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

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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 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 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
128081.382820871.432138.419549.39-1835.86-3393.511.162.910.0951002.91
221537.0828151353.573564.78165.15-2456.42-7052.431.451.670.053769.18
330612.6628151353.573896.378292.79-2140.99-7426.291.822.10.0751093.31
427018.2628161257.144320.288166.77-3508.85-11888.451.231.640.051964.94
557467.632819967.865161.4512047.49-4511.09-12005.311.142.420.0892052.42
668843.4328181064.295497.1111932.34-3010.45-8150.131.833.290.122458.69
744266.4228171160.714992.7812933.69-3691.89-7553.071.352.090.0741580.94
823503.0528151353.575437.9713548.96-4466.66-13437.911.221.40.034839.39
949248.272820871.436277.5216841.65-9537.77-14969.430.661.650.0531758.87
1051070.3128171160.718612.619293.44-8667.63-21206.690.991.540.0441823.94

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 3.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MARUTI Performance, X=6, Profit Factor:3.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018402 Apr 2018 (2.94%), 07 Jun 2018 (0.45%), 21 Jun 2018 (-0.42%), 27 Aug 2018 (-4.08%)
2017422 Mar 2017 (-0.82%), 17 Apr 2017 (3.62%), 28 Aug 2017 (3.14%), 12 Oct 2017 (-1.08%)
2016129 Dec 2016 (5.66%)
2015701 Jan 2015 (3.82%), 20 Mar 2015 (1.02%), 08 Apr 2015 (0.5%), 27 Apr 2015 (-0.38%), 14 May 2015 (1.54%), 05 Oct 2015 (-3.18%), 24 Dec 2015 (-0.39%)
2012312 Apr 2012 (5.97%), 03 Jul 2012 (0.99%), 28 Aug 2012 (0.86%)
2007212 Jan 2007 (1.78%), 31 Jan 2007 (4.07%)
2006405 Jul 2006 (-0.22%), 26 Jul 2006 (3.47%), 06 Dec 2006 (-3.98%), 26 Dec 2006 (3.95%)
2005206 May 2005 (4.91%), 12 Jul 2005 (0.78%)
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
nilnil-1668843.4328181064.295497.1111932.34-3010.45-8150.131.833.290.122458.69
50trail33.9597788.0838182047.378004.611989.31-2314.74-3946.963.463.110.112573.37
50trail-16.2975533.8938172144.747185.7822939.6-2220.21-3946.963.242.620.081987.73
50nil35.7492192.3134161847.069359.0811989.31-3197.39-3994.952.932.60.112711.54
50trail22.9572390.9538201852.635892.367992.88-2525.35-3946.962.332.590.111905.02
50nil23.5168579.7435191654.296306.817992.88-3203.1-3994.951.972.340.11959.42
atrtrail25.0845972.2336191752.786031.6613304.98-4037.01-10228.361.491.670.0531277.01
atrtrail-17.1743010.1435181751.436202.1924026.15-4037.01-10228.361.541.630.0451228.86
atrtrail35.9728389.3535181751.435389.9213229.75-4037.01-10228.361.341.410.036811.12
atrnil27.2839195.4832141843.7510178.6520548.44-5739.2-12335.951.771.380.0361224.86
atrnil310.3224389.4731102132.2614422.6830822.66-5706.54-12335.952.531.20.019786.76

In the table above, row 1 shows the best exit criterion. Profit factor is 3.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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