Study: Buy PVR when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy PVR 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 PVR 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
1-10194.2529141548.283092.7413592.23-3566.17-12265.470.870.81-0.02-351.53
2-5793.0829141548.283892.6412173.91-4019.34-8260.560.970.9-0.011-199.76
3-29800.1329131644.834969.9612083.03-5900.6-17701.20.840.68-0.04-1027.59
44926.6229151451.725722.8815798.67-5779.76-17123.290.991.060.0061169.88
531036.3929141548.288802.3115514.01-6146.4-20627.81.431.340.0331070.22
64620629161355.178845.4418616.51-7332.39-322871.211.480.0411593.31
755510.9829191065.527813.8518760.1-9295.22-30115.650.841.60.0511914.17
853249.1629181162.079461.4124597.05-10641.48-46495.160.891.450.0371836.18
91039512819967.869282.8225422.69-8046.93-38895.441.152.440.0873712.55
1084834.052820871.438339.0925480.13-10243.47-34505.550.812.040.0733029.79
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
PVR Performance, X=9, Profit Factor:2.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Feb 2019 (-1.84%), 17 Jun 2019 (2.78%)
2017322 May 2017 (-1.57%), 06 Jun 2017 (12.71%), 17 Jul 2017 (-3.04%)
2016412 Jan 2016 (-1.55%), 15 Sep 2016 (5.09%), 15 Nov 2016 (0.96%), 21 Dec 2016 (11.25%)
2015423 Jan 2015 (-0.04%), 26 Feb 2015 (4.68%), 24 Aug 2015 (5.75%), 09 Dec 2015 (4.65%)
2014616 Jan 2014 (3.06%), 31 Jan 2014 (5.16%), 05 Mar 2014 (-1.13%), 20 Mar 2014 (0.42%), 07 Oct 2014 (4.55%), 10 Dec 2014 (2.3%)
2013318 Jan 2013 (-0.73%), 08 Feb 2013 (8.79%), 27 Jun 2013 (4.68%)
2010409 Apr 2010 (4.88%), 05 May 2010 (-6.86%), 08 Jul 2010 (0.72%), 18 Oct 2010 (0.78%)
2009127 Oct 2009 (4.95%)
2008110 Mar 2008 (-19.45%)

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
atrtrail23.9151416.3645162935.5614222.5825498.39-6073.97-19189.832.341.290.0291142.59
atrtrail3521494.145162935.5612352.4438247.58-6073.97-19189.832.031.120.012477.65
atrtrail-15.6919217.8745162935.5612210.1831603.55-6073.97-19189.832.011.110.011427.06
atrnil26.1-1510139122730.7716996.5825498.39-8113.33-19189.832.090.93-0.0089-387.21
atrnil310.11-34701.593682822.2224782.638247.58-8320.08-19189.832.980.85-0.019-963.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 35.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
PVR Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019608 Feb 2019 (-2.8%), 11 Feb 2019 (-2.95%), 18 Feb 2019 (6.8%), 17 Jun 2019 (-1.74%), 21 Jun 2019 (6.27%), 04 Nov 2019 (-0.7%)
2017422 May 2017 (-1.96%), 06 Jun 2017 (6.4%), 17 Jul 2017 (-2.33%), 21 Jul 2017 (-1.58%)
2016712 Jan 2016 (-2.83%), 19 Jan 2016 (-3.45%), 15 Sep 2016 (7.91%), 15 Nov 2016 (-1.14%), 18 Nov 2016 (-1.9%), 21 Dec 2016 (-3.42%), 26 Dec 2016 (7.36%)
2015523 Jan 2015 (-3.03%), 26 Feb 2015 (0.65%), 24 Aug 2015 (9.35%), 09 Dec 2015 (-3.0%), 10 Dec 2015 (1.59%)
20141116 Jan 2014 (7.71%), 31 Jan 2014 (-5.37%), 03 Feb 2014 (12.53%), 05 Mar 2014 (-3.13%), 20 Mar 2014 (-3.08%), 25 Mar 2014 (-3.09%), 07 Oct 2014 (-4.12%), 08 Oct 2014 (-2.42%), 10 Oct 2014 (9.36%), 10 Dec 2014 (-3.14%), 16 Dec 2014 (-3.68%)
2013318 Jan 2013 (-0.74%), 08 Feb 2013 (9.58%), 27 Jun 2013 (7.39%)
2010609 Apr 2010 (7.73%), 05 May 2010 (-4.07%), 12 May 2010 (-2.42%), 17 May 2010 (-2.18%), 08 Jul 2010 (-2.49%), 18 Oct 2010 (0.4%)
2009227 Oct 2009 (-5.71%), 30 Oct 2009 (12.75%)
2008110 Mar 2008 (-9.59%)



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