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

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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 ADX is Trending" 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
12232.81266503082.777562.96-2710.64-6437.091.141.140.013186.07
25620.56127558.333822.615974.95-4227.55-7742.520.91.270.026468.38
333322.98127558.336554.6512059.35-2511.92-4694.622.613.650.142776.92
414842.031266505669.410182.93-3195.73-6239.171.771.770.0591236.84
56371.171266504406.078539.68-3344.21-8255.461.321.320.027530.93
63660.31127558.334672.259248.13-5809.09-10660.960.81.130.012305.03
7-15905.251266504789.938909.21-7440.81-14652.260.640.64-0.046-1325.44
8-9247.11125741.674862.268746.67-4794.06-13731.271.010.72-0.029-770.59
9-1616.41266505640.511052.7-5909.9-17345.640.950.95-0.0044-134.7
105719.48127558.335550.1111893.63-6626.26-21126.870.841.170.014476.62
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MARUTI Performance, X=3, Profit Factor:3.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Aug 2018 (2.94%)
2017204 Oct 2017 (0.63%), 24 Oct 2017 (3.04%)
2015224 Aug 2015 (-0.9%), 05 Oct 2015 (-1.37%)
2014117 Dec 2014 (4.03%)
2012227 Mar 2012 (6.03%), 02 May 2012 (-1.65%)
2009109 Oct 2009 (3.09%)
2007105 Nov 2007 (-0.02%)
2005110 Jan 2005 (3.17%)
2004109 Jul 2004 (-2.35%)

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
50trail32.5420983.16135838.467940.2311199.04-2339.75-3946.963.392.120.0721614.09
50trail22.0818349.11136746.156136.037466.02-2638.15-3946.962.331.990.0791411.47
50nil34.2322395.61135838.469270.5611199.04-2994.65-3946.963.11.930.0711722.74
50nil22.5415816.12136746.156136.037466.02-3000.01-3946.962.051.750.0661216.62
50trail-14.083669.45135838.464477.497062.89-2339.75-3946.961.911.20.019282.27
atrtrail24.92-5338.17136746.155171.7613308.01-5195.53-10228.3610.85-0.016-410.63
atrtrail35.08-6984.12136746.154897.4411011.16-5195.53-10228.360.940.81-0.022-537.24
atrtrail-16-14483.51136746.153647.547995.61-5195.53-10228.360.70.6-0.055-1114.12
atrnil310.31-35138.041331023.0813272.5819962.01-7495.58-14530.231.770.53-0.071-2702.93
atrnil29.38-48410.621331023.088848.3913308.01-7495.58-14530.231.180.35-0.12-3723.89

In the table above, row 1 shows the best exit criterion. Profit factor is 2.12. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.072, 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:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Aug 2018 (0.39%)
2017204 Oct 2017 (-0.52%), 24 Oct 2017 (4.57%)
2015224 Aug 2015 (-1.87%), 05 Oct 2015 (-1.97%)
2014117 Dec 2014 (5.6%)
2012227 Mar 2012 (4.79%), 02 May 2012 (-1.19%)
2009109 Oct 2009 (4.5%)
2007105 Nov 2007 (-1.15%)
2005110 Jan 2005 (-1.42%)
2004209 Jul 2004 (-1.12%), 15 Jul 2004 (-0.13%)



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