Study: Buy RELIANCE when below 200 SMA

home > technical-strategy > reliance > 57

In this study, we evaluate the performance of strategy "Buy RELIANCE when below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy RELIANCE 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
1-32346101485347.523925.3316027.28-4165.32-32546.30.940.85-0.011-320.26
211249.85101515050.55672.8423295.17-5561.3-23101.881.021.040.0031111.38
3185888101564555.457786.238675.96-5558.65-14946.421.41.740.0411840.48
4163364101564555.45784627640.67-6133.6-35063.741.281.590.0341617.46
5213104101584357.438948.8444264.94-7114.63-30159.251.261.70.0382109.94
6259140101594258.4210049.0945320.49-7946.58-29281.771.261.780.0422565.74
7331500101623961.3911307.4167408.97-9475.88-35456.611.191.90.0463282.18
8307663101623961.3911283.0883478.78-10048.41-41954.071.121.790.0413046.17
9345598101604159.4113005.0883659.34-10602.61-51707.41.231.80.0413421.76
10424859101633862.3813799.1579145.35-11697.03-59181.021.181.960.0464206.53
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil37.733340181735411931.2122455.0373336.12-7382.8-19165.473.041.380.0251930.74
atrtrail-14.972295311947611839.1812397.9188771.15-6039.92-19165.472.051.320.0181183.15
atrnil25.262174821766810838.6414941.6448890.74-7393.98-19165.472.021.270.0211235.69
atrtrail34.371632501947711739.6911361.0973336.12-6081.66-19165.471.871.230.015841.5
atrtrail23.6395654.761947711739.6910483.2348890.74-6081.66-19165.471.721.130.0099493.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 31.21%, which is not acceptable. Avoid this strategy. Average return per trade is 0.97%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
RELIANCE Performance, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Jul 2019 (-2.33%), 30 Jul 2019 (-2.43%), 05 Aug 2019 (-2.74%), 07 Aug 2019 (8.49%), 19 Sep 2019 (7.6%)
2017123 Jan 2017 (5.19%)
2016611 Feb 2016 (-3.15%), 12 Feb 2016 (10.02%), 19 May 2016 (-1.8%), 20 May 2016 (5.63%), 04 Nov 2016 (-2.0%), 15 Nov 2016 (7.07%)
2015606 Jan 2015 (6.75%), 23 Feb 2015 (-2.75%), 26 Mar 2015 (-2.4%), 27 Mar 2015 (7.73%), 20 Aug 2015 (-2.52%), 24 Aug 2015 (9.98%)
2014929 Jan 2014 (-2.04%), 03 Feb 2014 (-1.94%), 11 Feb 2014 (5.93%), 25 Sep 2014 (6.66%), 01 Dec 2014 (-2.1%), 09 Dec 2014 (-2.02%), 11 Dec 2014 (-2.12%), 12 Dec 2014 (-2.28%), 16 Dec 2014 (-2.28%)
2013526 Mar 2013 (7.96%), 16 Aug 2013 (-3.33%), 21 Aug 2013 (11.21%), 30 Sep 2013 (9.31%), 26 Nov 2013 (6.98%)
2012827 Feb 2012 (-3.42%), 07 Mar 2012 (-3.19%), 22 Mar 2012 (-3.43%), 07 May 2012 (-2.2%), 09 May 2012 (-2.32%), 14 May 2012 (7.36%), 26 Jul 2012 (5.38%), 20 Nov 2012 (6.4%)
