Study: Sell TECHM when near 200 SMA and below 200 SMA

home > technical-strategy > techm > 1

In this study, we evaluate the performance of strategy "Sell TECHM when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell TECHM 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. buy 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
150575.7429171258.624114.7628473.25-1614.6-4382.642.553.610.0861743.99
252491.7329141548.287103.7929722.76-3130.75-10661.612.272.120.0681810.06
364951.1629161355.176912.8726817.65-3511.91-10556.261.972.420.0822239.7
457116.129151451.727890.4928004.69-4374.37-12642.231.81.930.0651969.52
564810.9129141548.28941628379.54-4467.54-11156.812.111.970.0712234.86
657123.3429141548.289069.729019.91-4656.83-12600.081.951.820.0621969.77
785126.3529171258.628128.7325927.37-4421.84-12178.681.842.60.0982935.39
867935.0229171258.628558.7627098.79-6463.65-13776.431.321.880.0682342.59
929509.5429171258.628070.728020.3-8974.36-26179.890.91.270.0271017.57
1048602.5229181162.078677.5731159.7-9781.25-31390.90.891.450.041675.95

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.61. Strategy is very good and impressively bearish. Percentage of profitable trades is 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.87%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.086, which is low, don't trade solely on the basis of this study.
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.
TECHM Performance, X=1, Profit Factor:3.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Jan 2019 (-0.34%), 24 May 2019 (1.33%), 13 Jun 2019 (0.52%)
2017511 Jan 2017 (-1.51%), 08 Feb 2017 (-2.19%), 10 Mar 2017 (-0.85%), 22 Aug 2017 (2.08%), 11 Sep 2017 (0.02%)
2016524 Jun 2016 (0.47%), 15 Jul 2016 (-0.51%), 02 Aug 2016 (0.46%), 09 Dec 2016 (0.49%), 28 Dec 2016 (-1.8%)
2015322 Apr 2015 (2.32%), 11 May 2015 (2.39%), 26 May 2015 (14.24%)
2013116 May 2013 (1.53%)
2012306 Feb 2012 (-0.0%), 09 Mar 2012 (1.08%), 11 May 2012 (1.59%)
2011605 Jan 2011 (-0.18%), 18 Mar 2011 (-0.65%), 18 Apr 2011 (-0.47%), 10 Jun 2011 (-0.24%), 24 Jun 2011 (-0.94%), 07 Sep 2011 (0.66%)
2010129 Mar 2010 (2.41%)
2007215 Jun 2007 (1.49%), 26 Jul 2007 (1.9%)

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
nilnil-1150575.7429171258.624114.7628473.25-1614.6-4382.642.553.610.0861743.99
atrtrail-16.8659460.1536152141.6710678.637914.32-4796.14-8779.62.231.590.0441651.67
atrtrail35.7244057.6136152141.679651.7620874.36-4796.14-8779.62.011.440.0391223.82
200trail-13.830207.1146123426.0910289.9633863.21-2743.31-3990.243.751.320.024656.68
atrtrail24.528059.8636152141.678585.2519072.13-4796.14-8779.61.791.280.028779.44
atrnil37.8429529.343192229.0318441.1128608.2-6201.85-8779.62.971.220.023952.56
atrnil25.5812676.3133122136.3611895.4219072.13-6193.75-8779.61.921.10.012384.13
200nil32.574813.66441133258930.7911802.68-2831.06-3990.243.151.050.0059109.4
200trail32.332282.7846133328.267231.9111802.68-2779.76-3990.242.61.020.002849.63
200nil21.89-6483.0545143131.115841.477868.46-2847.22-3990.242.050.93-0.0098-144.07
200trail21.85-7730.5146143230.435841.477868.46-2797.22-3990.242.090.91-0.012-168.05

In the table above, row 1 shows the best exit criterion. Profit factor is 3.61. Strategy is very good and impressively bearish. Percentage of profitable trades is 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.87%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.086, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play