Study: Buy MRPL when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy MRPL when near 200 SMA and above 200 SMA and ADX is Trending" 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
133752.3720119556227.8512992.55-3861.56-6456.571.611.970.0591687.62
239511.6820911459973.8917901.23-4568.48-10760.952.181.790.0481975.58
381854.24201195511974.0725925.93-5540.06-12135.922.162.640.084092.71
4128954201376513029.8330731.71-5776.23-9223.32.264.190.126447.71
587580.88201286012047.2123902.44-7123.2-16138.331.692.540.084379.04
661341.07201286010689.4422790.2-8366.53-15561.961.281.920.0573067.05
747021201286010513.5823651.45-9892.74-21359.221.061.590.0412351.05
863112.56201286010371.0722151.22-7667.54-20749.281.352.030.0623155.63
985887.6201376511824.5223173.8-9690.17-21325.651.222.270.0744294.38
1057560.61201286012516.929253.11-11580.27-21902.021.081.620.0412878.03

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 4.19. Strategy is very good and impressively bullish. Percentage of profitable trades is 65%, which is good. Average return per trade is 3.22%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
MRPL Performance, X=4, Profit Factor:4.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015207 Dec 2015 (-2.69%), 28 Dec 2015 (6.0%)
2013226 Nov 2013 (-1.06%), 12 Dec 2013 (0.24%)
2012222 Feb 2012 (5.26%), 07 Mar 2012 (1.87%)
2011118 Apr 2011 (-0.41%)
2007327 Apr 2007 (2.02%), 04 Jun 2007 (-3.83%), 19 Jun 2007 (2.47%)
2006224 Apr 2006 (9.44%), 20 Sep 2006 (-3.01%)
2005120 Jan 2005 (8.73%)
2003128 Feb 2003 (11.73%)
2002102 Apr 2002 (10.88%)
2000113 Jan 2000 (-4.61%)
1999119 Nov 1999 (8.02%)
1998207 Apr 1998 (15.37%), 23 Apr 1998 (-4.61%)
1997121 Nov 1997 (2.67%)

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
nilnil-14128954201376513029.8330731.71-5776.23-9223.32.264.190.126447.71
atrtrail24.6486448.9222101245.4515193.5449412.23-5457.21-12465.982.782.320.0563929.5
200trail-13.1553662.6926101638.469965.8626255.59-2874.74-3788.923.472.170.0542063.95
200trail31.5641201.1827121544.447154.3711220.45-2976.75-3788.922.41.920.0591525.97
atrnil28.1175910.711981142.1122351.8649412.23-9354.92-12538.022.391.740.0493995.3
200trail21.1831949.528131546.435892.377946.64-2976.75-3788.921.981.720.0531141.05
200nil21.1831318.7128131546.435892.377946.64-3018.81-3788.921.951.690.0521118.53
atrtrail35.8243852.1222101245.4510933.8632910.41-5457.21-12465.9821.670.0351993.28
atrnil311.8481217.961961331.5834191.274118.35-9533.02-12811.353.591.660.0394274.63
200nil31.8832514.7726101638.468300.5811220.45-3155.69-3973.322.631.640.0471250.57
atrtrail-16.2310710.8722101245.457619.7422417.93-5457.21-12465.981.41.160.011486.86

In the table above, row 1 shows the best exit criterion. Profit factor is 4.19. Strategy is very good and impressively bullish. Percentage of profitable trades is 65%, which is good. Average return per trade is 3.22%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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