Study: Buy RELCAPITAL when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL when near 200 SMA and above 200 SMA and RSI is above 50" 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
119845.0533151845.455168.0720557.34-3204.23-8243.581.611.340.02601.37
230981.2833122136.369028.3832948.42-3683.77-9365.082.451.40.022938.83
360496.8133171651.528790.1927559.66-5558.52-17619.051.581.680.0411833.24
420973.3933161748.488272.2919008.51-6551.95-16984.131.261.190.014635.56
576908.7433161748.4811491.9944619.94-6291.94-19328.151.831.720.0362330.57
674039.9933161748.4811401.3441855.87-6375.38-19743.181.791.680.0362243.64
784289.2833161748.4813838.1744027.64-8065.97-31460.671.721.610.0332554.22
857816.7933191457.5811521.0439953.07-11505.92-55136.4411.360.021752.02
913331833211263.6412237.0740539.75-10305.08-41011.241.192.080.054039.93
1085925.6733181554.5513331.2347110.59-10269.1-44622.791.31.560.032603.81
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
RELCAPITAL Performance, X=9, Profit Factor:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018208 Jan 2018 (-13.89%), 23 Aug 2018 (2.31%)
2017206 Jan 2017 (3.82%), 20 Jan 2017 (8.52%)
2016209 Mar 2016 (0.41%), 23 Mar 2016 (-2.38%)
2015116 Oct 2015 (3.85%)
2014128 Mar 2014 (7.54%)
2013222 Oct 2013 (2.93%), 07 Nov 2013 (-1.6%)
2012507 Mar 2012 (2.18%), 02 Apr 2012 (-8.07%), 12 Jun 2012 (1.39%), 26 Jun 2012 (6.73%), 11 Sep 2012 (20.27%)
2010423 Jul 2010 (-1.23%), 06 Aug 2010 (-1.5%), 20 Aug 2010 (-1.14%), 03 Sep 2010 (3.59%)
2006121 Jun 2006 (6.17%)
2005105 Jan 2005 (-1.21%)
2004322 Jul 2004 (0.04%), 05 Aug 2004 (0.24%), 26 Aug 2004 (9.16%)
2002301 Jan 2002 (5.97%), 07 Jun 2002 (19.84%), 28 Nov 2002 (4.26%)
2000112 Jul 2000 (-20.51%)
1998421 Jan 1998 (-8.73%), 04 Mar 1998 (1.1%), 20 Mar 1998 (-0.47%), 06 Apr 1998 (18.17%)
1997129 Dec 1997 (-1.1%)

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
atrtrail24.6230115.0939201951.287132.9117158.99-5923.32-10601.631.21.270.02772.18
200trail-12.6125549.2949123724.4910331.4424979.21-2660.22-3980.223.881.260.016521.41
atrnil28.0330584.2632131940.6215118.7526180.04-8734.71-20441.151.731.180.016955.76
atrtrail3519979.539201951.286626.1322477.8-5923.32-10601.631.121.180.013512.29
atrnil310.1717155.69309213022227.3539270.06-8709.07-20441.152.551.090.0078571.86
atrtrail-15.317359.1539201951.285995.1125017.13-5923.32-10601.631.011.070.005188.7
200nil31.986565.4949133626.538778.5811469.77-2987.67-3980.222.941.060.0051133.99
200trail31.884665.23501337267930.2511469.77-2660.22-3980.222.981.050.003993.3
200trail21.67-614.6952173532.695762.747646.51-2816.61-3980.222.050.99-0.00058-11.82
200nil21.71-1677.6951173433.335882.337646.51-2990.51-3980.221.970.98-0.0016-32.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 51.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018208 Jan 2018 (-4.17%), 23 Aug 2018 (7.6%)
2017206 Jan 2017 (1.4%), 20 Jan 2017 (0.53%)
2016309 Mar 2016 (-4.69%), 22 Mar 2016 (-3.92%), 01 Apr 2016 (-1.74%)
2015116 Oct 2015 (0.82%)
2014228 Mar 2014 (0.25%), 04 Apr 2014 (6.08%)
2013322 Oct 2013 (-3.92%), 30 Oct 2013 (1.17%), 07 Nov 2013 (-1.94%)
2012507 Mar 2012 (1.05%), 02 Apr 2012 (-3.89%), 12 Jun 2012 (-3.85%), 21 Jun 2012 (8.58%), 11 Sep 2012 (6.38%)
2010423 Jul 2010 (-2.74%), 20 Aug 2010 (-2.04%), 03 Sep 2010 (-1.1%), 13 Sep 2010 (5.23%)
2006121 Jun 2006 (2.4%)
2005105 Jan 2005 (-1.93%)
2004422 Jul 2004 (0.17%), 05 Aug 2004 (0.72%), 17 Aug 2004 (-3.04%), 26 Aug 2004 (5.96%)
2002301 Jan 2002 (-0.58%), 07 Jun 2002 (1.0%), 28 Nov 2002 (5.58%)
2000112 Jul 2000 (-5.3%)
1998601 Jan 1998 (7.91%), 21 Jan 1998 (-4.35%), 04 Mar 1998 (-1.04%), 18 Mar 1998 (1.0%), 26 Mar 1998 (-2.23%), 01 Apr 1998 (7.49%)
1997129 Dec 1997 (-3.81%)



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