Study: Buy MARUTI when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy MARUTI when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
129021.6357362163.162140.229549.39-2286.96-7022.160.941.60.042509.15
227829.7857322556.143558.658165.15-3441.87-7742.521.031.320.03488.24
363101.9457332457.894599.4612059.35-3695.01-9487.211.241.710.0551107.05
446873.457322556.144919.5910182.93-4422.14-11888.451.111.420.037822.34
588828.0457372064.914943.5312987.31-4704.13-12005.311.051.940.0651558.39
610527657381966.675420.4814983.1-5300.11-14238.81.022.050.0691846.95
781254.357342359.656150.716072.1-5559.54-16104.011.111.640.0491425.51
879024.6257322556.147160.0918337.72-6003.94-200591.191.530.0411386.4
967884.3857362163.166981.0518156.21-8734.92-200590.81.370.0311190.95
1064675.1857342359.657865.4417596.08-8815.2-21206.690.891.320.0281134.65
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
MARUTI Performance, X=6, Profit Factor:2.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020301 Jan 2020 (-1.15%), 04 Feb 2020 (-2.17%), 29 Sep 2020 (5.0%)
2019203 Dec 2019 (-2.04%), 17 Dec 2019 (0.64%)
2018602 Apr 2018 (2.94%), 25 Apr 2018 (-2.87%), 07 Jun 2018 (0.45%), 21 Jun 2018 (-0.42%), 02 Aug 2018 (0.06%), 23 Aug 2018 (-1.38%)
2017708 Mar 2017 (5.6%), 24 Mar 2017 (1.12%), 13 Apr 2017 (3.96%), 11 Aug 2017 (0.52%), 29 Aug 2017 (4.32%), 04 Oct 2017 (0.73%), 24 Oct 2017 (4.61%)
2016129 Dec 2016 (5.66%)
20151101 Jan 2015 (3.82%), 20 Mar 2015 (1.02%), 08 Apr 2015 (0.5%), 27 Apr 2015 (-0.38%), 14 May 2015 (1.54%), 09 Jun 2015 (3.15%), 24 Aug 2015 (-4.25%), 05 Oct 2015 (-3.18%), 23 Oct 2015 (2.62%), 07 Dec 2015 (1.22%), 24 Dec 2015 (-0.39%)
2014117 Dec 2014 (2.18%)
2013105 Jun 2013 (-7.12%)
2012527 Mar 2012 (3.3%), 12 Apr 2012 (5.97%), 02 May 2012 (-5.33%), 03 Jul 2012 (0.99%), 28 Aug 2012 (0.86%)
2010218 Mar 2010 (0.4%), 11 Nov 2010 (-3.36%)
2009209 Oct 2009 (4.62%), 22 Dec 2009 (1.32%)
2007312 Jan 2007 (1.78%), 31 Jan 2007 (4.07%), 05 Nov 2007 (0.84%)
2006505 Jul 2006 (-0.22%), 26 Jul 2006 (3.47%), 07 Nov 2006 (-4.09%), 06 Dec 2006 (-3.98%), 26 Dec 2006 (3.95%)
2005710 Jan 2005 (-1.25%), 11 Mar 2005 (-6.27%), 06 May 2005 (4.91%), 15 Jun 2005 (6.39%), 12 Jul 2005 (0.78%), 23 Aug 2005 (0.17%), 27 Oct 2005 (7.49%)
2004109 Jul 2004 (-0.51%)

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
50trail33.1715441780374346.257046.3111641.12-2472.02-3946.962.852.450.0891930.21
50nil34.4315743969323746.388467.911827.27-3068.48-3994.952.762.390.0942281.73
50trail-15.2711386579344543.046523.3624318.78-2398.43-3946.962.722.050.061441.33
50trail22.4810840983404348.195478.037760.74-2574.71-3946.962.131.980.0761306.13
50nil22.8210881876393751.325681.877884.84-3047.96-3994.951.861.960.0781431.82
atrtrail24.8273667.4971363550.76221.5313308.01-4294.51-10228.361.451.490.0411037.57
atrtrail-16.4671458.79703535506336.1925412.04-4294.51-10228.361.481.480.0371020.84
atrtrail35.4665868.8703535506176.4717650.59-4294.51-10228.361.441.440.036940.98
atrnil26.9827944.4460253541.679629.420548.44-6079.73-14530.231.581.130.014465.74
atrnil39.3-13804.7953153828.314180.9830822.66-5961.04-14530.232.380.94-0.0064-260.47

