Study: Buy MOTHERSUMI when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy MOTHERSUMI 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
1-821.88683434504107.4316058.99-4131.61-15199.780.990.99-0.00047-12.09
296148.3768363252.946712.8531052.85-4547.32-24708.771.481.660.0381413.95
318835968392957.358833.0125363.67-5383.73-19466.581.642.210.0652769.99
420389168412760.299244.7931298.65-6486.85-18117.721.432.160.0632998.4
518219468402858.829974.4237607.54-7742.26-21919.071.291.840.0512679.32
628586468412760.2912874.0246118.3-8961.9-28172.91.442.180.0624203.88
722785268373154.4113667.0957353.54-8962.27-26977.421.521.820.0483350.76
824325368412760.2911665.1548996.31-8704.35-30968.681.342.040.0583577.26
929002368412760.2912825.1747521.51-8733.66-20908.21.472.230.0674265.05
1034852168422661.7613183.0354403.93-7891.02-23787.531.672.70.0815125.3
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MOTHERSUMI Performance, X=10, Profit Factor:2.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017410 Aug 2017 (-1.8%), 01 Sep 2017 (4.28%), 15 Nov 2017 (4.12%), 06 Dec 2017 (8.1%)
2016724 Jun 2016 (1.6%), 11 Jul 2016 (14.08%), 20 Sep 2016 (1.72%), 04 Oct 2016 (0.56%), 27 Oct 2016 (-0.53%), 10 Nov 2016 (-7.37%), 28 Dec 2016 (4.93%)
2015626 Feb 2015 (9.15%), 26 Mar 2015 (8.88%), 06 May 2015 (-3.13%), 18 Jun 2015 (7.84%), 28 Jul 2015 (4.69%), 14 Aug 2015 (-7.9%)
2014304 Feb 2014 (12.0%), 08 Oct 2014 (4.02%), 11 Dec 2014 (3.62%)
2013625 Mar 2013 (-8.33%), 30 Apr 2013 (6.78%), 05 Jul 2013 (7.77%), 24 Jul 2013 (-1.26%), 07 Aug 2013 (-0.82%), 11 Sep 2013 (9.0%)
2012125 Apr 2012 (-8.87%)
2011411 May 2011 (6.81%), 16 Jun 2011 (1.1%), 01 Jul 2011 (6.61%), 29 Jul 2011 (-1.07%)
2010805 Mar 2010 (0.29%), 06 Apr 2010 (5.04%), 04 May 2010 (-0.36%), 16 Sep 2010 (4.42%), 28 Oct 2010 (1.02%), 12 Nov 2010 (-2.93%), 08 Dec 2010 (-2.6%), 30 Dec 2010 (-1.85%)
2009329 Jun 2009 (-3.61%), 15 Jul 2009 (3.84%), 10 Aug 2009 (9.31%)
2008205 Mar 2008 (-9.53%), 10 Apr 2008 (-0.88%)
2007908 Feb 2007 (1.44%), 27 Feb 2007 (-2.99%), 30 Mar 2007 (-1.16%), 23 Apr 2007 (2.1%), 14 May 2007 (15.71%), 03 Aug 2007 (2.06%), 21 Aug 2007 (12.37%), 15 Oct 2007 (-0.83%), 05 Nov 2007 (2.26%)
2006419 Jan 2006 (-3.63%), 08 Feb 2006 (-4.14%), 23 Oct 2006 (8.95%), 22 Nov 2006 (7.17%)
2005318 Jan 2005 (11.16%), 14 Oct 2005 (-11.89%), 06 Dec 2005 (3.76%)
2004221 Jan 2004 (-6.83%), 16 Feb 2004 (-8.27%)
2003203 Sep 2003 (4.02%), 25 Sep 2003 (9.39%)
2000302 Aug 2000 (27.2%), 11 Oct 2000 (6.17%), 27 Oct 2000 (11.52%)
1999119 May 1999 (0.0%)

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
50trail-13.0399714.59105258023.8112839.3442000-2765.86-3987.434.641.450.025949.66
atrtrail35.214710387325536.7817574.2841489.86-7550.43-16027.882.331.350.0261690.84
atrnil25.141436978032484018281.1731561.16-9193.75-16027.881.991.330.0281796.22
atrnil37.314865576245231.5826541.943320.23-9391.35-16027.882.831.30.0241955.99
50trail31.7563283.43107327529.918664.4911238.22-2853.07-3987.433.041.30.023591.43
