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

home > technical-strategy > reliance > 6

In this study, we evaluate the performance of strategy "Buy RELIANCE 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 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
126096.9341241758.542780.3714893.62-2390.11-7366.791.161.640.034636.51
227786.7941241758.543569.2813234.48-3404.46-10423.251.051.480.03677.73
322841.4441251660.984615.2811729.56-5783.79-124670.81.250.018557.11
439616.9341251660.985962.3919603.8-6840.17-16078.520.871.360.025966.27
539376.9941241758.546554.4719768.88-6937.08-23603.650.941.330.023960.41
636815.4641261563.416127.2614775.07-8166.23-26922.180.751.30.021897.94
724710.4141251660.986032.8419148.94-7881.91-28978.730.771.20.014602.69
873110.2441261563.417023.2720364.74-7299.65-265950.961.670.0391783.18
952875.2841241758.547608.628723.4-7631.24-25052.5811.410.0261289.64
107509441251660.988559.9930395.14-8681.61-28745.030.991.540.0341831.56
Although, strategy looks good but profit factor on day 7 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
atrtrail24.6987558.0752252748.087854.219752.87-4029.52-7875.361.951.80.0451683.81
atrtrail35.7385622.5352252748.087776.7829629.31-4029.52-7875.361.931.790.0421646.59
200trail33.2664492.2357243342.116159.2910313.31-2525.17-3933.552.441.770.0461131.44
200trail22.4860389.2758263244.835436.637676.11-2530.09-3933.552.151.750.0511041.19
200trail-14.4556794.3855243143.645644.1626088.2-2537.6-3933.552.221.720.0371032.63
200nil22.8962593.7354252946.36078.687676.11-3081.84-3933.551.971.70.0511159.14
atrtrail-16.0444214.8452252748.086120.4720305.61-4029.52-7875.361.521.410.027850.29
atrnil38.9363955.3641132831.7117206.8531412.57-5704.78-8710.793.021.40.0281559.89
200nil34.3935947.949163332.658627.5810594.04-3093.74-3933.552.791.350.027733.63
atrnil26.4236596.4843162737.2111998.2620941.71-5754.65-8679.072.081.240.019851.08

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 48.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.84%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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
2019322 Aug 2019 (-0.52%), 30 Aug 2019 (-2.69%), 20 Sep 2019 (5.51%)
2016409 Jun 2016 (-0.21%), 01 Jul 2016 (0.37%), 08 Jul 2016 (3.21%), 08 Dec 2016 (3.56%)
2015115 Oct 2015 (4.45%)
2014110 Nov 2014 (0.99%)
2013625 Apr 2013 (-2.54%), 06 May 2013 (-1.48%), 15 May 2013 (0.27%), 27 May 2013 (-0.28%), 17 Jun 2013 (-1.71%), 27 Jun 2013 (5.34%)
2012403 Feb 2012 (-0.54%), 15 Feb 2012 (-2.72%), 22 Feb 2012 (-2.12%), 13 Mar 2012 (-2.94%)
2011414 Mar 2011 (-2.57%), 25 Mar 2011 (-0.05%), 08 Apr 2011 (-2.27%), 13 Apr 2011 (-0.47%)
2010931 May 2010 (-2.83%), 11 Jun 2010 (0.02%), 08 Jul 2010 (-0.4%), 23 Jul 2010 (-1.73%), 20 Sep 2010 (-2.03%), 07 Oct 2010 (0.8%), 15 Oct 2010 (4.38%), 13 Dec 2010 (0.34%), 28 Dec 2010 (1.57%)
2008228 Mar 2008 (-3.2%), 08 Apr 2008 (9.88%)
2004117 Sep 2004 (-2.13%)
2003120 May 2003 (4.41%)
2002504 Jan 2002 (-1.47%), 16 Jan 2002 (-3.94%), 15 Feb 2002 (0.45%), 04 Apr 2002 (-2.8%), 20 Nov 2002 (5.83%)
2001110 May 2001 (8.61%)
2000129 Nov 2000 (5.06%)
1999413 Jan 1999 (-3.46%), 27 Jan 1999 (-3.83%), 18 Feb 1999 (6.95%), 22 Feb 1999 (8.39%)
1998112 Mar 1998 (7.13%)
1997126 Dec 1997 (0.36%)
1996325 Apr 1996 (8.71%), 10 May 1996 (1.61%), 25 Oct 1996 (-3.47%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play