Study: Buy PAGEIND 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 PAGEIND 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 PAGEIND 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
147992.3655342161.822633.7711051.44-1978.85-11359.751.332.150.076872.59
251097.6155342161.823952.7814901.13-3966.52-18086.9411.610.049929.05
380853.555352063.645033.8417918.8-4766.54-22025.31.061.850.0641470.06
411712455322358.186707.1824305.11-4239.39-20689.531.582.20.0812129.53
513759355282750.917706.7225977.47-2896.11-13919.552.662.760.0972501.69
615088955352063.647382.7223682.04-5375.32-27240.631.372.40.0922743.43
720462955342161.829245.7528622.03-5225.07-21247.971.772.860.113720.53
823327355352063.6410295.7534991.58-6353.91-23683.081.622.840.114241.33
924701055361965.4510807.7547073.72-7477.29-24236.911.452.740.14491.1
1025842155352063.6412038.7841601.55-8146.81-27194.451.482.590.14698.57

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 2.86. 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 61.82%, which is good. Average return per trade is 1.86%, 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.
PAGEIND Performance, X=7, Profit Factor:2.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018414 Feb 2018 (-0.18%), 22 May 2018 (7.83%), 11 Jun 2018 (8.6%), 03 Oct 2018 (-10.62%)
2017610 Mar 2017 (1.78%), 03 Apr 2017 (-3.61%), 04 May 2017 (6.46%), 19 May 2017 (-2.07%), 05 Jun 2017 (14.31%), 03 Aug 2017 (1.87%)
2016207 Jul 2016 (-1.3%), 21 Jul 2016 (9.57%)
2015623 Feb 2015 (4.72%), 17 Apr 2015 (2.09%), 12 May 2015 (9.43%), 15 Jul 2015 (-1.36%), 11 Aug 2015 (-1.13%), 06 Oct 2015 (0.99%)
2014309 Jun 2014 (0.74%), 22 Aug 2014 (0.72%), 25 Sep 2014 (12.02%)
2013603 Jan 2013 (1.92%), 17 Jan 2013 (-0.15%), 06 Mar 2013 (-2.55%), 28 Mar 2013 (10.8%), 08 Aug 2013 (-2.59%), 23 Sep 2013 (0.78%)
20121018 Jan 2012 (-1.38%), 21 Feb 2012 (2.81%), 26 Mar 2012 (3.49%), 04 Jun 2012 (-1.13%), 04 Jul 2012 (-3.92%), 30 Jul 2012 (4.39%), 31 Aug 2012 (4.42%), 15 Nov 2012 (0.97%), 30 Nov 2012 (2.91%), 17 Dec 2012 (-1.5%)
2011725 Jan 2011 (-6.86%), 25 Mar 2011 (13.81%), 02 May 2011 (5.44%), 27 May 2011 (3.38%), 12 Oct 2011 (-1.68%), 01 Nov 2011 (1.1%), 28 Nov 2011 (3.78%)
2010610 Feb 2010 (-1.92%), 15 Apr 2010 (-0.61%), 29 Apr 2010 (0.94%), 20 May 2010 (-1.12%), 01 Oct 2010 (3.78%), 15 Oct 2010 (4.0%)
2009201 Oct 2009 (1.41%), 29 Oct 2009 (4.21%)
2008314 May 2008 (-2.48%), 04 Jun 2008 (1.74%), 18 Jul 2008 (-6.7%)

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-1720462955342161.829245.7528622.03-5225.07-21247.971.772.860.113720.53
50trail-14.0912848380255531.2511025.5743211.03-2675.57-3987.644.121.870.0521606.04
atrnil38.3919047359243540.6819229.4829777.78-7743.84-14674.022.481.70.0683228.36
atrtrail-16.9714905468313745.5911956.2938720.45-5988.93-14674.0221.670.0542191.98
atrtrail36.0314921169323746.3811655.3929308.86-6047.62-14674.021.931.670.0592162.47
50nil32.8999621.3880295136.258999.2111928.37-3163.84-3992.612.841.620.061245.27
50trail32.4986907.1783285533.738445.2211823.46-2719.25-3987.643.111.580.0551047.07
atrtrail24.711169370333747.1410328.3819851.85-6193.07-14674.021.671.490.0491595.61
atrnil25.7288221.4764283643.7513079.4619851.85-7722.32-14674.021.691.320.0371378.46
50nil22.4247285.2984345040.486069.997952.25-3181.89-3992.611.911.30.035562.92
50trail22.236911.9987335437.935699.917882.31-2799.72-3987.642.041.240.029424.28

In the table above, row 1 shows the best exit criterion. Profit factor is 2.86. 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 61.82%, which is good. Average return per trade is 1.86%, 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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