Study: Buy MARUTI when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy MARUTI when above 200 SMA and RSI is oversold" 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
15812.9695455.567043.0415255.14-7350.57-12343.370.961.20.018645.88
25986.1495455.565675.089415.62-5597.32-7113.861.011.270.027665.13
329828.2696366.678545.3116629.58-7147.86-13257.641.22.390.0923314.25
423894.9695455.569955.4320915.8-6470.55-11549.071.541.920.0672655
510364.2395455.569600.2716863.8-9409.29-16663.961.021.280.0271151.58
616801.1296366.677590.0422110.32-9579.7-12965.670.791.580.0461866.79
7-4734.6494544.4410104.0212788.38-9030.14-17896.731.120.9-0.012-526.07
8-36960.6394544.449165.9912810.2-14724.92-26288.190.620.5-0.077-4106.74
9-10245.4495455.569170.1218738.51-14024.01-25455.530.650.82-0.021-1138.38
10-31534.5793633.3312366.4120967.37-11438.96-21324.681.080.54-0.067-3503.84
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:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016207 Jan 2016 (-0.03%), 11 Nov 2016 (-4.06%)
2014128 Jan 2014 (4.49%)
2013126 Feb 2013 (1.43%)
2012116 May 2012 (1.4%)
2008109 Jan 2008 (-6.63%)
2006222 May 2006 (5.92%), 20 Nov 2006 (4.08%)
2004114 May 2004 (8.31%)

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
atrtrail22.3366031.54157846.6717363.9837760.82-6939.54-13865.592.52.190.0724402.1
atrnil22.7762750.94136746.1520164.6737760.82-8319.58-13865.592.422.080.0734827
atrnil311.4622871.04134930.7726550.452148.48-9258.95-18880.412.871.270.0231759.31
atrtrail33.676406.77157846.678846.1618557.15-6939.54-13865.591.271.120.011427.12
atrtrail-13.81824.7157846.678191.5818557.15-6939.54-13865.591.181.030.0033121.65

In the table above, row 1 shows the best exit criterion. Profit factor is 2.19. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 2.2%, which is very good. 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:2.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016407 Jan 2016 (-2.05%), 11 Nov 2016 (-2.55%), 15 Nov 2016 (-0.04%), 21 Nov 2016 (6.18%)
2014128 Jan 2014 (6.76%)
2013226 Feb 2013 (-2.49%), 28 Feb 2013 (6.21%)
2012216 May 2012 (-2.24%), 18 May 2012 (0.08%)
2008109 Jan 2008 (-4.55%)
2006322 May 2006 (-6.9%), 01 Jun 2006 (17.38%), 20 Nov 2006 (5.28%)
2004214 May 2004 (-6.93%), 17 May 2004 (18.88%)



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