Study: Buy MUTHOOTFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

home > technical-strategy > muthootfin > 13

In this study, we evaluate the performance of strategy "Buy MUTHOOTFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy MUTHOOTFIN 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
11678.4485362.52274.765703.42-3231.79-4052.630.71.170.022209.8
2-1816.58844503785.215178.48-4239.36-6473.680.890.89-0.018-227.07
3-2519.2483537.56738.8617889.21-4547.16-6546.741.480.89-0.015-314.9
4311.848262515586.5817347.11-5143.55-9736.843.031.010.001438.98
5-20991.2183537.59469.5316872.78-9879.96-26540.840.960.58-0.074-2623.9
6-32538.583537.57585.7814881.85-11059.17-27012.680.690.41-0.12-4067.31
7-35130.5783537.510412.7919346.1-13273.79-36213.510.780.47-0.099-4391.32
8-39407.1283537.514267.8934761.99-16442.16-49130.050.870.52-0.079-4925.89
9-47980.3283537.513159.0932763-17491.52-44470.660.750.45-0.1-5997.54
10-41948.183537.513853.0538658.31-16701.45-44057.80.830.5-0.085-5243.51

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.17. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-111678.4485362.52274.765703.42-3231.79-4052.630.71.170.022209.8
atrtrail33.24986.3410282023322.1525175.96-5207.25-6925.514.481.120.015498.63
atrnil33.5-9183.1610282023322.1525175.96-6978.43-8628.383.340.84-0.026-918.32
atrtrail23.1-10561.7610282015548.116783.97-5207.25-6925.512.990.75-0.043-1056.18
200nil31.54-14395.511321115.3810095.9710100.3-3144.31-3989.193.210.58-0.08-1107.35
200trail31.54-14395.511321115.3810095.9710100.3-3144.31-3989.193.210.58-0.08-1107.35
atrnil23.4-24731.2610282015548.116783.97-6978.43-8628.382.230.56-0.094-2473.13
200trail-12.08-15469.031321115.389559.2112557.34-3144.31-3989.193.040.55-0.086-1189.93
200nil21.29-17513.281431121.435912.056733.53-3204.49-3989.191.840.5-0.11-1250.95
200trail21.29-17513.281431121.435912.056733.53-3204.49-3989.191.840.5-0.11-1250.95
atrtrail-13.8-26334.111028207661.9310139.71-5207.25-6925.511.470.37-0.16-2633.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MUTHOOTFIN Performance, X=1, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018227 Apr 2018 (0.33%), 06 Aug 2018 (-1.2%)
2017120 Jan 2017 (0.24%)
2016208 Jan 2016 (0.03%), 08 Feb 2016 (2.85%)
2015209 Jul 2015 (2.24%), 07 Dec 2015 (-2.03%)
2012115 Mar 2012 (-1.62%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play