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

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when near 200 SMA and 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 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
1-2994.25251213486782.232052.21-6490.82-15714.291.040.96-0.0027-119.77
228560.53251015409355.8331052.85-4333.19-18285.712.161.440.0251142.42
34634.252510154010402.3432632.34-6625.94-32571.431.571.050.0033185.37
435777.762510154013605.4131298.65-6685.09-25714.292.041.360.0221431.11
562177.62510154016129.8637607.54-6608.06-25714.292.441.630.0372487.1
684673.712511144416200.7740966.82-6681.06-22857.142.421.910.0493386.95
71368842515106013476.6257353.54-6526.5-25714.292.063.10.0775475.37
81025772512134816008.0648996.31-6886.15-34285.712.322.150.0564103.07
91327512514115616359.3647521.51-8752.73-31142.861.872.380.0685310.04
101348282513125217341.7554403.93-7551.19-28571.432.32.490.0665393.14
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=7, Profit Factor:3.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018206 Apr 2018 (-0.17%), 03 May 2018 (-2.2%)
2016219 May 2016 (4.83%), 18 Nov 2016 (4.46%)
2013127 Aug 2013 (0.33%)
2012316 Apr 2012 (0.11%), 28 Apr 2012 (-7.48%), 13 Jul 2012 (-0.92%)
2011106 Sep 2011 (-3.7%)
2009209 Apr 2009 (12.91%), 12 Jun 2009 (0.94%)
2008325 Jan 2008 (-0.54%), 19 Mar 2008 (10.16%), 10 Apr 2008 (-0.41%)
2006422 Jun 2006 (-1.69%), 31 Aug 2006 (2.43%), 14 Sep 2006 (8.64%), 21 Nov 2006 (10.76%)
2005218 Jul 2005 (3.43%), 31 Oct 2005 (6.69%)
2002120 Aug 2002 (2.18%)
2000316 Mar 2000 (4.55%), 10 Apr 2000 (-2.65%), 02 Aug 2000 (28.68%)
1998120 Nov 1998 (-12.86%)

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
atrtrail36.112312129141548.2818073.0153898.84-8660.11-19734.662.091.950.0544245.54
atrtrail25.112139829141548.281795036261.5-8660.11-19734.662.071.930.0584186.15
atrnil311.12129420259163633966.7453898.84-11017.55-21890.753.081.730.0495176.8
atrtrail-17.174039.9529131644.8315756.1149256.85-8174.34-19734.661.931.570.0362553.1
atrnil26.4690659.4126111542.3123107.9436261.5-10901.86-21890.752.121.550.0423486.9
200trail-12.24-1018.923773018.9211603.3339400-2741.41-3990.934.230.99-0.00073-27.54
200nil21.54-14624.1137102727.036290.017938.18-2871.27-3990.932.190.81-0.021-395.25
200trail21.39-15186.2438102826.326290.017938.18-2788.8-3990.932.260.81-0.021-399.64
200trail31.73-17436.163782921.628025.3511907.27-2815.14-3990.932.850.79-0.021-471.25
200nil31.89-20693.513672919.449053.4611907.27-2898.89-3990.933.120.75-0.026-574.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. 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 48.28%, which is not acceptable. Avoid this strategy. Average return per trade is 2.12%, which is very good. Sharpe Ratio is 0.054, 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:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018406 Apr 2018 (-2.25%), 16 Apr 2018 (0.83%), 03 May 2018 (-2.3%), 07 May 2018 (-2.61%)
2016219 May 2016 (-4.26%), 18 Nov 2016 (9.57%)
2013227 Aug 2013 (-4.82%), 05 Sep 2013 (13.89%)
2012316 Apr 2012 (10.31%), 26 Apr 2012 (-3.8%), 13 Jul 2012 (-1.71%)
2011106 Sep 2011 (-2.67%)
2009309 Apr 2009 (26.95%), 12 Jun 2009 (-5.56%), 19 Jun 2009 (5.87%)
2008325 Jan 2008 (-9.87%), 19 Mar 2008 (7.12%), 10 Apr 2008 (-4.2%)
2006422 Jun 2006 (-7.15%), 31 Aug 2006 (-4.53%), 14 Sep 2006 (6.0%), 21 Nov 2006 (8.78%)
2005218 Jul 2005 (1.37%), 31 Oct 2005 (2.5%)
2002120 Aug 2002 (-5.38%)
2000316 Mar 2000 (19.21%), 10 Apr 2000 (0.16%), 02 Aug 2000 (13.95%)
1998120 Nov 1998 (-3.84%)



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