Study: Buy RELINFRA when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy RELINFRA 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 RELINFRA 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
112145.3647321568.094286.2715805.98-8334.34-52716.170.511.10.0051258.41
211917047291861.79159.0533619.07-8135.67-27678.61.131.810.0432535.54
361957.2747262155.3210643.8234195.61-10227.72-24093.961.041.290.0211318.24
413308047272057.4513190.9152968.71-11153.72-37895.061.181.60.0362831.49
512629447281959.5712610.2157354.03-11936.43-38791.441.061.560.0322687.1
615439847272057.4513033.5142621.34-9875.36-33588.471.321.780.0453285.05
712291047252253.1914436.7439682.21-10818.56-36950.491.331.520.0322615.11
862314.2847252253.1912649.6937026.97-11542.18-31769.741.11.250.0181325.84
95279147242351.0613694.9741877.48-11995.14-34147.681.141.190.0141123.21
1060549.9947252253.1915312.5154651.89-14648.3-47276.11.051.190.0131288.3
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
atrnil39.4711298453153828.332835.569757.62-9988.12-26664.663.291.30.022131.77
atrnil27.43-4474.9353173632.0821147.1146505.08-10110.44-26664.662.090.99-0.0011-84.43
atrtrail35.3-20480.1964263840.6210342.6534624.07-7615.5-21806.771.360.93-0.0058-320
atrtrail24.73-23681.2964263840.6210219.5336108.74-7615.5-21806.771.340.92-0.0068-370.02
atrtrail-15.75-52234.2864263840.629121.3428312.53-7615.5-21806.771.20.82-0.016-816.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 28.3%, which is not acceptable. Avoid this strategy. Average return per trade is 1.07%, 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.
RELINFRA Performance, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017122 May 2017 (-3.09%)
2016404 May 2016 (-3.61%), 24 May 2016 (9.93%), 24 Jun 2016 (10.61%), 29 Sep 2016 (-4.31%)
2014407 Jan 2014 (-3.26%), 16 Sep 2014 (-3.7%), 25 Sep 2014 (-4.53%), 30 Sep 2014 (-4.56%)
2013122 Nov 2013 (11.85%)
2012428 Mar 2012 (-5.65%), 23 Apr 2012 (-5.09%), 04 May 2012 (-4.57%), 23 Jul 2012 (-3.69%)
2010222 Jul 2010 (-2.69%), 11 Aug 2010 (-2.49%)
2009708 Jul 2009 (-8.66%), 13 Jul 2009 (28.52%), 19 Aug 2009 (18.17%), 27 Oct 2009 (-4.46%), 29 Oct 2009 (-4.68%), 30 Oct 2009 (-5.21%), 03 Nov 2009 (17.31%)
2008221 Jan 2008 (-9.63%), 12 Feb 2008 (-13.33%)
2007122 Nov 2007 (25.1%)
2006123 Mar 2006 (-3.48%)
2005229 Jul 2005 (-4.28%), 22 Aug 2005 (-4.27%)
2004422 Jan 2004 (20.37%), 30 Apr 2004 (-3.8%), 11 May 2004 (-4.65%), 14 May 2004 (-6.25%)
2003122 Jul 2003 (12.46%)
2002226 Jun 2002 (-3.1%), 09 Sep 2002 (-3.54%)
2001119 Dec 2001 (11.54%)
2000421 Mar 2000 (-12.05%), 04 Apr 2000 (34.88%), 30 Jun 2000 (-5.86%), 31 Jul 2000 (-5.03%)
1999316 Sep 1999 (-6.53%), 21 Sep 1999 (-6.64%), 28 Oct 1999 (-5.2%)
1998124 Apr 1998 (-4.72%)
1997411 Mar 1997 (-4.77%), 26 May 1997 (8.5%), 07 Aug 1997 (-2.23%), 12 Aug 1997 (-2.43%)
1996421 May 1996 (10.25%), 03 Jul 1996 (14.36%), 19 Aug 1996 (12.41%), 24 Sep 1996 (-3.75%)



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