Study: Buy MRPL when above 200 SMA

home > technical-strategy > mrpl > 58

In this study, we evaluate the performance of strategy "Buy MRPL 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 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
1-67863.4936152141.674261.2516000-6275.34-54991.680.680.49-0.038-1885.1
2-62208.8436171947.226867.1819439.68-9418.47-88103.160.730.65-0.022-1728.02
3-6521.7336191752.788042.5825385.93-9372.4-62645.590.860.96-0.0027-181.16
424898.6736211558.338502.6824585.48-10243.84-69883.530.831.160.0096691.63
553357.9936171947.2212776.1929273.29-8623.01-54492.511.481.330.0211482.17
663415.8536201655.5611697.5833962.26-10658.48-57570.721.11.370.0241761.55
712644536231363.8913304.2444939.97-13811.75-57237.940.961.70.0423512.36
813314936241266.6713839.0252029.73-16582.33-65058.240.831.670.0393698.57
914286536261072.2213469.7648827.9-20734.85-70715.470.651.690.0393968.48
1015698036251169.4414102.9646655.23-17781.27-65973.380.791.80.0444360.56
Although, strategy looks good but profit factor on day 1 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
atrtrail37.1330416852252748.0821767.3355872.52-8889.46-27020.052.452.270.0655849.38
atrtrail-18.3727433252242846.1521469.92117351-8605.2-27020.052.492.140.0495275.62
atrnil310.9630999246202643.4830763.1255872.52-11741.18-27020.052.622.020.0636738.95
atrtrail25.5419284852252748.0817314.5437248.34-8889.46-27020.051.951.80.0523708.61
atrnil27.651929124824245019975.2737248.34-11937.25-27020.051.671.670.054019.01

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. 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 48.08%, which is not acceptable. Avoid this strategy. Average return per trade is 2.92%, which is very good. Sharpe Ratio is 0.065, 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:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017731 Jan 2017 (13.55%), 20 Mar 2017 (-2.12%), 28 Mar 2017 (8.59%), 22 Jun 2017 (-3.33%), 23 Jun 2017 (5.06%), 25 Sep 2017 (13.47%), 13 Nov 2017 (-0.07%)
2016419 May 2016 (0.14%), 24 Jun 2016 (8.21%), 09 Nov 2016 (-2.59%), 26 Dec 2016 (13.77%)
2015312 May 2015 (3.19%), 28 Jul 2015 (14.89%), 12 Aug 2015 (-5.63%)
2014827 Jan 2014 (4.82%), 17 Feb 2014 (-3.24%), 24 Feb 2014 (11.01%), 16 Jun 2014 (5.46%), 01 Aug 2014 (-0.49%), 08 Aug 2014 (-1.93%), 12 Aug 2014 (-3.95%), 17 Oct 2014 (5.29%)
2013104 Feb 2013 (-1.6%)
2011202 Aug 2011 (-3.41%), 05 Aug 2011 (-3.94%)
2010118 Nov 2010 (-4.14%)
2009406 Jul 2009 (-7.71%), 08 Jul 2009 (25.37%), 28 Oct 2009 (-4.86%), 03 Nov 2009 (14.66%)
2008218 Jan 2008 (-8.04%), 21 Jan 2008 (-13.51%)
2005512 Jan 2005 (-0.14%), 20 Jan 2005 (13.66%), 24 Feb 2005 (9.86%), 22 Mar 2005 (-3.6%), 23 Mar 2005 (-2.99%)
2004222 Mar 2004 (-6.13%), 23 Mar 2004 (20.22%)
2003318 Jul 2003 (-5.42%), 21 Jul 2003 (17.62%), 22 Oct 2003 (2.52%)
2002330 Apr 2002 (21.02%), 16 Jul 2002 (-6.9%), 24 Jul 2002 (-5.51%)
1999502 Aug 1999 (27.94%), 22 Oct 1999 (-5.3%), 29 Oct 1999 (-6.27%), 01 Nov 1999 (-7.17%), 17 Nov 1999 (1.97%)
1997201 Sep 1997 (4.07%), 22 Sep 1997 (5.74%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play