Study: Buy SHREECEM when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy SHREECEM when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy SHREECEM 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
1-7714.69251312522963.416968.52-3853.26-16582.910.770.83-0.014-308.59
233780.82251312524872.3412552.62-2463.3-11055.281.982.140.0591351.23
319187.45251114444833.049970.67-2426.85-8542.711.991.560.034767.5
43321.98251312524716.7314448.45-4832.96-10996.560.981.060.0046132.88
522196.07251510606294.2517008.8-7221.77-18723.40.871.310.022887.84
657362.4225169647989.519549.38-7829.95-18592.961.021.810.052294.5
745004.3625178687618.7320527.86-10564.25-30150.750.721.530.0341800.17
870048.825187728476.126183.1-11788.71-32663.320.721.850.0482801.95
997267.125187729251.5623963.48-9894.42-19597.990.942.40.0753890.68
10128731251786812722.9152785.92-10944.85-29082.051.162.470.0665149.22
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SHREECEM Performance, X=10, Profit Factor:2.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Feb 2019 (9.63%)
2018330 Jul 2018 (0.07%), 13 Aug 2018 (9.36%), 12 Dec 2018 (1.98%)
2017223 Jan 2017 (5.1%), 28 Dec 2017 (8.68%)
2016103 Mar 2016 (9.6%)
2014102 Jan 2014 (2.74%)
2013207 Oct 2013 (0.64%), 29 Nov 2013 (-0.09%)
2011329 Mar 2011 (1.26%), 21 Sep 2011 (0.94%), 10 Oct 2011 (5.76%)
2010315 Sep 2010 (1.14%), 05 Oct 2010 (-0.26%), 19 Oct 2010 (4.82%)
2009125 Feb 2009 (8.22%)
2007205 Jun 2007 (-2.69%), 22 Jun 2007 (11.83%)
2002108 Oct 2002 (-0.76%)
1999116 Apr 1999 (-12.06%)
1998102 Sep 1998 (26.39%)
1997130 Jun 1997 (-6.17%)
1996214 Feb 1996 (-14.54%), 17 Apr 1996 (-7.22%)

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
atrnil39.9311384227101737.0424405.1149194.54-7659.33-11484.193.191.870.0534216.39
atrtrail35.4194369.1429121741.3817100.8749194.54-6520.08-11484.192.621.850.0463254.11
atrnil27.4685478.1428131546.4315594.5132796.36-7816.7-11484.1921.730.0523052.79
atrtrail24.965826.5129131644.8313471.0532796.36-6831.07-11484.191.971.60.0412269.88
atrtrail-16.2851689.0229121741.3813544.256957.66-6520.08-11484.192.081.470.0271782.38
200nil32.7817971.9436102627.789624.4211839.97-3010.47-3918.413.21.230.018499.22
200trail-13.4311184.0137102727.038541.5118083.59-2749.3-3918.413.111.150.01302.27
200trail32.498499.9737112629.737394.7211839.97-2801.61-3918.412.641.120.0093229.73
200nil22.334420.4736122433.336376.347893.32-3003.98-3918.412.121.060.0057122.79
200trail22.22-5454.937122532.435406.397893.32-2813.26-3918.411.920.92-0.0075-147.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.87. 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 37.04%, which is not acceptable. Avoid this strategy. Average return per trade is 2.11%, which is very good. 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.
SHREECEM Performance, Profit Factor:1.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Feb 2019 (9.22%)
2018230 Jul 2018 (10.32%), 12 Dec 2018 (-3.01%)
2017223 Jan 2017 (10.46%), 28 Dec 2017 (7.16%)
2016103 Mar 2016 (13.17%)
2014102 Jan 2014 (-2.39%)
2013407 Oct 2013 (-3.53%), 11 Oct 2013 (-3.63%), 29 Nov 2013 (-2.33%), 09 Dec 2013 (-2.5%)
2011429 Mar 2011 (11.15%), 21 Sep 2011 (-3.39%), 27 Sep 2011 (-3.72%), 10 Oct 2011 (12.77%)
2010215 Sep 2010 (-3.31%), 27 Sep 2010 (9.41%)
2009125 Feb 2009 (-5.58%)
2007205 Jun 2007 (-5.35%), 22 Jun 2007 (13.77%)
2002108 Oct 2002 (-3.47%)
1999116 Apr 1999 (-5.74%)
1998102 Sep 1998 (24.6%)
1997230 Jun 1997 (-4.24%), 10 Jul 1997 (-5.18%)
1996214 Feb 1996 (-4.7%), 17 Apr 1996 (-3.04%)



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