814 Jan 2005 (-1.27%), 18 Jan 2005 (2.57%), 23 Mar 2005 (-1.12%), 24 Mar 2005 (-1.11%), 29 Mar 2005 (-1.12%), 07 Apr 2005 (3.41%), 18 Apr 2005 (-1.44%), 03 May 2005 (-1.91%)
20041020 Apr 2004 (-1.0%), 21 Apr 2004 (-1.0%), 31 May 2004 (-1.18%), 15 Jun 2004 (-1.76%), 30 Jun 2004 (-1.57%), 06 Jul 2004 (-1.04%), 30 Jul 2004 (-1.22%), 02 Aug 2004 (3.41%), 02 Dec 2004 (-1.62%), 08 Dec 2004 (-1.33%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play