In the table above, row 1 shows the best exit criterion. Profit factor is 2.45. 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 46.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.97%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.089, 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:2.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020403 Jan 2020 (-1.19%), 09 Jan 2020 (3.82%), 04 Feb 2020 (-1.15%), 29 Sep 2020 (3.29%)
2019303 Dec 2019 (-1.81%), 17 Dec 2019 (0.47%), 26 Dec 2019 (0.56%)
2018802 Apr 2018 (1.54%), 25 Apr 2018 (-1.16%), 07 Jun 2018 (-0.51%), 19 Jun 2018 (-1.0%), 29 Jun 2018 (4.18%), 02 Aug 2018 (0.39%), 16 Aug 2018 (-1.13%), 23 Aug 2018 (0.25%)
2017908 Mar 2017 (4.84%), 22 Mar 2017 (-0.83%), 31 Mar 2017 (4.41%), 13 Apr 2017 (3.92%), 11 Aug 2017 (3.49%), 21 Aug 2017 (3.52%), 04 Oct 2017 (-0.52%), 11 Oct 2017 (-0.56%), 24 Oct 2017 (4.57%)
2016204 Jan 2016 (-1.01%), 29 Dec 2016 (4.29%)
20151420 Mar 2015 (-1.77%), 27 Mar 2015 (3.21%), 01 Apr 2015 (-1.7%), 08 Apr 2015 (-0.08%), 27 Apr 2015 (5.75%), 11 May 2015 (-1.31%), 14 May 2015 (3.26%), 09 Jun 2015 (4.54%), 24 Aug 2015 (-1.87%), 05 Oct 2015 (-1.97%), 15 Oct 2015 (3.01%), 23 Oct 2015 (3.3%), 07 Dec 2015 (-1.95%), 24 Dec 2015 (-0.69%)
2014217 Dec 2014 (5.6%), 31 Dec 2014 (5.37%)
2013105 Jun 2013 (-1.65%)
2012527 Mar 2012 (4.79%), 12 Apr 2012 (5.82%), 02 May 2012 (-1.19%), 03 Jul 2012 (0.82%), 28 Aug 2012 (-1.87%)
2010318 Mar 2010 (-1.05%), 31 Mar 2010 (-1.62%), 11 Nov 2010 (-1.85%)
2009309 Oct 2009 (4.5%), 22 Oct 2009 (3.16%), 22 Dec 2009 (0.79%)
2007705 Jan 2007 (-1.73%), 12 Jan 2007 (-1.06%), 18 Jan 2007 (-1.11%), 23 Jan 2007 (3.35%), 31 Jan 2007 (4.5%), 05 Nov 2007 (-1.15%), 07 Nov 2007 (-1.01%)
2006605 Jul 2006 (-1.56%), 06 Jul 2006 (-1.12%), 26 Jul 2006 (-0.29%), 07 Nov 2006 (-1.83%), 06 Dec 2006 (-1.03%), 26 Dec 2006 (3.73%)
20051110 Jan 2005 (-1.42%), 11 Mar 2005 (-1.59%), 06 May 2005 (3.11%), 11 May 2005 (4.98%), 15 Jun 2005 (3.4%), 12 Jul 2005 (-1.83%), 19 Jul 2005 (5.09%), 23 Aug 2005 (-1.5%), 24 Aug 2005 (-1.03%), 30 Aug 2005 (4.75%), 27 Oct 2005 (-1.23%)
2004209 Jul 2004 (-1.12%), 15 Jul 2004 (-0.13%)



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