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

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In this study, we evaluate the performance of strategy "Buy MRPL when near 200 SMA and 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 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
114835.9458273146.554329.8113374.49-3292.55-10630.221.321.150.011255.79
29162.2958273146.555860.1717901.23-4808.46-21505.381.221.060.0045157.97
355884.3458263244.838425.0925925.93-5099-17443.251.651.340.023963.52
475554.5958263244.839519.8830731.71-5373.82-17891.871.771.440.0281302.67
562935.458273146.559921.9623902.44-6611.53-16491.641.51.310.0231085.09
625571.5158263244.8310137.3630452.67-7437.5-21951.221.361.110.0085440.89
734410.3958273146.559462.2825308.64-7131.33-25609.761.331.160.012593.28
875178.7258332556.98110.2624691.36-7698.4-26565.731.051.390.0261296.18
912848358342458.629568.9427366.26-8202.55-34686.851.171.650.042215.22
1013442158332556.910896.8629253.11-9007.02-29593.941.211.60.0392317.6
Although, strategy looks good but profit factor on day 2 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
200nil21.4945218.8694365838.35911.017946.64-2889.27-3979.682.051.270.023481.05
200trail21.4743589.3395365937.895881.777946.64-2850.07-3979.682.061.260.022458.84
200trail-12.7635270.0689256428.098475.1526255.59-2759.51-3979.683.071.20.013396.29
200nil32.1233449.2985246128.248812.1311845.21-2918.72-3979.683.021.190.015393.52
atrnil27.3854925.4658213736.2117636.1849412.23-8525.25-13843.362.071.170.015946.99
atrnil310.5740971.2453143926.422680974118.35-8573.2-13843.363.131.120.0094773.04
atrtrail25.0131668.3568234533.8212773.9649412.23-5825.17-13169.442.191.120.0088465.71
200trail31.8420857.6891276429.677281.7211220.45-2746.08-3979.682.651.120.0099229.21
atrtrail35.72-671.0468234533.8211367.932910.41-5825.17-13169.441.951-0.0002-9.87
atrtrail-16.12-67252.6968234533.828473.0522417.93-5825.17-13169.441.450.74-0.025-989.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 38.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018403 Jan 2018 (3.18%), 29 Jan 2018 (-1.6%), 31 Jan 2018 (-1.83%), 01 Feb 2018 (-1.86%)
2017213 Nov 2017 (-1.35%), 01 Dec 2017 (-1.17%)
2016225 Jan 2016 (-1.16%), 29 Jan 2016 (-1.8%)
2015407 Dec 2015 (-1.46%), 16 Dec 2015 (3.74%), 28 Dec 2015 (-1.25%), 30 Dec 2015 (2.77%)
2014124 Feb 2014 (-1.33%)
2013704 Feb 2013 (-1.44%), 12 Feb 2013 (-1.29%), 26 Nov 2013 (-1.89%), 28 Nov 2013 (2.29%), 29 Nov 2013 (2.92%), 02 Dec 2013 (-1.66%), 12 Dec 2013 (-1.29%)
20121322 Feb 2012 (-1.79%), 27 Feb 2012 (2.98%), 07 Mar 2012 (2.8%), 20 Mar 2012 (2.89%), 19 Apr 2012 (-1.61%), 03 Sep 2012 (-1.11%), 17 Sep 2012 (2.18%), 19 Nov 2012 (-1.56%), 05 Dec 2012 (2.37%), 11 Dec 2012 (-1.92%), 14 Dec 2012 (-1.21%), 18 Dec 2012 (-1.76%), 31 Dec 2012 (2.97%)
2011518 Apr 2011 (-1.13%), 29 Apr 2011 (-1.38%), 30 May 2011 (2.85%), 20 Jun 2011 (-1.28%), 05 Aug 2011 (-1.4%)
20101029 Jan 2010 (2.53%), 02 Feb 2010 (2.97%), 04 Feb 2010 (-1.15%), 12 Apr 2010 (-1.77%), 06 Aug 2010 (3.66%), 26 Aug 2010 (-1.03%), 03 Sep 2010 (2.38%), 09 Sep 2010 (3.78%), 16 Nov 2010 (-1.9%), 18 Nov 2010 (-1.09%)
2007712 Jan 2007 (3.49%), 27 Apr 2007 (-1.63%), 04 Jun 2007 (2.37%), 19 Jun 2007 (-1.24%), 27 Jun 2007 (-1.67%), 29 Jun 2007 (2.04%), 05 Jul 2007 (3.95%)
20061124 Apr 2006 (-1.23%), 20 Sep 2006 (-1.66%), 04 Oct 2006 (3.97%), 11 Oct 2006 (3.28%), 17 Oct 2006 (-1.25%), 23 Oct 2006 (-1.54%), 16 Nov 2006 (3.04%), 17 Nov 2006 (-1.07%), 21 Nov 2006 (-1.12%), 28 Nov 2006 (2.22%), 08 Dec 2006 (-1.54%)
20051020 Jan 2005 (3.74%), 23 Mar 2005 (-1.99%), 30 Mar 2005 (3.85%), 27 Apr 2005 (-1.01%), 09 May 2005 (-1.33%), 23 May 2005 (2.54%), 26 May 2005 (-1.08%), 10 Jun 2005 (-1.4%), 22 Jul 2005 (3.49%), 14 Dec 2005 (-1.04%)
2003505 Feb 2003 (-1.6%), 12 Feb 2003 (-1.46%), 18 Feb 2003 (2.69%), 28 Feb 2003 (3.04%), 25 Mar 2003 (3.74%)
2002302 Apr 2002 (2.37%), 23 Sep 2002 (-1.78%), 24 Sep 2002 (-1.16%)
2000303 Jan 2000 (-1.11%), 05 Jan 2000 (2.01%), 13 Jan 2000 (-1.89%)
1999219 Nov 1999 (2.31%), 13 Dec 1999 (-1.75%)
1998207 Apr 1998 (3.0%), 23 Apr 1998 (-1.27%)
1997323 Jun 1997 (-1.27%), 10 Nov 1997 (-1.36%), 21 Nov 1997 (-1.88%)



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