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

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL 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 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
161753.6759322754.244624.4220557.34-3193.62-8602.421.451.720.0381046.67
237809.2659223737.299176.7932948.42-4434.6-11173.182.071.230.015640.83
314173559322754.249666.9246277.16-6207.65-18127.341.561.850.0442402.28
416532459332655.9310031.2857355.94-6373.38-16984.131.5720.0462802.11
524678159312852.5413398.8756699.88-6020.87-17078.652.232.460.0594182.72
629447659312852.5414790.3668651.36-5858.05-19743.182.522.80.0634991.12
729589559342557.6314056.6991207.84-7281.3-31460.671.932.630.0575015.17
826881859352459.3214127.07100692-9401.22-55136.441.52.190.0454556.24
927621459352459.3214672.9791611.42-9889.15-41011.241.482.160.0484681.6
1026681359332655.9315927.51106832-9953.65-44622.791.62.030.0434522.25
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
RELCAPITAL Performance, X=6, Profit Factor:2.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018208 Jan 2018 (-5.94%), 23 Aug 2018 (6.03%)
2017206 Jan 2017 (1.04%), 20 Jan 2017 (-0.32%)
2016509 Mar 2016 (-3.36%), 23 Mar 2016 (2.26%), 04 May 2016 (7.2%), 17 Nov 2016 (-0.98%), 09 Dec 2016 (3.37%)
2015216 Oct 2015 (3.2%), 16 Dec 2015 (7.23%)
2014615 Jan 2014 (-0.64%), 28 Mar 2014 (-1.75%), 08 May 2014 (30.9%), 30 Sep 2014 (-0.49%), 27 Oct 2014 (5.16%), 19 Dec 2014 (0.24%)
2013322 Oct 2013 (-1.93%), 07 Nov 2013 (2.65%), 17 Dec 2013 (1.24%)
2012707 Mar 2012 (-2.19%), 23 Mar 2012 (-0.54%), 12 Jun 2012 (-2.37%), 26 Jun 2012 (10.55%), 24 Jul 2012 (0.51%), 10 Aug 2012 (7.24%), 11 Sep 2012 (6.37%)
2010423 Jul 2010 (-0.57%), 06 Aug 2010 (-4.48%), 20 Aug 2010 (-1.42%), 03 Sep 2010 (2.55%)
2008111 Feb 2008 (34.33%)
2006226 May 2006 (6.42%), 21 Jun 2006 (3.75%)
2005210 Jan 2005 (-0.63%), 25 Jan 2005 (7.34%)
2004730 Jun 2004 (-7.02%), 22 Jul 2004 (-1.19%), 05 Aug 2004 (-1.3%), 26 Aug 2004 (3.83%), 02 Nov 2004 (-1.03%), 07 Dec 2004 (-1.84%), 24 Dec 2004 (4.06%)
2003330 Jan 2003 (5.26%), 24 Mar 2003 (-4.36%), 10 Apr 2003 (4.0%)
2002401 Jan 2002 (1.04%), 05 Feb 2002 (14.24%), 07 Jun 2002 (20.93%), 28 Nov 2002 (7.84%)
2000226 Jun 2000 (-5.26%), 12 Jul 2000 (-9.87%)
1998521 Jan 1998 (-6.11%), 04 Mar 1998 (-1.34%), 20 Mar 1998 (-0.7%), 06 Apr 1998 (18.01%), 08 May 1998 (-7.87%)
1997229 Oct 1997 (-6.52%), 29 Dec 1997 (0.47%)

