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
127307.3637211656.764669.2125190.17-4421.63-8058.241.061.390.028738.04
2571.4937191851.355315.7215345.23-5579.29-14599.290.951.010.0005515.45
3-5340.5137191851.356142.313838.5-6780.23-21697.220.910.96-0.0044-144.34
4-26759.0837181948.656385.8618660.97-7458.14-20415.670.860.81-0.021-723.22
5-24241.0437201754.057086.1314403.29-9762.57-24000.910.730.85-0.016-655.16
6-30285.1937201754.057241.9125292.57-10301.38-21451.590.70.83-0.018-818.52
7-14394.0637191851.358667.8619616.73-9949.08-23556.870.870.92-0.0084-389.03
8-14339.1337191851.359018.5216642.92-10316.17-21668.230.870.92-0.0083-387.54
9-49920.5337201754.057991.8715843.62-12338.71-25532.250.650.76-0.027-1349.2
10-36985.4937191851.358833.6619629.19-11379.17-26111.460.780.82-0.02-999.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. 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 56.76%, 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.

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
atrnil310.2976083.6534112332.3521453.5652148.48-6952.41-16440.233.091.480.0372237.75
nilnil-1127307.3637211656.764669.2125190.17-4421.63-8058.241.061.390.028738.04
200trail32.2424583.5254173731.487079.8711544.29-2588.49-3991.632.741.260.023455.25
200trail-13.4220821.7753163730.197287.2519528.46-2588.49-3991.632.821.220.017392.86
atrnil25.9234931.5438152339.4713349.7734765.65-7187.61-16440.231.861.210.02919.25
atrtrail23.9130502.7546192741.39228.4634765.65-5364.37-12805.211.721.210.017663.1
200nil22.0219552.9251193237.255942.887907.17-2917.55-3991.632.041.210.021383.39
atrtrail34.5926330.8246192741.39008.8825408.57-5364.37-12805.211.681.180.015572.41
atrtrail-15.7624386.9746192741.38906.5724896.82-5364.37-12805.211.661.170.014530.15
200trail21.9114353.654193535.195591.137907.17-2625.08-3991.632.131.160.016265.81
200nil32.6612533.8547133427.668725.0411544.29-2967.4-3991.632.941.120.012266.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 32.35%, which is not acceptable. Avoid this strategy. Average return per trade is 1.12%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARUTI Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020301 Feb 2020 (-2.32%), 19 Feb 2020 (-2.44%), 28 Jul 2020 (8.64%)
2019127 Sep 2019 (12.7%)
2018225 Jun 2018 (4.31%), 20 Aug 2018 (-1.9%)
2016419 Jan 2016 (-2.23%), 31 May 2016 (-2.16%), 13 Jun 2016 (-1.95%), 29 Jun 2016 (6.42%)
2014128 Jan 2014 (10.14%)
2013218 Mar 2013 (-3.29%), 11 Jul 2013 (-3.03%)
2012419 Jan 2012 (-3.29%), 18 May 2012 (-3.48%), 10 Aug 2012 (-2.69%), 04 Sep 2012 (7.41%)
2011110 Aug 2011 (-2.72%)
2010410 Feb 2010 (9.78%), 31 Mar 2010 (-2.96%), 25 Nov 2010 (-3.07%), 26 Nov 2010 (-3.16%)
2009119 Feb 2009 (13.77%)
2008311 Jan 2008 (-4.61%), 04 Feb 2008 (-6.4%), 04 Mar 2008 (-4.59%)
2007126 Feb 2007 (-4.2%)
2006101 Jun 2006 (26.07%)
2005410 Jan 2005 (-3.71%), 17 Jan 2005 (-4.16%), 19 Apr 2005 (-3.36%), 05 May 2005 (9.8%)
2004202 Jun 2004 (-8.22%), 06 Dec 2004 (8.94%)



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