Study: Buy RELIANCE when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy RELIANCE when 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 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
120176.6863333052.384223.3823507.33-3973.16-16039.191.061.170.011320.26
263740.263362757.144870.618251.18-4133.39-25912.61.181.570.0321011.75
367164.363392461.96147.0821058.41-7190.5-33898.890.851.390.0241066.1
499010.4363392461.97874.7327839.26-8671-40308.480.911.480.031571.59
577445.2363362757.148272.8524303.91-8162.13-41439.591.011.350.0231229.29
614672963402363.498889.7424378.57-9080.88-51345.330.981.70.042329.04
714264163392461.99366.7726159.62-9277.61-60702.661.011.640.0362264.15
813490363382560.329283.8524052.32-8715.32-49734.361.071.620.0372141.32
917828963382560.329386.4533535.18-7135.84-37703.511.3220.0522829.98
1019301663362757.1410527.636187.48-6888.07-390061.532.040.0533063.74
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
RELIANCE Performance, X=10, Profit Factor:2.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 May 2019 (3.15%), 17 Jun 2019 (-1.05%), 25 Jul 2019 (-6.43%)
2018502 Feb 2018 (2.5%), 28 Mar 2018 (6.36%), 23 May 2018 (4.62%), 04 Oct 2018 (-1.87%), 25 Oct 2018 (6.08%)
2017517 Jan 2017 (0.81%), 05 May 2017 (-0.71%), 23 May 2017 (0.56%), 29 Aug 2017 (7.53%), 28 Sep 2017 (11.44%)
2016421 Jan 2016 (-1.35%), 08 Feb 2016 (0.13%), 28 Apr 2016 (-0.39%), 27 Oct 2016 (-3.65%)
2015206 Aug 2015 (-6.4%), 18 Nov 2015 (7.15%)
2014319 Jun 2014 (-3.42%), 03 Jul 2014 (-2.38%), 16 Sep 2014 (-3.44%)
2013314 Feb 2013 (-4.93%), 28 Feb 2013 (5.68%), 12 Nov 2013 (-1.72%)
2012109 Nov 2012 (-1.78%)
2010119 Apr 2010 (-3.58%)
2009417 Jun 2009 (0.36%), 06 Jul 2009 (7.4%), 23 Oct 2009 (-1.12%), 18 Dec 2009 (7.97%)
2008221 Jan 2008 (1.98%), 11 Feb 2008 (12.05%)
2007205 Mar 2007 (4.3%), 16 Aug 2007 (9.95%)
2006418 Jan 2006 (2.16%), 22 May 2006 (-0.44%), 08 Jun 2006 (18.09%), 12 Dec 2006 (7.3%)
2005225 Jan 2005 (7.09%), 15 Apr 2005 (-0.32%)
2004326 Feb 2004 (3.74%), 18 Mar 2004 (7.08%), 30 Apr 2004 (-9.37%)
2003424 Jan 2003 (-0.67%), 10 Mar 2003 (3.16%), 23 Apr 2003 (-4.3%), 20 Nov 2003 (9.37%)
2001213 Mar 2001 (0.67%), 09 Apr 2001 (-2.18%)
2000302 Mar 2000 (-19.5%), 24 Jul 2000 (1.15%), 11 Oct 2000 (-7.64%)
1999522 Mar 1999 (-2.3%), 27 Jul 1999 (1.52%), 12 Aug 1999 (6.94%), 01 Nov 1999 (4.48%), 03 Dec 1999 (2.79%)
1998113 May 1998 (-0.69%)
1997431 Mar 1997 (1.05%), 27 May 1997 (11.47%), 25 Aug 1997 (1.41%), 12 Nov 1997 (-1.36%)

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