50nil31.7756790.58106317529.259164.5211238.22-3030.79-3987.433.021.250.021535.76
atrtrail24.1510219787335437.9315679.8131561.16-7689.57-16027.882.041.250.021174.68
atrtrail-15.9330352.1787325536.7813925.842122.62-7550.43-16027.881.841.070.006348.88
50trail21.49-854.87109357432.116054.87492.15-2875.31-3987.432.111-0.0004-7.84
50nil21.5-12626.38109357432.116054.87492.15-3034.38-3987.4320.94-0.0058-115.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 23.81%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
MOTHERSUMI Performance, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017610 Aug 2017 (-1.06%), 21 Aug 2017 (-1.2%), 01 Sep 2017 (-1.12%), 15 Nov 2017 (0.97%), 21 Nov 2017 (-1.83%), 06 Dec 2017 (3.88%)
2016924 Jun 2016 (-1.39%), 29 Jun 2016 (3.17%), 07 Jul 2016 (-1.07%), 08 Jul 2016 (21.0%), 20 Sep 2016 (-1.49%), 04 Oct 2016 (-0.64%), 27 Oct 2016 (-0.35%), 10 Nov 2016 (-1.87%), 28 Dec 2016 (2.16%)
2015826 Feb 2015 (-1.37%), 28 Feb 2015 (1.61%), 26 Mar 2015 (7.23%), 06 May 2015 (-1.63%), 15 May 2015 (-0.76%), 18 Jun 2015 (2.94%), 28 Jul 2015 (12.17%), 14 Aug 2015 (-1.66%)
2014504 Feb 2014 (13.3%), 08 Oct 2014 (-1.92%), 13 Oct 2014 (-1.43%), 20 Oct 2014 (8.99%), 11 Dec 2014 (-1.38%)
2013725 Mar 2013 (-1.46%), 30 Apr 2013 (-1.97%), 05 Jul 2013 (5.06%), 24 Jul 2013 (-1.83%), 02 Aug 2013 (-1.79%), 07 Aug 2013 (9.76%), 11 Sep 2013 (3.24%)
2012125 Apr 2012 (-1.24%)
2011806 Jan 2011 (-1.42%), 11 May 2011 (-1.7%), 19 May 2011 (0.72%), 16 Jun 2011 (-1.99%), 29 Jun 2011 (-1.3%), 01 Jul 2011 (-1.54%), 29 Jul 2011 (-0.01%), 11 Aug 2011 (-1.17%)
20101305 Mar 2010 (-1.41%), 06 Apr 2010 (11.52%), 04 May 2010 (-1.62%), 05 May 2010 (-1.72%), 16 Sep 2010 (9.49%), 28 Oct 2010 (-1.92%), 01 Nov 2010 (-1.07%), 08 Nov 2010 (-1.08%), 15 Nov 2010 (-1.17%), 08 Dec 2010 (-1.51%), 10 Dec 2010 (-1.13%), 22 Dec 2010 (-1.09%), 30 Dec 2010 (-1.28%)
2009429 Jun 2009 (-0.67%), 09 Jul 2009 (-1.68%), 15 Jul 2009 (-1.75%), 10 Aug 2009 (-1.92%)
2008305 Mar 2008 (-1.55%), 10 Apr 2008 (-1.31%), 24 Apr 2008 (-1.9%)
20071808 Feb 2007 (-1.66%), 20 Feb 2007 (-1.59%), 21 Feb 2007 (-1.58%), 27 Feb 2007 (-1.84%), 01 Mar 2007 (-1.34%), 30 Mar 2007 (-1.14%), 04 Apr 2007 (-1.86%), 05 Apr 2007 (-1.95%), 11 Apr 2007 (-0.91%), 23 Apr 2007 (-1.76%), 14 May 2007 (1.2%), 03 Aug 2007 (-1.45%), 07 Aug 2007 (1.75%), 14 Aug 2007 (-1.09%), 21 Aug 2007 (-1.52%), 15 Oct 2007 (-1.02%), 17 Oct 2007 (-1.0%), 05 Nov 2007 (-1.36%)
2006619 Jan 2006 (-1.41%), 08 Feb 2006 (-1.24%), 23 Oct 2006 (-1.05%), 01 Nov 2006 (-1.32%), 06 Nov 2006 (6.01%), 22 Nov 2006 (-1.03%)
2005518 Jan 2005 (-1.86%), 25 Jan 2005 (12.46%), 14 Oct 2005 (-1.92%), 06 Dec 2005 (-1.12%), 09 Dec 2005 (2.33%)
2004221 Jan 2004 (-1.14%), 16 Feb 2004 (-1.09%)
2003403 Sep 2003 (-1.99%), 05 Sep 2003 (8.7%), 16 Sep 2003 (-0.6%), 25 Sep 2003 (1.08%)
2000402 Aug 2000 (-1.3%), 11 Oct 2000 (-1.09%), 18 Oct 2000 (-1.18%), 27 Oct 2000 (9.75%)
1999219 May 1999 (-1.56%), 26 May 1999 (-1.3%)



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