Study: Sell TECHM when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell TECHM when below 200 SMA and near 50 SMA and below 50 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
172913.0135241168.574191.8628473.25-2517.43-6346.761.673.630.12083.23
232421.335161945.715066.9929722.76-2560.56-6376.011.981.670.041926.32
3-9131.6935132237.146342.7926817.65-4163.09-12339.391.520.9-0.01-260.91
4-50359.9535122334.297844.2628004.69-6282.22-21607.631.250.65-0.044-1438.86
5-65659.6535132237.149192.9728379.54-8416.74-34465.471.090.65-0.044-1875.99
6-84182.3535132237.149729.4329019.91-9575.68-39867.381.020.6-0.053-2405.21
7-81358.4635132237.149240.3633487.9-9158.32-33058.391.010.6-0.051-2324.53
8-77959.9235122334.299069.4548363.25-8121.45-26993.371.120.58-0.048-2227.43
9-42647.7535132237.1410768.770299.8-8301.86-27316.841.30.77-0.022-1218.51
10-60808.3335112431.4312870.3968472.52-8432.61-29548.761.530.7-0.03-1737.38

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.63. Strategy is very good and impressively bearish. Percentage of profitable trades is 68.57%, which is good. Average return per trade is 1.04%, which is not very high, 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:3.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Aug 2019 (-0.16%)
2017320 Jan 2017 (-0.22%), 07 Feb 2017 (-0.8%), 19 Jul 2017 (1.32%)
2016314 Mar 2016 (2.11%), 01 Apr 2016 (-1.61%), 27 Jun 2016 (0.72%)
2015626 May 2015 (14.24%), 29 Jul 2015 (0.23%), 28 Aug 2015 (0.25%), 15 Oct 2015 (-0.09%), 04 Nov 2015 (1.46%), 01 Dec 2015 (0.4%)
2012224 Feb 2012 (3.42%), 15 Mar 2012 (2.08%)
2011713 Jan 2011 (1.29%), 17 Feb 2011 (0.97%), 30 Mar 2011 (0.12%), 03 Jun 2011 (-2.55%), 17 Jun 2011 (3.3%), 09 Nov 2011 (0.76%), 29 Dec 2011 (1.14%)
2010514 Jun 2010 (0.86%), 28 Jul 2010 (1.95%), 14 Sep 2010 (-3.17%), 01 Nov 2010 (1.5%), 29 Dec 2010 (-0.74%)
2009212 Feb 2009 (-2.02%), 02 Mar 2009 (0.33%)
2008409 Jan 2008 (4.0%), 03 Jun 2008 (4.17%), 30 Jul 2008 (-1.0%), 28 Aug 2008 (-1.47%)
2007220 Sep 2007 (1.32%), 10 Dec 2007 (2.37%)

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-1172913.0135241168.574191.8628473.25-2517.43-6346.761.673.630.12083.23
50nil32.61-3126.0751123923.539536.5610900.17-3014.48-3978.093.160.97-0.0032-61.3
atrnil38-8036.933682822.2225242.7635110.52-7499.25-15353.433.370.96-0.0044-223.25
50trail32.35-4974.9752124023.088720.4410900.17-2740.51-3920.923.180.95-0.0053-95.67
atrnil25.92-31462.3937112629.7315186.7723407.01-7635.26-15353.431.990.84-0.022-850.33
atrtrail-15.5-27145.542103223.8112922.2156089.44-4886.49-14053.222.640.83-0.016-646.32
50nil22.1-28654.6951143727.456050.37266.78-3063.76-3978.091.970.75-0.038-561.86
50trail22-27311.152143826.925597.737266.78-2781.04-3920.922.010.74-0.038-525.21
atrtrail24.55-46079.2842113126.199832.421808.81-4975.34-14053.221.980.7-0.04-1097.13
50trail-13.06-424105184315.699154.2526190.08-2689.4-3920.923.40.63-0.042-831.57
atrtrail35.05-59972.6942103223.819639.4932713.21-4886.49-14053.221.970.62-0.049-1427.92

In the table above, row 1 shows the best exit criterion. Profit factor is 3.63. Strategy is very good and impressively bearish. Percentage of profitable trades is 68.57%, which is good. Average return per trade is 1.04%, which is not very high, 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.

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