Study: Buy SAIL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy SAIL when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 SAIL 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
135001.42119281.825179.7118670.89-5807.97-8533.330.894.010.13181.95
216334.73117463.646242.2511075.95-6840.25-14591.190.911.60.0421484.98
3972.51116554.556062.511918.06-7080.5-12083.850.861.030.002388.41
4-3390.48116554.556084.0319087.52-7978.94-14088.050.760.92-0.0069-308.23
5-1277.6117463.644939.1612066.75-8962.93-23899.370.550.96-0.0025-116.15
6-9127.64116554.555539.639499.36-8473.09-33710.690.650.78-0.015-829.79
719664.94119281.826423.7618302.09-19074.44-27421.380.341.520.0311787.72
848164.31119281.829871.4521917.81-20339.36-24402.520.492.180.0654378.57
937090.5116554.5513203.621532.36-8426.22-19371.071.571.880.0523371.86
1074492.92117463.6416779.3128797.89-10740.57-24654.091.562.730.0896772.08

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.01. Strategy is very good and impressively bullish. Percentage of profitable trades is 81.82%, which is excellent. Average return per trade is 1.59%, which is not very high, but percentage of profitable trades compensates for it. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SAIL Performance, X=1, Profit Factor:4.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018228 May 2018 (1.32%), 30 Aug 2018 (-1.54%)
2016130 Jun 2016 (2.21%)
2013123 Oct 2013 (0.08%)
2012118 Dec 2012 (2.72%)
2009106 Apr 2009 (3.21%)
2006131 Jan 2006 (-4.27%)
2004222 Apr 2004 (0.75%), 29 Jul 2004 (2.31%)
2002107 Nov 2002 (1.37%)
1996123 Apr 1996 (9.34%)

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
atrnil311.67136479127558.3325636.7136465.67-8595.58-9869.082.984.180.1311373.25
nilnil-1135001.42119281.825179.7118670.89-5807.97-8533.330.894.010.13181.95
atrnil27104866149564.2916486.1924310.45-8702.02-9869.081.893.410.127490.4
atrtrail25.0777889.25149564.2912319.3619046.52-6596.99-9869.081.873.360.115563.52
atrtrail-16.7971419.53149564.2911600.538468.87-6596.99-9869.081.763.170.0845101.39
atrtrail35.6461753.93149564.2910526.5425995.7-6596.99-9869.081.62.870.0864410.99
200nil32.3134998.11167943.758818.9911519.12-2970.54-3675.872.972.310.0742187.38
200trail-13.4728483.311569408533.5223418.92-2524.2-3394.573.382.250.0521898.89
200trail32.1929015.08167943.757461.5811519.12-2579.55-3394.572.892.250.0671813.44
200trail21.4721871.64178947.065959.777679.42-2867.39-3394.572.081.850.0581286.57
200nil21.4720861.41178947.065959.777679.42-2979.64-3675.8721.780.0551227.14

In the table above, row 3 shows the best exit criterion. Profit factor is 3.41. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 3.75%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SAIL Performance, Profit Factor:3.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018228 May 2018 (-3.94%), 30 Aug 2018 (-3.28%)
2016130 Jun 2016 (6.49%)
2013123 Oct 2013 (7.5%)
2012218 Dec 2012 (4.64%), 24 Dec 2012 (5.22%)
2009106 Apr 2009 (12.16%)
2006231 Jan 2006 (-4.93%), 08 Feb 2006 (9.52%)
2004222 Apr 2004 (-4.77%), 29 Jul 2004 (10.85%)
2002107 Nov 2002 (8.67%)
1996223 Apr 1996 (9.15%), 30 Apr 1996 (-4.84%)



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