atrnil25.6924982284404447.6214068.6427266.3-7111.9-16623.251.981.80.0532974.07
atrtrail34.8716612890444648.899706.8734412.41-5673.36-16623.251.711.640.0381845.87
atrtrail24.08159440904545509316.8427266.3-5773.73-16623.251.611.610.0391771.55
atrnil310.2422675279285135.4421310.0439944.48-7253.52-16623.252.941.610.042870.27
atrtrail-16.0613080289434648.318997.7136783.97-5567.38-16623.251.621.510.0311469.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 47.62%, which is not acceptable. Avoid this strategy. Average return per trade is 1.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 May 2019 (-2.53%), 09 May 2019 (5.39%), 17 Jun 2019 (-2.31%), 28 Jun 2019 (-2.29%)
2018702 Feb 2018 (-2.36%), 06 Feb 2018 (5.07%), 28 Mar 2018 (3.99%), 23 May 2018 (3.97%), 04 Oct 2018 (-3.36%), 05 Oct 2018 (7.83%), 25 Oct 2018 (8.42%)
2017417 Jan 2017 (-1.73%), 05 May 2017 (5.0%), 29 Aug 2017 (4.09%), 28 Sep 2017 (4.83%)
2016621 Jan 2016 (-3.25%), 09 Feb 2016 (-2.89%), 28 Apr 2016 (-2.1%), 03 May 2016 (-2.1%), 27 Oct 2016 (-2.01%), 02 Nov 2016 (-1.95%)
2015306 Aug 2015 (-2.06%), 12 Aug 2015 (-2.16%), 18 Nov 2015 (4.6%)
2014519 Jun 2014 (-3.13%), 26 Jun 2014 (-2.96%), 11 Jul 2014 (5.89%), 16 Sep 2014 (3.62%), 23 Sep 2014 (-1.94%)
2013414 Feb 2013 (-2.1%), 15 Feb 2013 (-2.17%), 26 Feb 2013 (4.79%), 12 Nov 2013 (4.8%)
2012109 Nov 2012 (-2.15%)
2010119 Apr 2010 (-2.52%)
2009917 Jun 2009 (-4.88%), 22 Jun 2009 (10.16%), 06 Jul 2009 (-5.64%), 10 Jul 2009 (11.47%), 23 Oct 2009 (-3.4%), 27 Oct 2009 (-3.37%), 30 Oct 2009 (-3.61%), 03 Nov 2009 (8.12%), 18 Dec 2009 (5.84%)
2008221 Jan 2008 (-5.46%), 11 Feb 2008 (13.63%)
2007205 Mar 2007 (7.36%), 16 Aug 2007 (-3.17%)
2006418 Jan 2006 (13.31%), 22 May 2006 (-6.45%), 08 Jun 2006 (12.75%), 12 Dec 2006 (5.42%)
2005225 Jan 2005 (5.73%), 15 Apr 2005 (-2.81%)
2004426 Feb 2004 (7.54%), 18 Mar 2004 (7.42%), 30 Apr 2004 (8.76%), 10 May 2004 (-4.68%)
2003524 Jan 2003 (-2.29%), 27 Jan 2003 (5.16%), 10 Mar 2003 (5.21%), 23 Apr 2003 (-3.09%), 20 Nov 2003 (7.29%)
2001313 Mar 2001 (-4.32%), 20 Mar 2001 (8.82%), 09 Apr 2001 (-4.7%)
2000602 Mar 2000 (-6.01%), 03 Mar 2000 (-6.68%), 06 Mar 2000 (-7.6%), 08 Mar 2000 (-8.31%), 24 Jul 2000 (7.13%), 11 Oct 2000 (-2.92%)
1999522 Mar 1999 (-4.5%), 27 Jul 1999 (8.38%), 12 Aug 1999 (6.98%), 01 Nov 1999 (10.17%), 03 Dec 1999 (7.08%)
1998113 May 1998 (-3.63%)
1997631 Mar 1997 (-4.41%), 01 Apr 1997 (9.67%), 27 May 1997 (4.74%), 25 Aug 1997 (5.18%), 29 Aug 1997 (5.75%), 12 Nov 1997 (-4.45%)



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