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

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In this study, we evaluate the performance of strategy "Sell ULTRACEMCO 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 ULTRACEMCO 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
137305.4746271958.73566.419069.58-3104.6-8872.731.151.630.051810.99
24222.8446281860.873759.513330.76-5613.51-15535.830.671.040.004191.8
323303.1462323505194.6611428.65-4181.48-16634.961.241.240.022506.59
453026.5146262056.526143.4425211.46-5335.14-16761.781.151.50.0391152.75
537211.6446222447.837745.5135241.47-5549.57-19805.541.41.280.022808.95
67893.8946202643.488262.6320976.81-6052.26-23715.921.371.050.0048171.61
74883.38462323507395.1426772.17-7182.82-24455.721.031.030.0029106.16
8-30715.746212545.658173.6721847.8-8094.51-33079.691.010.85-0.016-667.73
9-44811.5846222447.837482.1420691.25-8725.78-28782.080.860.79-0.024-974.16
10-99267.3346202643.488138.4121580.72-10078.29-32149.650.810.62-0.049-2157.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.63. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, which is low, don't trade solely on the basis of this study.

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-1137305.4746271958.73566.419069.58-3104.6-8872.731.151.630.051810.99
200trail32.175559.486236326.747592.0711390.21-2683.46-3906.82.831.030.003564.64
200nil32.515437.3580215926.258677.5311663.52-2996.45-3942.72.91.030.003467.97
200trail21.81-569.7789286131.465950.927775.68-2740.91-3906.82.171-0.0004-6.4
200nil21.98-5750.9886285832.565966.897775.68-2979.72-3942.720.97-0.0041-66.87
atrtrail23.63-12959.3867244335.828466.8118325.79-5027.04-11568.131.680.94-0.0067-193.42
atrnil24.54-15810.6359203933.911668.5218325.79-6389.26-12277.511.830.94-0.0079-267.98
atrtrail34.14-20464.7366224433.338925.9327488.68-4928.07-11568.131.810.91-0.01-310.07
200trail-12.93-20274.4284206423.817326.1523869.98-2606.21-3895.452.810.88-0.012-241.36
atrtrail-14.68-51190.0866224433.337529.3323650.33-4928.07-11568.131.530.76-0.028-775.61
atrnil36.37-71758.2854124222.2216633.5227488.68-6460.97-12277.512.570.74-0.035-1328.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 58.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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.
ULTRACEMCO Performance, X=1, Profit Factor:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019508 Jan 2019 (2.53%), 25 Mar 2019 (-1.41%), 28 Aug 2019 (1.11%), 03 Oct 2019 (4.03%), 31 Oct 2019 (-0.47%)
2018802 Feb 2018 (0.79%), 20 Feb 2018 (0.22%), 23 Apr 2018 (0.59%), 14 May 2018 (-0.05%), 18 Sep 2018 (0.23%), 16 Nov 2018 (-1.76%), 07 Dec 2018 (3.97%), 24 Dec 2018 (-2.02%)
2017418 Jan 2017 (1.15%), 25 Sep 2017 (-0.33%), 12 Oct 2017 (-2.17%), 07 Dec 2017 (-2.05%)
2016301 Mar 2016 (-3.04%), 22 Nov 2016 (-0.86%), 12 Dec 2016 (2.76%)
2015624 Apr 2015 (1.91%), 12 Jun 2015 (1.37%), 31 Aug 2015 (1.93%), 21 Sep 2015 (3.36%), 02 Nov 2015 (0.08%), 17 Dec 2015 (2.86%)
2014121 Feb 2014 (-2.12%)
2013506 Jun 2013 (1.82%), 02 Jul 2013 (0.74%), 18 Jul 2013 (-0.31%), 20 Sep 2013 (3.44%), 21 Nov 2013 (1.63%)
2011706 Jan 2011 (2.29%), 28 Jan 2011 (-0.49%), 21 Apr 2011 (-2.39%), 19 May 2011 (-0.84%), 02 Jun 2011 (1.09%), 29 Jul 2011 (0.06%), 22 Aug 2011 (-3.79%)
2010225 Jun 2010 (0.84%), 24 Aug 2010 (2.53%)
2009119 Mar 2009 (0.31%)
2008115 Jan 2008 (4.53%)
2007202 Jul 2007 (-0.38%), 30 Jul 2007 (-4.44%)
2005107 Jun 2005 (-0.59%)



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