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

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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 and RSI is above 50" 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
1-148.2135191654.293513.4310070.87-4181.46-15144.080.841-0.00018-4.23
2-4303.0435191654.295608.0918351.36-6928.55-24708.770.810.96-0.0031-122.94
347250.3135191654.297350.5525363.67-5775.63-19466.581.271.510.0331350.01
423176.7835191654.297409.0829765.01-7349.73-18117.721.011.20.015662.19
524465.3235191654.298652.0926855.65-8745.27-23812.650.991.170.014699.01
629714.2335181751.4311388.7835900.08-10310.81-28172.91.11.170.013848.98
739922.9335171848.5712830.0832294.62-9899.35-25199.261.31.220.0181140.66
846514.235161945.7113644.7531625.03-9042.2-24250.381.511.270.0211328.98
962026.8935201557.1410985.9229152.72-10512.76-29459.41.051.390.0291772.2
1050757.9935191654.2911512.2224002.06-10498.39-34318.231.11.30.0231450.23
Although, strategy looks good but profit factor on day 2 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
50trail31.8520301.1848133527.089142.9911238.22-2815.94-3940.453.251.210.017422.94
50nil31.8818558.5648133527.089817.8611238.22-3116.39-3953.493.151.170.014386.64
atrtrail23.8935681.6944152934.0917452.1327659.9-7796.56-16027.882.241.160.014810.95
atrtrail35.3935216.5744152934.0917421.1241489.86-7796.56-16027.882.231.160.012800.38
50trail-12.855314.2348103820.8311053.2826606.23-2768.91-3940.453.991.050.0035110.71
atrnil24.799146.7742152735.7117455.0827659.9-9358.5-16027.881.871.040.0035217.78
atrnil37.17586.5541113026.8325629.741489.86-9378-16027.882.7310.0001914.31
50trail21.55-8862.4749143528.576406.817492.15-2815.94-3940.452.280.91-0.0092-180.87
atrtrail-15.91-22159.5344152934.0913596.0537446.82-7796.56-16027.881.740.9-0.0092-503.63
50nil21.57-19378.3749143528.576406.817492.15-3116.39-3953.492.060.82-0.02-395.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 27.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017201 Sep 2017 (-1.12%), 06 Dec 2017 (5.28%)
2016520 Sep 2016 (-1.49%), 04 Oct 2016 (-0.64%), 27 Oct 2016 (-0.35%), 10 Nov 2016 (-1.87%), 28 Dec 2016 (3.78%)
2015215 May 2015 (-0.76%), 18 Jun 2015 (5.47%)
2014104 Feb 2014 (5.62%)
2013530 Apr 2013 (-1.97%), 05 Jul 2013 (4.56%), 24 Jul 2013 (-1.83%), 02 Aug 2013 (-1.79%), 11 Sep 2013 (5.28%)
2012125 Apr 2012 (-1.24%)
2011406 Jan 2011 (-1.42%), 29 Jun 2011 (-1.3%), 01 Jul 2011 (-1.54%), 11 Aug 2011 (-1.17%)
2010705 Mar 2010 (-1.41%), 06 Apr 2010 (5.15%), 12 Nov 2010 (-1.83%), 08 Dec 2010 (-1.51%), 10 Dec 2010 (-1.13%), 22 Dec 2010 (-1.09%), 30 Dec 2010 (-1.28%)
2009329 Jun 2009 (4.51%), 09 Jul 2009 (-1.68%), 15 Jul 2009 (5.26%)
2008205 Mar 2008 (-1.55%), 24 Apr 2008 (-1.9%)
2007920 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 (3.2%), 05 Nov 2007 (-1.36%)
2006108 Feb 2006 (-1.24%)
2005206 Dec 2005 (-1.12%), 09 Dec 2005 (4.93%)
2004116 Feb 2004 (-1.09%)
2003125 Sep 2003 (1.08%)
2000127 Oct 2000 (5.32%)
1999126 May 1999 (-1.3%)



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