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

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In this study, we evaluate the performance of strategy "Buy MARUTI when near 200 SMA and above 200 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
125306.6434201458.824611.0925190.17-4779.65-8058.240.961.380.028744.31
2-9541.2634181652.944979.9515345.23-6198.77-14599.290.80.9-0.01-280.63
3-2239.3234181652.946111.2713838.5-7015.14-21697.220.870.98-0.0021-65.86
4-18338.77341717506400.6718660.97-7479.42-20415.670.860.86-0.016-539.38
5-15224.8834181652.947479.3314403.29-9365.8-24000.910.80.9-0.011-447.79
6-25900.5634181652.947485.1425292.57-10039.57-21451.590.750.84-0.017-761.78
7-14885.84341717508794.6919616.73-9670.33-23556.870.910.91-0.0097-437.82
8-19095.15341717508939.3216642.92-10062.57-21668.230.890.89-0.012-561.62
9-54298.0634181652.947989.3615843.62-12381.66-25532.250.650.73-0.033-1597
10-39916.92341717509012.1519629.19-11360.2-26111.460.790.79-0.024-1174.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.38. 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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1125306.6434201458.824611.0925190.17-4779.65-8058.240.961.380.028744.31
atrnil310.0342909.61309213021477.7152148.48-7161.42-16440.2331.290.0241430.32
200trail-13.5123782.8649153430.617493.7919528.46-2606.59-3991.632.871.270.021485.36
200trail32.321016.37501634326852.5311544.29-2606.59-3991.632.631.240.022420.33
200nil22.0619558.2147182938.35876.17907.17-2972.81-3991.631.981.230.024416.13
200trail21.9414358.89501832365504.817907.17-2647.74-3991.632.081.170.017287.18
200nil32.778966.7143123127.918559.0111544.29-3023.92-3991.632.831.10.0098208.53
atrnil25.851902.734122235.2913542.3234765.65-7300.23-16440.231.861.010.001355.96
atrtrail23.67-2526.0942162638.18600.1234765.65-5389.54-12805.211.60.98-0.0017-60.15
atrtrail34.07-18044.142162638.17630.2519777.41-5389.54-12805.211.420.87-0.013-429.62
atrtrail-15.05-19724.9142162638.17525.224896.82-5389.54-12805.211.40.86-0.015-469.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, X=1, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019127 Sep 2019 (-0.85%)
2018225 Jun 2018 (1.57%), 20 Aug 2018 (0.43%)
2016419 Jan 2016 (-3.32%), 31 May 2016 (0.09%), 20 Jun 2016 (0.59%), 07 Jul 2016 (0.5%)
2014128 Jan 2014 (6.89%)
2013218 Mar 2013 (0.26%), 11 Jul 2013 (-3.83%)
2012419 Jan 2012 (-2.34%), 18 May 2012 (3.61%), 10 Aug 2012 (1.64%), 28 Aug 2012 (0.29%)
2011206 Jan 2011 (-2.43%), 10 Aug 2011 (-2.34%)
2010410 Feb 2010 (1.68%), 31 Mar 2010 (-1.75%), 25 Nov 2010 (-0.95%), 16 Dec 2010 (2.67%)
2009119 Feb 2009 (-0.36%)
2008311 Jan 2008 (-4.03%), 04 Feb 2008 (-2.76%), 04 Mar 2008 (3.94%)
2007126 Feb 2007 (1.0%)
2006201 Jun 2006 (12.6%), 20 Jul 2006 (-3.47%)
2005310 Jan 2005 (0.83%), 19 Apr 2005 (2.89%), 05 May 2005 (4.1%)
2004402 Jun 2004 (-3.63%), 17 Jun 2004 (-1.4%), 14 Jul 2004 (0.18%), 06 Dec 2004 (0.35%)



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