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
200trail-12.831628568822662515373.9105362-2657.12-3980.225.791.930.0281850.63
atrtrail-15.9716435070333747.1411884.0787783.39-6157.4-14391.321.931.720.0322347.86
atrtrail24.710814570333747.1410180.8649912.8-6157.4-14391.321.651.470.0291544.92
atrtrail35.4399683.5670333747.149924.4743887.67-6157.4-14391.321.611.440.0261424.05
atrnil27.4563678.9858233539.6616610.5949912.8-9096.13-20441.151.831.20.0161097.91
200nil21.6811068.0392326034.785917.347963.04-2971.45-3980.221.991.060.0057120.3
200trail21.668077.0493316233.335785.777646.51-2762.61-3980.222.091.050.004386.85
200nil31.987800.0788236526.148797.6411944.55-2993.01-3980.222.941.040.003488.64
200trail31.895974.9589236625.847884.5711469.77-2657.12-3980.222.971.030.002867.13
atrnil310.42-10802.9355163929.0922329.2339270.06-9437.71-24956.42.370.97-0.0026-196.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.93. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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:1.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018308 Jan 2018 (-1.36%), 23 Aug 2018 (-1.33%), 27 Aug 2018 (-1.05%)
2017206 Jan 2017 (2.07%), 20 Jan 2017 (1.17%)
2016709 Mar 2016 (-1.23%), 22 Mar 2016 (-1.88%), 01 Apr 2016 (-0.59%), 04 May 2016 (5.29%), 17 Nov 2016 (-1.51%), 09 Dec 2016 (-1.95%), 16 Dec 2016 (0.99%)
2015216 Oct 2015 (-1.94%), 16 Dec 2015 (8.0%)
20141015 Jan 2014 (-1.47%), 22 Jan 2014 (-1.75%), 28 Mar 2014 (-1.74%), 04 Apr 2014 (-1.02%), 08 May 2014 (52.68%), 30 Sep 2014 (-1.77%), 09 Oct 2014 (-1.38%), 27 Oct 2014 (-1.02%), 19 Dec 2014 (-1.9%), 29 Dec 2014 (-0.73%)
2013522 Oct 2013 (-1.98%), 30 Oct 2013 (3.58%), 07 Nov 2013 (-1.83%), 21 Nov 2013 (-1.73%), 17 Dec 2013 (-1.11%)
20121407 Mar 2012 (4.31%), 23 Mar 2012 (-1.2%), 02 Apr 2012 (-0.45%), 04 Apr 2012 (-1.15%), 12 Jun 2012 (-1.07%), 15 Jun 2012 (-1.68%), 21 Jun 2012 (-1.56%), 26 Jun 2012 (-1.69%), 28 Jun 2012 (9.29%), 24 Jul 2012 (-1.18%), 01 Aug 2012 (-1.8%), 10 Aug 2012 (3.85%), 11 Sep 2012 (-1.08%), 12 Sep 2012 (7.37%)
2010623 Jul 2010 (-1.83%), 27 Jul 2010 (-1.36%), 02 Aug 2010 (-1.74%), 20 Aug 2010 (-1.6%), 03 Sep 2010 (-0.09%), 08 Sep 2010 (5.62%)
2008111 Feb 2008 (-1.53%)
2006226 May 2006 (3.67%), 21 Jun 2006 (9.52%)
2005305 Jan 2005 (-1.99%), 10 Jan 2005 (-1.04%), 25 Jan 2005 (6.26%)
2004930 Jun 2004 (-0.35%), 22 Jul 2004 (-0.57%), 05 Aug 2004 (-1.16%), 17 Aug 2004 (-1.15%), 26 Aug 2004 (-1.08%), 02 Nov 2004 (-0.89%), 07 Dec 2004 (-0.49%), 13 Dec 2004 (-1.6%), 24 Dec 2004 (-1.37%)
2003630 Jan 2003 (-1.88%), 31 Jan 2003 (-0.52%), 24 Mar 2003 (-1.36%), 25 Mar 2003 (-1.18%), 10 Apr 2003 (-1.3%), 15 Apr 2003 (2.94%)
2002501 Jan 2002 (-1.79%), 02 Jan 2002 (4.48%), 05 Feb 2002 (18.95%), 07 Jun 2002 (2.81%), 28 Nov 2002 (3.03%)
2000226 Jun 2000 (-1.55%), 12 Jul 2000 (-1.34%)
1998901 Jan 1998 (0.72%), 21 Jan 1998 (-1.24%), 04 Mar 1998 (-1.17%), 10 Mar 1998 (-1.45%), 18 Mar 1998 (-1.46%), 20 Mar 1998 (-0.69%), 01 Apr 1998 (-1.23%), 06 Apr 1998 (12.49%), 08 May 1998 (-1.3%)
1997229 Oct 1997 (-1.67%), 29 Dec 1997 (-1.54%)



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