Study: Buy RELCAPITAL 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 RELCAPITAL 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 RELCAPITAL 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
133083.1756292751.794531.7116046.97-3642.09-11239.761.241.340.023590.77
254530.956352162.56445.6833463.8-8146.09-22578.480.791.320.021973.77
3-3250.3956253144.6410746.6952250.49-8771.54-33176.821.230.99-0.00087-58.04
412954.0456233341.0713926.9271819.96-9314.1-33498.791.51.040.0029231.32
513334.9256233341.0716679.2493737.77-11220.84-43117.791.491.040.0024238.12
645649.9656272948.2116025.67117221-13346.31-39093.11.21.120.0074815.18
761711.1956272948.2118507.17142074-15102.85-45131.361.231.140.00851101.99
881496.2656263046.4319598.31168885-14268.66-49476.791.371.190.011455.29
910096456272948.2119214.65196282-14407.98-46028.981.331.240.0121802.93
1035440.3956253144.6420649.21183953-15509.35-49007.241.331.070.0042632.86

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.34. 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 51.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, which is low, don't trade solely on the basis of this study.

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
50trail-12.5811311472205227.7812623.4549727.98-2679.9-3915.274.711.810.0321571.03
nilnil-1133083.1756292751.794531.7116046.97-3642.09-11239.761.241.340.023590.77
50nil31.8146134.1472234931.94841511247.48-3008.38-3915.272.81.310.024640.75
50trail31.7337845.5873225130.148015.7311247.48-2715.7-3915.272.951.270.021518.43
atrnil38.4771829.2651153629.4124978.5236895.75-8412.46-14528.882.971.240.0181408.42
50nil21.52888572284438.895733.597515.29-2992.17-3915.271.921.220.019401.18
50trail21.4422317.3673274636.995706.337515.29-2864.21-3915.271.991.170.015305.72
atrtrail34.0340490.5163224134.9213316.8235030.28-6158.04-12568.162.161.160.011642.71
atrtrail-14.4926759.6463224134.9212692.6939271.37-6158.04-12568.162.061.110.0075424.76
atrnil26.2926334.2855203536.3616070.9224597.17-8430.98-14528.881.911.090.008478.81
atrtrail23.75-17747.663224134.9210669.6323353.52-6158.04-12568.161.730.93-0.0062-281.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 27.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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.
RELCAPITAL Performance, Profit Factor:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017210 Jan 2017 (1.96%), 20 Sep 2017 (-1.87%)
2016807 Jan 2016 (-0.22%), 23 May 2016 (-1.85%), 24 May 2016 (5.84%), 14 Jun 2016 (-1.54%), 21 Jun 2016 (-1.23%), 30 Jun 2016 (0.62%), 18 Jul 2016 (-1.88%), 19 Jul 2016 (-1.11%)
2014401 Jan 2014 (-1.28%), 11 Jul 2014 (-1.7%), 14 Jul 2014 (3.56%), 30 Dec 2014 (-0.41%)
2013104 Feb 2013 (-1.47%)
2012703 Apr 2012 (-1.67%), 24 Jul 2012 (-1.69%), 01 Aug 2012 (-1.11%), 17 Aug 2012 (1.87%), 23 Aug 2012 (-1.32%), 05 Nov 2012 (0.64%), 08 Nov 2012 (-1.95%)
2010421 Jan 2010 (-1.0%), 03 Sep 2010 (-0.09%), 09 Sep 2010 (4.91%), 29 Oct 2010 (0.98%)
2009717 Jul 2009 (-1.29%), 24 Jul 2009 (-1.34%), 03 Aug 2009 (-1.25%), 01 Sep 2009 (4.44%), 22 Oct 2009 (-1.95%), 23 Nov 2009 (-1.4%), 23 Dec 2009 (2.82%)
2007220 Mar 2007 (1.22%), 13 Aug 2007 (-1.71%)
2006420 Feb 2006 (6.63%), 12 Apr 2006 (-1.73%), 14 Nov 2006 (-0.59%), 21 Dec 2006 (-1.18%)
2005705 Jan 2005 (-1.6%), 11 Jan 2005 (-1.01%), 14 Jan 2005 (-1.12%), 20 Jan 2005 (-1.75%), 21 Mar 2005 (-1.92%), 27 Apr 2005 (-1.15%), 16 Nov 2005 (4.25%)
2004810 Mar 2004 (-1.12%), 12 Mar 2004 (-1.65%), 03 May 2004 (6.88%), 25 May 2004 (-0.15%), 22 Jul 2004 (-0.57%), 18 Nov 2004 (-1.23%), 01 Dec 2004 (-0.82%), 09 Dec 2004 (-1.39%)
2003621 Jan 2003 (0.86%), 06 Mar 2003 (-1.5%), 08 Apr 2003 (-1.29%), 02 May 2003 (-1.01%), 08 Oct 2003 (11.44%), 03 Nov 2003 (20.55%)
2002911 Jan 2002 (4.37%), 23 Jan 2002 (-1.45%), 08 Mar 2002 (-1.74%), 18 Mar 2002 (-1.6%), 18 Apr 2002 (-1.71%), 13 May 2002 (-1.94%), 06 Jun 2002 (-1.27%), 12 Jun 2002 (17.54%), 16 Jul 2002 (-1.76%)
1999214 Sep 1999 (-1.96%), 11 Oct 1999 (24.86%)
1998108 May 1998 (-1.16%)



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