Study: Buy MOTHERSUMI when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when 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
149782.6339211853.856953.9518311.4-5347.24-18867.921.31.520.0341276.48
213809739231658.9711823.0331052.85-8364.57-30714.291.412.030.0573540.94
317904339251464.112302.1643728.81-9179.33-42857.141.342.390.0674590.85
417213939271269.2311763.6231298.65-12123.23-42642.860.972.180.0634413.82
526668339261366.6715450.9637607.54-10387.83-42857.141.492.970.0926838.03
627432639261366.6715868.7543727.31-10635.49-42857.141.492.980.0927034
734144039261366.6719491.2557353.54-12717.92-42857.141.533.070.0948754.86
831501739261366.6719152.3850300.12-14072.7-42857.141.362.720.0868077.35
936254639271269.2319835.7647521.51-14418.29-42857.141.383.10.0989296.05
1029837739251464.120003.1654403.93-14407.28-35714.291.392.480.0797650.69

From the table above, we see that best results are achieved by holding positions for 9 trading days. Profit factor is 3.1. Strategy is very good and impressively bullish. Percentage of profitable trades is 69.23%, which is good. Average return per trade is 4.65%, which is very good. Sharpe Ratio is 0.098, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MOTHERSUMI Performance, X=9, Profit Factor:3.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018225 Jan 2018 (-1.66%), 15 Feb 2018 (-3.28%)
2017122 Nov 2017 (5.04%)
2016229 Sep 2016 (7.81%), 03 Nov 2016 (-5.54%)
2015506 Feb 2015 (11.42%), 27 Apr 2015 (12.52%), 08 Jun 2015 (8.63%), 27 Jul 2015 (5.78%), 20 Aug 2015 (-10.39%)
2014229 Jan 2014 (20.52%), 10 Oct 2014 (10.45%)
2013305 Feb 2013 (4.74%), 01 Apr 2013 (-3.18%), 13 Jun 2013 (1.45%)
2011417 Jan 2011 (2.04%), 16 May 2011 (8.61%), 20 Jun 2011 (5.77%), 05 Aug 2011 (-8.4%)
2010416 Feb 2010 (5.44%), 31 Mar 2010 (22.67%), 07 May 2010 (2.91%), 26 May 2010 (11.84%)
2008118 Jan 2008 (-9.74%)
2007219 Oct 2007 (2.73%), 02 Nov 2007 (4.5%)
2006225 Jan 2006 (3.93%), 19 May 2006 (-2.02%)
2005120 Oct 2005 (-0.5%)
2004221 Jan 2004 (-8.65%), 22 Dec 2004 (23.35%)
2003104 Sep 2003 (8.28%)
2000307 Mar 2000 (-21.43%), 02 Aug 2000 (23.76%), 10 Oct 2000 (12.36%)
1999428 Apr 1999 (20.17%), 28 May 1999 (16.82%), 15 Oct 1999 (-11.71%), 05 Nov 1999 (4.26%)

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-1936254639271269.2319835.7647521.51-14418.29-42857.141.383.10.0989296.05
atrnil39.0639366449222744.929517.2147062.85-9470.89-17021.333.122.540.0858033.97
atrtrail34.12927076030305017153.8537141.09-7396.96-16069.422.322.320.0714878.44
atrnil25.0929395753272650.9419666.0231375.23-9116.38-17021.332.162.240.0795546.35
atrtrail23.1725370560312951.6715209.7333132.57-7510.23-16069.422.032.160.074228.42
atrtrail-15.122236736030305014852.7239051.99-7396.96-16069.422.012.010.0593727.88

In the table above, row 1 shows the best exit criterion. Profit factor is 3.1. Strategy is very good and impressively bullish. Percentage of profitable trades is 69.23%, which is good. Average return per trade is 4.65%, which is very good. Sharpe Ratio is 0.098, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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