Study: Buy NMDC when above 200 SMA and near 50 SMA and above 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy NMDC 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
12109.8129131644.833034.1910538.24-2333.41-6424.121.31.060.006172.75
2-8109.6429161355.173827.498441.93-5334.58-14200.170.720.88-0.014-279.64
3-32488.0429161355.174391.729433.27-7904.27-15389.120.560.68-0.047-1120.28
4-49796.8129131644.834684.788866.28-6918.68-17818.960.680.55-0.071-1717.13
5-45383.4729141548.285369.8914171.51-8037.46-18280.180.670.62-0.056-1564.95
6-14789.4529141548.285880.117587.21-6474.06-17378.580.910.85-0.019-509.98
72900.8729121741.389175.0519744.06-6305.87-22995.91.461.030.0032100.03
82936.9429141548.287811.0219744.06-7094.49-18782.911.11.030.0033101.27
9-5074.0229151451.727302.0916715.12-8186.1-21825.630.890.96-0.0053-174.97
10-41208.4829151451.726293.9418524.21-9686.97-24385.450.650.7-0.041-1420.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.06. 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 44.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.036%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0061, which is low, don't trade solely on the basis of this study.

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
50trail32.184600.1938102826.328288.0611843.63-2795.73-3835.032.961.060.007121.06
nilnil-112109.8129131644.833034.1910538.24-2333.41-6424.121.31.060.006172.75
atrnil26.3107.9127101737.0412101.1713469.03-7111.99-12368.751.710.000134
50nil32.41-4858.223792824.328901.3411843.63-3034.65-3979.982.930.94-0.0074-131.3
50trail21.79-5011.8439122730.776100.67895.75-2897-3835.032.110.94-0.009-128.51
50nil21.85-8457.9339122730.776100.67895.75-3024.63-3979.982.020.9-0.015-216.87
atrtrail24.45-23763.5731102132.268808.5513469.03-5326.15-12368.751.650.79-0.03-766.57
atrnil39.78-35688.562351821.7418298.1719633.22-7065.52-12368.752.590.72-0.043-1551.68
atrtrail35.13-46424.0631102132.266542.519231.12-5326.15-12368.751.230.58-0.064-1497.55
50trail-12.89-35633.1938102826.324264.7216130.81-2795.73-3835.031.530.54-0.072-937.72
atrtrail-15.68-52616.2631102132.265923.2815778.45-5326.15-12368.751.110.53-0.078-1697.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 26.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.061%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, 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.
NMDC Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 May 2019 (-1.85%), 31 Jul 2019 (-1.09%)
2018131 Jan 2018 (-1.78%)
2017116 Feb 2017 (-1.21%)
2016315 Sep 2016 (-1.61%), 19 Sep 2016 (5.44%), 17 Nov 2016 (-1.66%)
20141106 Jan 2014 (-1.37%), 05 Feb 2014 (3.82%), 01 Apr 2014 (5.12%), 08 Jul 2014 (-1.72%), 24 Jul 2014 (-1.29%), 19 Aug 2014 (-1.37%), 04 Sep 2014 (5.92%), 15 Sep 2014 (-1.43%), 17 Sep 2014 (-1.57%), 19 Sep 2014 (-1.23%), 31 Oct 2014 (-1.9%)
2013321 Nov 2013 (-1.16%), 25 Nov 2013 (-1.59%), 19 Dec 2013 (-1.42%)
2012609 Aug 2012 (3.88%), 27 Aug 2012 (1.38%), 04 Sep 2012 (-1.65%), 11 Sep 2012 (-0.03%), 25 Sep 2012 (4.44%), 05 Oct 2012 (-1.78%)
2011723 Feb 2011 (-1.72%), 25 Feb 2011 (-1.4%), 01 Mar 2011 (-1.81%), 07 Mar 2011 (3.42%), 15 Mar 2011 (4.87%), 19 Apr 2011 (-0.48%), 07 Jun 2011 (-0.87%)
2010119 Feb 2010 (-1.92%)
2009302 Sep 2009 (3.14%), 16 Sep 2009 (-1.18%), 22 Sep 2009 (-1.03%)



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