Study: Buy MRPL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy MRPL when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
11037.3360223836.674530.3316248.51-2595.53-9198.111.751.010.0008117.29
271907.18602733457878.2835013.26-4266.86-13059.71.851.510.0291198.45
311343460312951.677896.529708.22-4529.58-16091.951.741.860.0441890.56
414038860312951.679602.3148275.86-5423.56-15149.071.771.890.0462339.81
51608956033275510076.6768435.01-6356.87-17032.971.591.940.0452681.58
625446160342656.6712787.9590185.68-6935.72-19983.881.842.410.0544241.02
71674116033275511450.1967374.01-7794.27-25942.161.471.80.0382790.19
821074860352558.3312831.5165251.99-9534.2-34706.41.351.880.0453512.46
912952160283246.6715756.7476456.88-9739.62-34355.831.621.420.0252158.68
1011104560293148.3315829.987179.49-11226.52-34004.831.411.320.0211850.75
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MRPL Performance, X=6, Profit Factor:2.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017730 Jan 2017 (13.07%), 15 Feb 2017 (4.16%), 06 Mar 2017 (-2.76%), 14 Jun 2017 (-4.3%), 23 Aug 2017 (11.15%), 13 Oct 2017 (0.81%), 22 Dec 2017 (-2.26%)
2016529 Jan 2016 (-3.45%), 19 May 2016 (2.66%), 02 Jun 2016 (0.15%), 10 Nov 2016 (-6.99%), 20 Dec 2016 (3.62%)
2015406 May 2015 (1.03%), 20 May 2015 (-2.23%), 15 Jun 2015 (5.93%), 30 Jul 2015 (13.55%)
2014524 Jan 2014 (2.12%), 14 Mar 2014 (4.31%), 10 Jul 2014 (2.51%), 08 Sep 2014 (-4.06%), 11 Nov 2014 (-9.99%)
2013123 Jan 2013 (1.35%)
2012317 Sep 2012 (-1.99%), 30 Oct 2012 (4.03%), 13 Nov 2012 (-2.82%)
2011122 Jun 2011 (4.79%)
2010403 Feb 2010 (-5.16%), 14 Sep 2010 (-0.81%), 28 Sep 2010 (4.05%), 19 Oct 2010 (4.88%)
2009416 Jul 2009 (9.55%), 10 Aug 2009 (-2.15%), 12 Oct 2009 (0.17%), 29 Dec 2009 (6.71%)
2008114 May 2008 (1.14%)
2007402 Jul 2007 (0.24%), 19 Jul 2007 (3.7%), 02 Aug 2007 (-0.36%), 22 Aug 2007 (-1.19%)
2006223 Oct 2006 (-4.0%), 29 Nov 2006 (1.07%)
2005516 Feb 2005 (-2.71%), 08 Mar 2005 (-0.58%), 23 May 2005 (-0.94%), 06 Oct 2005 (-3.92%), 14 Dec 2005 (-2.34%)
2004404 Feb 2004 (10.47%), 11 Mar 2004 (-7.62%), 07 Apr 2004 (6.47%), 27 Apr 2004 (1.96%)
2003426 Mar 2003 (3.7%), 29 Jul 2003 (10.72%), 15 Oct 2003 (-6.46%), 31 Oct 2003 (27.37%)
2002104 Apr 2002 (-3.13%)
2000104 Jan 2000 (-0.87%)
1999216 Aug 1999 (45.09%), 17 Sep 1999 (4.42%)
1997212 Sep 1997 (-7.08%), 10 Oct 1997 (0.43%)

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
atrtrail-16.1120984872264636.1118700.11135953-6007.71-11289.753.111.760.032914.56
50trail-12.7813593394256926.613080.7371002.65-2769.34-3983.744.721.710.0281446.1
atrtrail24.5714191772264636.1116087.3530988.16-6007.71-11289.752.681.510.0351971.06
atrtrail35.4713745872264636.1115915.8942674.25-6007.71-11289.752.651.50.0311909.14
atrnil39.7714399461194231.1526885.7942674.25-8734.19-21555.33.081.390.0292360.56
atrnil26.4210994666254137.8818327.230988.16-8493.5-21555.32.161.320.0261665.85
50trail31.8331343.194286629.797831.1811519.71-2847.42-3983.742.751.170.014333.44
50trail21.5618192.1999356435.355944.957679.81-2966.89-3983.7421.10.0089183.76
50nil21.5811280.7398356335.715944.957679.81-3123.69-3997.661.91.060.0055115.11
50nil31.999393.5190246626.678909.8711519.71-3097.63-3997.662.881.050.0041104.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 36.11%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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.
