Study: Buy PVR when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy PVR when near 200 SMA and above 200 SMA and ADX is Trending" 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
15683.43136746.154282.2510682.23-2858.58-5801.811.51.280.027437.19
212205.45137653.855522.1515978.15-4408.27-8892.241.251.460.041938.88
37567.86137653.856029.1319450.81-5772.67-11007.461.041.220.02582.14
419401.66136746.1510292.324113.54-6050.3-9328.361.71.460.0391492.44
550796.35137653.8510512.8225420.67-3798.9-6983.172.773.230.113907.41
675276.25136746.1517394.2628415.06-4155.62-8440.094.193.590.135790.48
770469.72136746.1517606.635624.64-5024.27-13413.723.530.15420.75
878428.2138561.5413976.7437901.34-6677.15-12459.182.093.350.116032.94
982448.75136746.1519745.2550394.05-5146.11-9042.953.843.290.16342.21
1062011.07135838.4624482.3449065.97-7550.08-12392.673.242.030.0724770.08
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=6, Profit Factor:3.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Sep 2018 (4.16%)
2017228 Jul 2017 (6.75%), 25 Oct 2017 (-1.81%)
2016126 Dec 2016 (14.15%)
2015225 Mar 2015 (-1.74%), 09 Jul 2015 (14.21%)
2014125 Mar 2014 (10.23%)
2011128 Jul 2011 (-1.12%)
2010102 Aug 2010 (2.68%)
2009118 Jun 2009 (-0.05%)
2008119 Aug 2008 (-4.22%)
2007204 Jun 2007 (-2.85%), 01 Aug 2007 (-2.76%)

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
atrtrail-16.9339838.29145935.7119540.741235.29-6429.47-12027.863.041.690.0512845.59
200trail-1322076.41741323.531445239842.38-2748.58-3587.815.261.620.0351298.61
200trail21.420206.9820911455907.667858.45-2996.54-3587.811.971.610.0621010.35
200nil21.420000.1220911455907.667858.45-3015.35-3627.341.961.60.0611000.01
200trail31.7820222.651861233.339170.1111787.67-2899.84-3587.813.161.580.0531123.48
200nil31.7818905.891861233.339170.1111787.67-3009.57-3627.343.051.520.051050.33
atrtrail35.1421540.16145935.7115881.0726375.13-6429.47-12027.862.471.370.0341538.58
atrtrail251360.13145935.7111845.0717583.42-6429.47-12027.861.841.020.002797.15
atrnil35.86-31409.211431121.4323340.9426375.13-9221.09-18197.312.530.69-0.045-2243.52
atrnil25.57-37865.821441028.5714484.5217583.42-9580.39-18197.311.510.6-0.066-2704.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 1.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Sep 2018 (0.64%)
2017228 Jul 2017 (4.05%), 25 Oct 2017 (-1.18%)
2016126 Dec 2016 (15.8%)
2015225 Mar 2015 (-3.66%), 09 Jul 2015 (20.62%)
2014125 Mar 2014 (-3.09%)
2011228 Jul 2011 (-1.62%), 05 Aug 2011 (-4.11%)
2010102 Aug 2010 (7.74%)
2009118 Jun 2009 (-3.24%)
2008119 Aug 2008 (-6.01%)
2007204 Jun 2007 (-0.42%), 01 Aug 2007 (-5.6%)



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