Study: Buy PAGEIND when near 200 SMA and above 200 SMA

home > technical-strategy > pageind > 5

In this study, we evaluate the performance of strategy "Buy PAGEIND when near 200 SMA and 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 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
125171.511899504109.138441.42-1312.3-3113.953.133.130.121398.42
29907.511881044.444276.679095.5-2430.59-6277.051.761.410.04550.42
332468.691899506461.9315561.49-2854.3-6353.622.262.260.0871803.82
412237.851881044.447575.1124305.11-4836.3-12473.761.571.250.023679.88
542174.411810855.568293.3225977.47-5094.85-16048.641.632.030.0712343.02
624568.591812666.677409.2721092.28-10723.78-24461.390.691.380.0361364.92
754016.081811761.1110430.6928622.03-8674.51-24567.411.21.890.0733000.89
837453.661811761.118760.5632071.01-8416.07-21980.531.041.640.0512080.76
9-1746.321810855.568785.329754.43-11199.91-20692.870.780.98-0.0022-97.02
1021685.621899508723.3831097.42-6313.87-19920.91.381.380.0321204.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.13. Strategy is very good and impressively bullish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, 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=1, Profit Factor:3.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018122 Nov 2018 (-0.58%)
2017702 Jan 2017 (-1.06%), 16 Jan 2017 (-0.15%), 09 Feb 2017 (2.08%), 28 Feb 2017 (1.11%), 06 Apr 2017 (-0.99%), 04 May 2017 (-1.56%), 05 Jun 2017 (3.14%)
2016306 May 2016 (0.12%), 23 May 2016 (1.52%), 09 Dec 2016 (-0.62%)
2015310 Sep 2015 (-0.56%), 05 Oct 2015 (3.04%), 03 Nov 2015 (-0.4%)
2013111 Feb 2013 (0.3%)
2008309 Jun 2008 (0.0%), 23 Jun 2008 (2.95%), 01 Sep 2008 (4.22%)

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-1125171.511899504109.138441.42-1312.3-3113.953.133.130.121398.42
200trail32.3230671.8331112035.487757.4110440.31-2732.98-3729.022.841.560.055989.41
200trail21.8824908.3732141843.755443.736960.21-2850.21-3729.021.911.490.053778.39
200nil32.424851.8530102033.338293.1510440.31-2903.98-3729.022.861.430.045828.4
200nil21.8818028.1832131940.625677.866960.21-2936-3729.021.931.320.038563.38
200trail-13.659056.4831102132.266432.8219019.44-2631.99-3729.022.441.160.015292.14
atrtrail35.86-11407.312171433.3310867.5820724.48-6248.6-13486.941.740.87-0.017-543.21
atrtrail25.05-16113.912171433.3310195.2114293.8-6248.6-13486.941.630.82-0.026-767.33
atrnil27.18-29844.291761135.2912724.0916405.16-9653.53-13486.941.320.72-0.046-1755.55
atrtrail-16.24-27622.682171433.338551.118317.45-6248.6-13486.941.370.68-0.047-1315.37
atrnil314.31-42438.081331023.0820226.5524607.74-10311.77-13486.941.960.59-0.072-3264.47

In the table above, row 1 shows the best exit criterion. Profit factor is 3.13. Strategy is very good and impressively bullish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.7%, 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.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play