Study: Buy MOTHERSUMI when below 200 SMA

home > technical-strategy > mothersumi > 57

In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when below 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
196396.9753936527334.2134090.91-5267.71-15481.411.391.510.0321285.29
2-25122.65753639487501.5938636.36-7568.71-19715.810.990.91-0.0074-334.97
312381.5775383750.679077.3925454.55-8988.09-22719.21.011.040.0032165.09
4-19459.3175324342.6712486.5941818.18-9744.89-38333.331.280.95-0.0039-259.46
551821.1675354046.6712863.0971363.64-9959.68-22142.861.291.130.0094690.95
61029277539365212981.8153181.82-11204.54-24327.931.161.260.021372.37
756007.0875373849.3313576.06103864-11744.92-27645.381.161.130.0086746.76
895219.1475344145.3315993.61100909-10940.57-27669.651.461.210.0151269.59
93028.8275373849.3315161.1778409.09-14682.49-35770.651.031.010.0004640.38
10147844753936521734577954.55-14683.65-40084.171.181.280.0211971.25

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.51. 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 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.

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
nilnil-1196396.9753936527334.2134090.91-5267.71-15481.411.391.510.0321285.29
atrnil314.75440211110298126.3645554.9351604-10875.08-23394.974.191.50.0224001.92
atrnil27.86122088117358229.9129346.92234402-11037.25-23394.972.661.130.00831043.49
atrtrail34.61-1278191454510031.0316962.1153727.84-8911.14-22509.451.90.86-0.012-881.51
atrtrail-15.24-1913601454510031.0315550.164039.36-8911.14-22509.451.750.79-0.019-1319.72
atrtrail24.18-2227381454510031.0314852.835818.56-8911.14-22509.451.670.75-0.025-1536.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. 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 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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, X=1, Profit Factor:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019824 Jan 2019 (-2.11%), 11 Feb 2019 (-2.98%), 27 Mar 2019 (2.32%), 02 May 2019 (0.93%), 23 May 2019 (3.41%), 19 Jul 2019 (1.0%), 02 Aug 2019 (-3.11%), 22 Aug 2019 (1.09%)
2018816 Feb 2018 (0.2%), 20 Mar 2018 (1.3%), 18 May 2018 (-0.46%), 25 Jun 2018 (-2.12%), 04 Sep 2018 (1.0%), 21 Sep 2018 (-7.71%), 08 Oct 2018 (-0.13%), 15 Nov 2018 (3.97%)
2016315 Jan 2016 (-3.78%), 10 Feb 2016 (-4.95%), 15 Nov 2016 (2.99%)
2015226 Aug 2015 (8.55%), 21 Sep 2015 (-7.74%)
2013128 Aug 2013 (4.13%)
2012303 May 2012 (-1.17%), 28 May 2012 (-0.24%), 03 Aug 2012 (2.61%)
2011509 Feb 2011 (-0.48%), 22 Aug 2011 (2.49%), 23 Sep 2011 (-0.89%), 09 Nov 2011 (-3.05%), 16 Dec 2011 (-3.71%)
2009115 Jun 2009 (3.15%)
2008609 May 2008 (-5.05%), 12 Jun 2008 (0.38%), 27 Jun 2008 (0.58%), 07 Oct 2008 (-5.83%), 17 Nov 2008 (2.66%), 03 Dec 2008 (17.05%)
2006202 Jun 2006 (3.93%), 07 Aug 2006 (-0.13%)
2005324 Feb 2005 (-1.32%), 15 Mar 2005 (1.21%), 28 Oct 2005 (0.92%)
2004416 Mar 2004 (3.02%), 27 Apr 2004 (-0.11%), 11 May 2004 (-4.76%), 21 Jun 2004 (3.25%)
2003111 Feb 2003 (0.0%)
2002614 Mar 2002 (6.59%), 03 Apr 2002 (7.96%), 15 May 2002 (-6.36%), 26 Jul 2002 (-7.54%), 01 Oct 2002 (-1.74%), 23 Oct 2002 (-3.46%)
2001413 Mar 2001 (-3.51%), 27 Apr 2001 (0.9%), 29 May 2001 (3.06%), 21 Aug 2001 (11.83%)
2000527 Mar 2000 (0.0%), 11 Apr 2000 (2.77%), 18 May 2000 (-3.85%), 15 Nov 2000 (-0.6%), 29 Dec 2000 (6.26%)
1998812 Jan 1998 (-2.56%), 27 Jan 1998 (0.0%), 17 Feb 1998 (-0.28%), 29 May 1998 (8.09%), 16 Jun 1998 (0.0%), 31 Jul 1998 (3.52%), 27 Aug 1998 (0.2%), 06 Oct 1998 (7.51%)
1997511 Sep 1997 (-3.1%), 25 Sep 1997 (2.63%), 23 Oct 1997 (0.82%), 26 Nov 1997 (3.76%), 15 Dec 1997 (5.0%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play