Study: Buy SHREECEM when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SHREECEM when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-14919.9226101638.464079.8611627.87-3482.4-12354.311.170.73-0.025-573.84
29935.992681830.7711767.7430851.06-4678.11-18414.922.521.120.0083382.15
350079.5126101638.4612972.4640425.53-4977.82-24242.422.611.630.0341926.13
433628.48261313509746.6522340.43-7159.84-27272.731.361.360.0241293.4
588185.8326141253.8511808.6530851.06-6427.94-16550.121.842.140.0613391.76
61678762617965.3813089.4934567.9-6071.73-17628.542.164.070.116456.76
71690592618869.2312179.1153333.33-6270.6-15497.661.944.370.16502.28
82245542621580.7712851.8273580.25-9066.81-18655.41.425.950.118636.7
92295212620676.9213603.2695802.47-7090.74-16858.911.926.390.0938827.72
102295352619773.0815107.19100741-8214.55-29082.051.844.990.0858828.26
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=9, Profit Factor:6.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017423 Jan 2017 (5.42%), 15 Feb 2017 (4.59%), 29 Jun 2017 (10.8%), 14 Dec 2017 (0.44%)
2016215 Nov 2016 (8.28%), 14 Dec 2016 (-8.43%)
2015209 Sep 2015 (8.18%), 17 Dec 2015 (2.98%)
2013107 Oct 2013 (1.91%)
2011218 Apr 2011 (1.51%), 21 Sep 2011 (2.92%)
2010527 May 2010 (8.91%), 15 Sep 2010 (1.74%), 05 Oct 2010 (-1.28%), 19 Oct 2010 (2.47%), 14 Dec 2010 (-3.45%)
2009125 Feb 2009 (6.47%)
2007214 Aug 2007 (-0.47%), 29 Aug 2007 (10.87%)
2002206 Aug 2002 (0.33%), 08 Oct 2002 (0.98%)
2001120 Dec 2001 (5.59%)
1999128 May 1999 (47.9%)
1998220 Oct 1998 (3.72%), 05 Nov 1998 (-1.06%)
1996114 Feb 1996 (-6.58%)

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
atrtrail-16.2712198.263012184013632.7582135.69-8410.82-19999.771.621.080.0048406.61
atrtrail25.1-5024.1830131743.3311140.4932031.41-8814.74-19999.771.260.97-0.0029-167.47
atrnil29.04-11308.192791833.331927538981.94-10265.73-19999.771.880.94-0.0057-418.82
atrnil312.42-14517.62662023.0831243.4258472.9-10098.91-19999.773.090.93-0.006-558.37
atrtrail35.77-13738.083012184011471.3948047.11-8410.82-19999.771.360.91-0.0071-457.94
200nil31.54-12043.913782921.628617.1511017.65-2792.45-3946.523.090.85-0.014-325.51
200trail31.51-19267.283782921.627488.7911017.65-2730.26-3946.522.740.76-0.024-520.74
200nil21.43-28459.483792824.325592.647345.1-2814.04-3946.521.990.64-0.044-769.18
200trail-12.14-32513.413763116.228160.9118654.43-2628.35-3946.523.10.6-0.038-878.74
200trail21.41-32518.293792824.324941.287345.1-2749.64-3946.521.80.58-0.053-878.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0048, 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:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017423 Jan 2017 (1.57%), 15 Feb 2017 (3.42%), 29 Jun 2017 (7.43%), 14 Dec 2017 (-2.76%)
2016315 Nov 2016 (-6.3%), 21 Nov 2016 (2.81%), 14 Dec 2016 (-4.48%)
2015209 Sep 2015 (9.01%), 17 Dec 2015 (-0.07%)
2013207 Oct 2013 (-3.53%), 11 Oct 2013 (0.11%)
2011318 Apr 2011 (1.14%), 21 Sep 2011 (-2.08%), 27 Sep 2011 (-3.72%)
2010527 May 2010 (5.52%), 15 Sep 2010 (-3.31%), 27 Sep 2010 (-0.77%), 19 Oct 2010 (8.18%), 14 Dec 2010 (-3.69%)
2009125 Feb 2009 (-5.58%)
2007214 Aug 2007 (-5.49%), 27 Aug 2007 (-4.96%)
2002206 Aug 2002 (0.46%), 08 Oct 2002 (1.09%)
2001120 Dec 2001 (-10.0%)
1999128 May 1999 (41.07%)
1998220 Oct 1998 (-9.67%), 05 Nov 1998 (-1.86%)
1996214 Feb 1996 (-2.98%), 19 Feb 1996 (-4.45%)



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