Study: Buy MARUTI when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy MARUTI when below 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
17861.21502228444611.8611870.16-3342.84-19197.181.381.080.0072157.22
2-3501.49502426486285.8719856.98-5937.02-26755.121.060.98-0.0021-70.03
3-20712.85502129427868.5221846.82-6412.13-16207.591.230.89-0.011-414.26
4-41946.165017333410695.4120395.9-6780.85-176521.580.81-0.021-838.92
5-34366.49502228448621.6321183.54-8001.51-20757.321.080.85-0.017-687.33
613926.53502426489285.5422124.74-8035.63-33854.21.161.070.0062278.53
716508.055022284410656.2524960.11-7783.19-31615.671.371.080.0071330.16
821759.51502723549172.3623762.47-9821.48-40555.270.931.10.0089435.19
938942.45025255010775.6625703.58-9217.97-40453.521.171.170.015778.85
1059342.95026245211109.1130678.55-9562.25-33374.521.161.260.0221186.86
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil26.249585.4588276130.6816528.539433.78-7158.76-18389.972.311.020.0023108.93
atrnil38.07-2092.3585206523.5323929.5259150.67-7395.12-18718.773.241-0.00043-24.62
atrtrail23.93-66090.6995296630.5311047.5839433.78-5855.62-18389.971.890.83-0.018-695.69
atrtrail-14.93-81439.5795296630.5310518.3145136.52-5855.62-18389.971.80.79-0.022-857.26
atrtrail34.45-91547.9695296630.5310169.7526178.89-5855.62-18389.971.740.76-0.026-963.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 30.68%, which is not acceptable. Avoid this strategy. Average return per trade is 0.054%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0023, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191122 Jan 2019 (-2.15%), 25 Jan 2019 (-2.85%), 20 Mar 2019 (-2.41%), 25 Mar 2019 (4.91%), 16 May 2019 (4.4%), 17 Jun 2019 (-2.44%), 18 Jun 2019 (-2.61%), 08 Jul 2019 (-2.8%), 18 Jul 2019 (-2.67%), 19 Jul 2019 (-2.78%), 29 Jul 2019 (6.28%)
20181218 May 2018 (-1.55%), 21 May 2018 (3.36%), 03 Sep 2018 (-1.91%), 07 Sep 2018 (-1.97%), 11 Sep 2018 (-2.02%), 19 Sep 2018 (-2.19%), 21 Sep 2018 (-2.72%), 27 Sep 2018 (-3.37%), 28 Sep 2018 (-3.56%), 04 Oct 2018 (-3.65%), 05 Oct 2018 (-3.97%), 31 Oct 2018 (7.53%)
2016820 Jan 2016 (-2.44%), 21 Jan 2016 (5.52%), 03 Feb 2016 (-3.2%), 05 Feb 2016 (-3.22%), 11 Feb 2016 (6.75%), 23 Feb 2016 (-3.36%), 29 Feb 2016 (7.39%), 08 Apr 2016 (5.78%)
2013721 Mar 2013 (-3.56%), 13 Jun 2013 (6.77%), 12 Jul 2013 (-3.26%), 26 Jul 2013 (-3.38%), 31 Jul 2013 (6.78%), 21 Aug 2013 (-3.58%), 27 Aug 2013 (7.64%)
2012422 May 2012 (-3.82%), 25 May 2012 (-3.9%), 01 Jun 2012 (8.16%), 23 Jul 2012 (8.05%)
20111507 Jan 2011 (-2.76%), 12 Jan 2011 (-2.71%), 14 Jan 2011 (-2.86%), 28 Jan 2011 (-2.84%), 02 Feb 2011 (-3.32%), 04 Feb 2011 (6.9%), 21 Mar 2011 (7.84%), 17 Jun 2011 (-2.71%), 20 Jun 2011 (-2.81%), 22 Jun 2011 (-2.92%), 24 Aug 2011 (-3.32%), 26 Aug 2011 (-3.64%), 14 Oct 2011 (7.68%), 15 Nov 2011 (-4.03%), 17 Nov 2011 (-4.31%)
2010427 Apr 2010 (-3.26%), 17 May 2010 (-2.76%), 20 May 2010 (-2.77%), 26 Jul 2010 (8.13%)
20081314 Jan 2008 (-5.03%), 21 Jan 2008 (-5.67%), 03 Apr 2008 (-5.21%), 07 Apr 2008 (-5.22%), 04 Jun 2008 (-4.17%), 13 Jun 2008 (-4.37%), 23 Jun 2008 (-4.8%), 27 Jun 2008 (-5.72%), 01 Jul 2008 (-6.84%), 23 Oct 2008 (-7.87%), 24 Oct 2008 (-9.19%), 20 Nov 2008 (18.72%), 02 Dec 2008 (19.72%)
2007514 Feb 2007 (-3.92%), 05 Mar 2007 (10.37%), 08 Jun 2007 (8.77%), 16 Aug 2007 (-3.86%), 17 Aug 2007 (8.75%)
2005312 Jan 2005 (-3.97%), 20 Jan 2005 (8.73%), 23 Mar 2005 (-3.73%)
2004623 Jun 2004 (12.76%), 12 Aug 2004 (-3.85%), 18 Aug 2004 (-3.75%), 23 Aug 2004 (8.01%), 14 Sep 2004 (7.45%), 25 Oct 2004 (-2.8%)



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