Study: Buy MARUTI when above 200 SMA

home > technical-strategy > maruti > 58

In this study, we evaluate the performance of strategy "Buy MARUTI when 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
1-30068.8532131940.623130.4813738.08-3724.48-16013.630.840.58-0.045-939.65
2-16930.79321616502708.9813777-3767.15-17525.90.720.72-0.026-529.09
311458.5132171553.124999.1911282.16-4901.85-20261.641.021.160.014358.08
4-13204.632171553.125372.2716345.59-6968.88-31228.380.770.87-0.012-412.64
5-9638.41321616508262.9422805.99-8865.34-41644.430.930.93-0.0063-301.2
622291.632161650948226696.04-8088.78-23282.931.171.170.016696.61
7-24191.3332141843.7510649.7225491.34-9627.07-22554.461.110.86-0.016-755.98
8-17706.5932151746.889985.2726094.57-9852.1-20930.951.010.89-0.011-553.33
9-25643.1432141843.7510231.4323467.6-9382.4-25791.21.090.85-0.016-801.35
10-60752.9132131940.6210825.4526464.29-10604.41-33369.91.020.7-0.035-1898.53
Although, strategy looks good but profit factor on day 1 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
atrnil24.411951.9456183832.1414054.5237760.82-6606.04-13865.592.131.010.0008234.86
atrtrail23.39-25273.261233837.78530.1337760.82-5828.06-13865.591.460.89-0.012-414.31
atrtrail34-36611.0961233837.78037.1821920.65-5828.06-13865.591.380.83-0.018-600.18
atrnil37.2-76344.0254124222.2217905.1927824.5-6933.48-18880.412.580.74-0.033-1413.78
atrtrail-14.39-65540.3561223936.077422.9125097.35-5867.8-13865.591.270.71-0.034-1074.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 32.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.017%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00082, 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:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018502 Feb 2018 (-2.16%), 07 Feb 2018 (-2.61%), 22 Feb 2018 (4.5%), 27 Apr 2018 (-1.82%), 02 Aug 2018 (-2.18%)
2016407 Jan 2016 (-2.05%), 09 Nov 2016 (-2.16%), 11 Nov 2016 (-2.55%), 15 Nov 2016 (5.98%)
2015509 Feb 2015 (4.51%), 21 Apr 2015 (-2.03%), 22 Apr 2015 (4.29%), 01 Sep 2015 (5.63%), 09 Dec 2015 (4.13%)
2014327 Jan 2014 (-2.39%), 28 Jan 2014 (6.76%), 28 Feb 2014 (5.71%)
2013714 Feb 2013 (-2.56%), 22 Feb 2013 (-2.66%), 26 Feb 2013 (-2.72%), 28 Feb 2013 (6.21%), 03 Jun 2013 (-3.3%), 10 Jun 2013 (-3.4%), 12 Jun 2013 (-3.33%)
2012211 May 2012 (-3.3%), 16 May 2012 (-3.42%)
2010806 Jan 2010 (-2.99%), 14 Jan 2010 (-2.84%), 27 Jan 2010 (-3.38%), 10 Feb 2010 (6.52%), 09 Nov 2010 (-2.58%), 15 Nov 2010 (-2.43%), 16 Nov 2010 (-2.64%), 26 Nov 2010 (6.32%)
2009128 Oct 2009 (7.86%)
2008303 Jan 2008 (-3.76%), 08 Jan 2008 (7.31%), 09 Jan 2008 (-4.55%)
2007213 Feb 2007 (-3.16%), 21 Nov 2007 (12.03%)
2006618 May 2006 (-4.99%), 19 May 2006 (-5.62%), 22 May 2006 (-6.9%), 09 Nov 2006 (-2.79%), 17 Nov 2006 (-2.58%), 20 Nov 2006 (5.28%)
2005610 Jan 2005 (-3.71%), 14 Mar 2005 (-3.06%), 17 Mar 2005 (-3.07%), 21 Mar 2005 (-3.54%), 14 Jun 2005 (5.3%), 28 Oct 2005 (9.27%)
2004410 May 2004 (-4.42%), 11 May 2004 (-4.93%), 14 May 2004 (-6.93%), 17 May 2004 (18.88%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play