20112311 Jan 2011 (-2.53%), 19 Jan 2011 (-2.62%), 27 Jan 2011 (-2.78%), 28 Jan 2011 (-3.01%), 27 Apr 2011 (-2.43%), 02 May 2011 (-2.44%), 03 May 2011 (-2.51%), 17 May 2011 (-2.23%), 18 May 2011 (6.96%), 15 Jun 2011 (-2.25%), 17 Jun 2011 (-2.37%), 20 Jun 2011 (8.08%), 28 Jul 2011 (-2.33%), 04 Aug 2011 (-2.39%), 05 Aug 2011 (-2.58%), 09 Aug 2011 (-2.81%), 18 Aug 2011 (-2.94%), 26 Aug 2011 (9.76%), 17 Nov 2011 (-3.35%), 21 Nov 2011 (-3.43%), 23 Nov 2011 (-3.53%), 12 Dec 2011 (11.34%), 16 Dec 2011 (-4.76%)
20101205 Feb 2010 (9.65%), 28 Apr 2010 (-2.81%), 19 May 2010 (9.12%), 28 Jul 2010 (-2.0%), 06 Aug 2010 (-1.85%), 11 Aug 2010 (-1.81%), 18 Aug 2010 (-1.84%), 27 Aug 2010 (-1.81%), 31 Aug 2010 (6.08%), 16 Nov 2010 (-2.55%), 19 Nov 2010 (-2.86%), 26 Nov 2010 (9.08%)
2009309 Jan 2009 (-7.34%), 13 Jan 2009 (23.18%), 03 Mar 2009 (-5.07%)
20081517 Mar 2008 (17.88%), 29 May 2008 (-3.78%), 02 Jun 2008 (-4.01%), 05 Jun 2008 (-4.71%), 09 Jun 2008 (-4.9%), 23 Jun 2008 (-5.09%), 28 Aug 2008 (-3.94%), 11 Sep 2008 (-4.26%), 15 Sep 2008 (-4.73%), 03 Oct 2008 (-6.17%), 06 Oct 2008 (-6.7%), 10 Oct 2008 (-7.69%), 16 Oct 2008 (-8.52%), 23 Oct 2008 (-9.58%), 24 Oct 2008 (36.67%)
2005219 Apr 2005 (8.85%), 20 May 2005 (7.12%)
2004611 May 2004 (-5.12%), 17 May 2004 (24.15%), 23 Aug 2004 (10.94%), 25 Nov 2004 (-3.23%), 10 Dec 2004 (-3.62%), 17 Dec 2004 (10.47%)
2003330 Jan 2003 (10.63%), 25 Apr 2003 (-3.04%), 08 May 2003 (8.09%)
20021405 Feb 2002 (10.99%), 11 Mar 2002 (-3.75%), 19 Apr 2002 (8.47%), 29 Apr 2002 (-3.52%), 21 May 2002 (-3.84%), 05 Jul 2002 (-2.72%), 16 Jul 2002 (-3.05%), 26 Jul 2002 (-3.09%), 08 Aug 2002 (9.42%), 01 Oct 2002 (-2.31%), 03 Oct 2002 (-2.49%), 04 Oct 2002 (-2.59%), 24 Oct 2002 (-2.49%), 25 Oct 2002 (8.05%)
20011210 Apr 2001 (-5.41%), 11 Apr 2001 (-5.78%), 12 Apr 2001 (19.86%), 18 Jun 2001 (10.18%), 03 Jul 2001 (-4.6%), 20 Jul 2001 (-4.07%), 26 Jul 2001 (-4.1%), 12 Sep 2001 (-3.34%), 14 Sep 2001 (-4.49%), 18 Sep 2001 (-5.44%), 20 Sep 2001 (-5.91%), 21 Sep 2001 (20.59%)
2000410 Mar 2000 (-8.92%), 13 Oct 2000 (-3.36%), 17 Oct 2000 (-4.03%), 23 Oct 2000 (13.7%)
1999305 Feb 1999 (-3.9%), 25 Mar 1999 (-4.75%), 09 Apr 1999 (15.47%)
19981614 Jan 1998 (-3.87%), 28 Jan 1998 (10.46%), 28 May 1998 (-3.54%), 01 Jun 1998 (-4.2%), 02 Jun 1998 (-4.7%), 15 Jun 1998 (-4.88%), 16 Jun 1998 (-4.92%), 23 Jul 1998 (-4.02%), 27 Jul 1998 (-4.14%), 11 Aug 1998 (-3.53%), 17 Aug 1998 (-3.51%), 18 Aug 1998 (-3.78%), 19 Aug 1998 (-4.41%), 01 Sep 1998 (15.27%), 06 Oct 1998 (-4.18%), 13 Oct 1998 (14.64%)
1997219 Nov 1997 (-4.53%), 24 Nov 1997 (14.44%)
19961709 Jan 1996 (-5.22%), 17 Jan 1996 (-4.74%), 19 Jan 1996 (-4.72%), 23 Jan 1996 (-5.15%), 25 Jan 1996 (16.58%), 19 Mar 1996 (17.59%), 27 May 1996 (-3.44%), 28 May 1996 (-3.62%), 24 Jun 1996 (-3.17%), 25 Jun 1996 (-3.37%), 01 Jul 1996 (-3.79%), 03 Jul 1996 (-4.44%), 09 Jul 1996 (-6.34%), 19 Aug 1996 (-4.75%), 27 Sep 1996 (-3.26%), 07 Oct 1996 (10.25%), 21 Nov 1996 (11.65%)
1995128 Nov 1995 (14.99%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play