Study: Sell MRPL when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell MRPL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell MRPL 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. buy 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
1-71111.1562303248.392741.037392.2-4791.94-45501.860.570.54-0.035-1146.95
2-10621762303248.393761.6411838.01-6845.83-32565.060.550.52-0.047-1713.18
3-16338662253740.324702.7311330.05-7593.35-60074.350.620.42-0.054-2635.25
4-19788862263641.945101.9813793.1-9181.64-54572.490.560.4-0.063-3191.74
5-24898662233937.16831.8917860.85-10413.32-816000.660.39-0.057-4015.9
6-32090162243838.717213.8520216.61-13000.89-1520000.550.35-0.05-5175.83
7-18302662293346.779098.9227906.98-13542.25-1240000.670.59-0.032-2952.03
8-15724362323051.618096.1222441.86-13877.31-984000.580.62-0.031-2536.18
9-21204862303248.398338.6228372.09-14443.96-760000.580.54-0.044-3420.13
10-22172262263641.949469.3938837.21-12997.94-752000.730.53-0.044-3576.16
Although, strategy looks good but profit factor on day 6 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
atrnil37.69-15766965125318.4627309.0541123.13-9158.07-38281.852.980.68-0.033-2425.68
atrnil26.06-16606667165123.8818434.7435065.26-9039.64-38281.852.040.64-0.04-2478.59
atrtrail34.66-15162373175623.2911911.9541123.13-6323.68-38281.851.880.57-0.039-2077.02
atrtrail24.4-18190273175623.2910130.8127415.42-6323.68-38281.851.60.49-0.055-2491.81
200nil21.49-145308110218919.095766.337833.68-2993.27-3992.191.930.45-0.079-1320.99
200nil31.69-153371108149412.968965.1111750.51-2966.84-3992.193.020.45-0.073-1420.1
200trail21.47-150909110209018.185662.977743.21-2935.2-3992.191.930.43-0.085-1371.9
atrtrail-14.97-20399473175623.298831.334106.64-6323.68-38281.851.40.42-0.063-2794.44
200trail31.61-160747109139611.938750.8511614.81-2859.46-3992.193.060.41-0.08-1474.74
200trail-12.06-195924109129711.016843.6427852.22-2866.47-3992.192.390.3-0.092-1797.47

In the table above, row 1 shows the best exit criterion. Profit factor is 0.68. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, Profit Factor:0.675

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018302 Jan 2018 (-2.9%), 18 Jan 2018 (-3.47%), 25 Jan 2018 (10.06%)
2017314 Nov 2017 (-3.66%), 30 Nov 2017 (-3.23%), 13 Dec 2017 (-2.94%)
2016119 Jan 2016 (16.37%)
2015226 Nov 2015 (-3.74%), 29 Dec 2015 (-3.74%)
2014228 Feb 2014 (-3.36%), 14 Nov 2014 (11.16%)
2013605 Feb 2013 (-3.22%), 13 Feb 2013 (-3.37%), 18 Feb 2013 (13.41%), 20 Nov 2013 (-4.55%), 04 Dec 2013 (-4.59%), 10 Dec 2013 (-4.81%)
2012707 Feb 2012 (-3.86%), 15 Mar 2012 (-4.11%), 10 Apr 2012 (16.05%), 16 Aug 2012 (-3.85%), 18 Sep 2012 (-3.92%), 23 Nov 2012 (-3.32%), 13 Dec 2012 (-3.07%)
2011421 Apr 2011 (-3.33%), 05 May 2011 (-3.27%), 23 May 2011 (-3.67%), 21 Jun 2011 (-3.83%)
2010427 Jan 2010 (-4.13%), 28 Jul 2010 (-3.22%), 27 Aug 2010 (-3.59%), 30 Sep 2010 (-2.64%)
2008322 Jan 2008 (-19.14%), 10 Mar 2008 (-10.25%), 26 May 2008 (20.56%)
2007405 Jan 2007 (-3.66%), 15 Feb 2007 (13.48%), 26 Apr 2007 (-3.18%), 06 Jun 2007 (-4.45%)
2006504 Apr 2006 (-3.17%), 20 Apr 2006 (-4.89%), 04 Sep 2006 (-4.16%), 19 Sep 2006 (-4.56%), 19 Oct 2006 (10.11%)
2005710 May 2005 (-3.81%), 27 May 2005 (-3.1%), 13 Jun 2005 (-3.11%), 16 Jun 2005 (-3.28%), 24 Aug 2005 (-4.07%), 11 Nov 2005 (-3.77%), 15 Dec 2005 (9.28%)
2004120 May 2004 (-10.68%)
2003204 Feb 2003 (-6.17%), 03 Mar 2003 (-5.6%)
2002112 Aug 2002 (-8.77%)
2000111 Jan 2000 (20.14%)
1999331 May 1999 (-7.98%), 15 Dec 1999 (-5.68%), 23 Dec 1999 (-6.33%)
1998108 Jan 1998 (12.53%)
1997420 Jun 1997 (-3.9%), 20 Nov 1997 (-3.54%), 28 Nov 1997 (10.7%), 24 Dec 1997 (-3.06%)
1995122 Nov 1995 (-4.99%)



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