MRPL Performance, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017830 Jan 2017 (8.42%), 15 Feb 2017 (3.28%), 06 Mar 2017 (-3.57%), 14 Jun 2017 (-3.43%), 23 Aug 2017 (6.4%), 13 Oct 2017 (6.15%), 22 Dec 2017 (-0.7%), 27 Dec 2017 (-2.28%)
2016529 Jan 2016 (-4.81%), 19 May 2016 (0.14%), 10 Nov 2016 (-3.86%), 23 Nov 2016 (8.54%), 20 Dec 2016 (-4.63%)
2015606 May 2015 (-1.64%), 14 May 2015 (-0.26%), 15 Jun 2015 (3.91%), 26 Jun 2015 (-4.37%), 30 Jul 2015 (8.66%), 10 Aug 2015 (-5.22%)
2014724 Jan 2014 (-3.38%), 04 Feb 2014 (-0.24%), 14 Mar 2014 (0.8%), 21 Mar 2014 (0.95%), 10 Jul 2014 (-0.78%), 08 Sep 2014 (-3.39%), 11 Nov 2014 (-3.21%)
2013123 Jan 2013 (-1.79%)
2012317 Sep 2012 (-3.92%), 30 Oct 2012 (1.19%), 13 Nov 2012 (-3.59%)
2011122 Jun 2011 (8.13%)
2010703 Feb 2010 (-3.97%), 14 Sep 2010 (-2.75%), 20 Sep 2010 (-1.81%), 27 Sep 2010 (-2.53%), 01 Oct 2010 (2.16%), 19 Oct 2010 (-2.93%), 20 Oct 2010 (2.41%)
2009416 Jul 2009 (14.68%), 10 Aug 2009 (-5.52%), 12 Oct 2009 (-0.58%), 29 Dec 2009 (3.71%)
2008114 May 2008 (0.26%)
2007502 Jul 2007 (-0.77%), 19 Jul 2007 (7.19%), 02 Aug 2007 (-1.47%), 10 Aug 2007 (-2.26%), 22 Aug 2007 (67.98%)
2006323 Oct 2006 (-1.93%), 29 Nov 2006 (-3.2%), 06 Dec 2006 (-2.55%)
2005616 Feb 2005 (-3.72%), 08 Mar 2005 (-3.29%), 16 Mar 2005 (-3.21%), 23 May 2005 (-1.92%), 06 Oct 2005 (-1.68%), 14 Dec 2005 (-3.08%)
2004404 Feb 2004 (5.16%), 11 Mar 2004 (-5.64%), 07 Apr 2004 (4.06%), 27 Apr 2004 (-2.85%)
2003426 Mar 2003 (6.15%), 29 Jul 2003 (8.3%), 15 Oct 2003 (-5.13%), 31 Oct 2003 (23.39%)
2002104 Apr 2002 (-5.48%)
2000104 Jan 2000 (-3.1%)
1999216 Aug 1999 (36.79%), 17 Sep 1999 (4.32%)
1997312 Sep 1997 (-4.54%), 10 Oct 1997 (-3.91%), 16 Oct 1997 (-3.3%)



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