Study: Buy TVSMOTOR when above 200 SMA and near 50 SMA and above 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TVSMOTOR 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
1-915.9541182343.93281.1611104.28-2607.69-8275.861.260.98-0.0013-22.34
231432.4641212051.225877.7324800-4599.99-12165.451.281.340.025766.65
364357.1941251660.986573.3219885.05-6248.48-11514.051.051.640.0471569.69
440281.7141212051.227055.9517939.97-5394.66-16781.611.311.370.029982.48
553117.2941172441.4611459.724283.77-5904.07-18041.71.941.370.0281295.54
693699.1641192246.3412373.329724.46-6426.98-17316.411.931.660.0462285.35
793230.0841221953.6612226.8331724.14-9250.54-53724.61.321.530.0352273.9
812587541251660.9812282.1833563.22-11323.72-68472.541.081.690.0413070.12
919237741271465.8513649.6246657.57-12583.05-58540.261.082.090.0614692.12
1020928141251660.9815893.4451978.17-11753.44-69977.431.352.110.0615104.41
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TVSMOTOR Performance, X=10, Profit Factor:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Jan 2017 (2.11%)
2016904 Jan 2016 (-4.44%), 25 Jan 2016 (-0.66%), 09 Feb 2016 (-1.92%), 09 Mar 2016 (8.66%), 29 Jun 2016 (1.4%), 03 Aug 2016 (4.51%), 26 Aug 2016 (6.0%), 30 Nov 2016 (1.62%), 14 Dec 2016 (-7.02%)
2015205 Mar 2015 (-8.18%), 09 Dec 2015 (7.22%)
2014415 Apr 2014 (13.88%), 28 Jul 2014 (25.99%), 01 Dec 2014 (9.37%), 17 Dec 2014 (13.73%)
2013101 Feb 2013 (-6.59%)
2012229 Oct 2012 (-6.2%), 04 Dec 2012 (-0.86%)
2011118 Nov 2011 (-6.87%)
2010328 Sep 2010 (5.12%), 15 Oct 2010 (-0.48%), 16 Nov 2010 (9.05%)
2009407 Jul 2009 (13.45%), 10 Aug 2009 (3.87%), 20 Nov 2009 (1.21%), 04 Dec 2009 (-1.53%)
2008110 Jan 2008 (-34.99%)
2007123 Nov 2007 (9.04%)
2005120 Oct 2005 (7.17%)
2004429 Jan 2004 (1.38%), 16 Feb 2004 (-5.67%), 10 Dec 2004 (-0.42%), 27 Dec 2004 (-0.37%)
2003514 Feb 2003 (1.36%), 03 Mar 2003 (-7.82%), 08 May 2003 (7.59%), 23 Jul 2003 (15.76%), 06 Nov 2003 (9.1%)
2002203 Jun 2002 (16.97%), 04 Nov 2002 (3.13%)

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
atrnil39.4915918641152636.5926693.3245027.99-9277.46-16762.882.881.660.0493882.58
atrnil26.1713140447212644.681749631359.69-9077.38-16762.881.931.560.0462795.83
atrtrail24.792633.8554243044.4412655.4331359.69-7036.55-16263.111.81.440.0341715.44
atrtrail35.5482530.5654243044.4412234.4647039.54-7036.55-16263.111.741.390.0271528.34
atrtrail-15.9474575.554243044.441190339394.34-7036.55-16263.111.691.350.0251381.03
50nil21.7535246.6973284538.366232.017940.5-3094.44-3970.942.011.250.024482.83
50trail21.5933549.876294738.166037.157940.5-3011.22-3917.6821.240.022441.44
50nil32.3726384.4365184727.699394.511910.75-3036.52-3970.943.091.180.016405.91
50trail31.9319739.4871205128.178113.6711910.75-2794.78-3917.682.91.140.012278.02
50trail-12.835313.2769185126.097995.3624960.37-2717.71-3910.742.941.040.003177

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 36.59%, which is not acceptable. Avoid this strategy. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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.
TVSMOTOR Performance, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Jan 2017 (9.38%)
2016903 Feb 2016 (-3.72%), 08 Feb 2016 (-3.87%), 15 Feb 2016 (-4.0%), 18 Feb 2016 (-3.97%), 09 Mar 2016 (11.08%), 29 Jun 2016 (-2.45%), 03 Aug 2016 (7.6%), 30 Nov 2016 (-3.76%), 14 Dec 2016 (-3.11%)
2015205 Mar 2015 (-4.17%), 09 Dec 2015 (10.25%)
2014415 Apr 2014 (12.18%), 28 Jul 2014 (21.36%), 01 Dec 2014 (-4.09%), 17 Dec 2014 (14.67%)
2013101 Feb 2013 (-5.36%)
2012329 Oct 2012 (-4.6%), 04 Dec 2012 (-3.54%), 17 Dec 2012 (11.59%)
2011118 Nov 2011 (-4.19%)
2010228 Sep 2010 (12.79%), 16 Nov 2010 (-4.61%)
2009607 Jul 2009 (-7.97%), 10 Aug 2009 (-8.38%), 19 Aug 2009 (22.51%), 20 Nov 2009 (-5.03%), 02 Dec 2009 (-4.39%), 17 Dec 2009 (12.0%)
2008110 Jan 2008 (-6.89%)
2007123 Nov 2007 (19.66%)
2005205 Jan 2005 (-4.19%), 20 Oct 2005 (-5.26%)
2004229 Jan 2004 (-6.83%), 10 Dec 2004 (-4.41%)
2003414 Feb 2003 (-2.41%), 08 May 2003 (10.84%), 23 Jul 2003 (12.23%), 06 Nov 2003 (-4.05%)
2002203 Jun 2002 (-5.35%), 04 Nov 2002 (12.07%)



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