Study: Buy NMDC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy NMDC 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 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
131971.221712570.593906.199576.43-2980.61-5269.431.313.150.131880.66
215894.59179852.946156.7911694.29-4939.56-14498.361.251.40.041934.98
3-4467.96178947.06685520349.91-6589.77-13813.641.040.92-0.0094-262.82
4-16712.05179852.946888.9525138.12-9839.07-20869.310.70.79-0.027-983.06
518420.271711664.717255.9425966.85-10232.52-21077.70.711.30.0291083.55
643929.051710758.8211145.2823296.5-9646.25-28282.231.161.650.062584.06
766483.51710758.8212051.6425653.13-7718.98-26168.51.562.230.093910.79
882832.671710758.8214730.6945420.21-9210.61-24512.081.62.280.0914872.51
974983.56179852.9414376.3736606.86-6800.47-22653.352.112.380.0944410.8
1079920.79179852.9416802.5529933.9-8912.77-32156.131.892.120.0894701.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.15. Strategy is very good and impressively bullish. Percentage of profitable trades is 70.59%, which is good. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study.
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.
NMDC Performance, X=1, Profit Factor:3.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018131 Jan 2018 (1.0%)
2017414 Feb 2017 (-2.23%), 22 Mar 2017 (1.38%), 13 Apr 2017 (-1.23%), 05 May 2017 (0.2%)
2016216 Sep 2016 (2.23%), 21 Nov 2016 (4.79%)
2014320 Feb 2014 (1.33%), 11 Jul 2014 (0.9%), 25 Sep 2014 (4.45%)
2013122 Nov 2013 (2.11%)
2012217 Aug 2012 (0.61%), 25 Oct 2012 (-0.76%)
2011128 Apr 2011 (0.24%)
2010124 Feb 2010 (-0.59%)
2009207 Jul 2009 (4.2%), 23 Oct 2009 (-2.63%)

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-1131971.221712570.593906.199576.43-2980.61-5269.431.313.150.131880.66
atrtrail34.7151848.8128121642.8612445.5952198.6-6093.64-12088.922.041.530.0421851.74
atrtrail24.0749333.5828121642.8612235.9934799.07-6093.64-12088.922.011.510.0461761.91
atrnil37.7660034.22257182827102.4248043.85-7204.6-12597.653.761.460.0432401.37
atrtrail-15.0424465.9528121642.8610163.6834367.58-6093.64-12088.921.671.250.025873.78
atrnil25.0424248.07258173218097.4932029.24-7090.11-12597.652.551.20.023969.92

In the table above, row 1 shows the best exit criterion. Profit factor is 3.15. Strategy is very good and impressively bullish. Percentage of profitable trades is 70.59%, which is good. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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