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

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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 and RSI is above 50" 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
11017.6131112035.485365.516248.51-2900.15-9004.741.851.020.001332.83
259478.9131151648.399091.935013.26-4806.23-10692.381.891.770.0391918.67
397258.2631181358.069045.4329708.22-5043.03-15471.391.792.480.0643137.36
414701931211067.749826.3348275.86-5933.39-15149.071.663.480.0814742.55
514944631171454.8413961.9368435.01-6279.08-15310.232.222.70.0654820.83
620593031171454.8417363.5890185.68-6375.06-19983.882.723.310.0686642.9
713425831161551.6116775.4967374.01-8943.34-25942.161.8820.0464330.89
817313931161551.6119937.0965251.99-9723.65-34706.42.052.190.0555585.12
911567331141745.1621677.2976456.88-11047.56-34355.831.961.620.0343731.4
1011725831151648.3920172.3587179.49-11582.98-34004.831.741.630.0363782.5
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=4, Profit Factor:3.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017323 Aug 2017 (5.66%), 13 Oct 2017 (0.19%), 22 Dec 2017 (0.47%)
2016202 Jun 2016 (0.6%), 23 Nov 2016 (10.39%)
2015220 May 2015 (-3.66%), 15 Jun 2015 (6.58%)
2014504 Feb 2014 (0.82%), 14 Mar 2014 (-0.12%), 16 Jul 2014 (0.95%), 08 Sep 2014 (-3.83%), 11 Nov 2014 (-7.57%)
2010214 Sep 2010 (-0.44%), 28 Sep 2010 (0.7%)
2009210 Aug 2009 (1.14%), 29 Dec 2009 (2.85%)
2007302 Jul 2007 (0.48%), 19 Jul 2007 (5.97%), 29 Aug 2007 (11.27%)
2006230 Oct 2006 (-5.26%), 29 Nov 2006 (1.07%)
2005308 Mar 2005 (-2.9%), 23 May 2005 (-0.73%), 14 Dec 2005 (-1.12%)
2004211 Mar 2004 (-4.03%), 07 Apr 2004 (5.94%)
2003229 Jul 2003 (13.99%), 31 Oct 2003 (5.87%)
2000104 Jan 2000 (3.47%)
1999116 Aug 1999 (24.14%)
1997110 Oct 1997 (0.65%)

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-15.4722391438142436.8425588.1133562-5596.66-11289.754.572.670.0475892.47
50trail-13.0214385745133228.8918161.5871002.65-2882.61-3853.146.32.560.0463196.82
atrtrail34.4511072938142436.8417503.4840750.64-5596.66-11289.753.131.820.0462913.92
atrnil36.7910917334112332.3525602.4440750.64-7498.01-13667.983.411.630.0423210.96
atrtrail23.7671862.438142436.8414727.327167.09-5596.66-11289.752.631.540.0371891.12
atrnil24.9478179.0534142041.1816405.1827167.09-7574.67-13667.982.171.520.042299.38
50trail328582.9945143131.117160.5411519.71-2956.92-3853.142.421.090.0079190.73
50trail21.728223.5147173036.175831.97679.81-3030.63-3853.141.921.090.0085174.97
50nil21.763775.1446172936.965831.97679.81-3288.52-3917.681.771.040.003982.07
50nil32.21-4955.5142113126.198666.2711519.71-3234.98-3917.682.680.95-0.0046-117.99

In the table above, row 1 shows the best exit criterion. Profit factor is 2.67. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 2.95%, which is very good. Sharpe Ratio is 0.047, 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:2.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017423 Aug 2017 (6.4%), 13 Oct 2017 (6.15%), 22 Dec 2017 (-0.7%), 27 Dec 2017 (-2.28%)
2016202 Jun 2016 (-1.87%), 23 Nov 2016 (8.54%)
2015220 May 2015 (-3.96%), 15 Jun 2015 (3.91%)
2014604 Feb 2014 (-0.24%), 14 Mar 2014 (0.8%), 21 Mar 2014 (0.95%), 16 Jul 2014 (-1.94%), 08 Sep 2014 (-3.39%), 11 Nov 2014 (-3.21%)
2010414 Sep 2010 (-2.75%), 20 Sep 2010 (-1.81%), 27 Sep 2010 (-2.53%), 01 Oct 2010 (2.16%)
2009210 Aug 2009 (-5.52%), 29 Dec 2009 (3.71%)
2007302 Jul 2007 (-0.77%), 19 Jul 2007 (7.19%), 29 Aug 2007 (66.78%)
2006330 Oct 2006 (-2.99%), 29 Nov 2006 (-3.2%), 06 Dec 2006 (-2.55%)
2005408 Mar 2005 (-3.29%), 16 Mar 2005 (-3.21%), 23 May 2005 (-1.92%), 14 Dec 2005 (-3.08%)
2004211 Mar 2004 (-5.64%), 07 Apr 2004 (4.06%)
2003229 Jul 2003 (8.3%), 31 Oct 2003 (23.39%)
2000104 Jan 2000 (-3.1%)
1999116 Aug 1999 (36.79%)
1997210 Oct 1997 (-3.91%), 16 Oct 1997 (-3.3%)



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