Study: Buy ULTRACEMCO when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-12090.232151746.882253.658462.33-2699.7-7118.450.830.74-0.031-377.82
2-13122.0732131940.624756.7214010.73-3945.23-11064.431.210.82-0.02-410.06
3-10932.1632151746.885184.6121113.69-5217.72-16246.50.990.88-0.012-341.63
4960.1832151746.885946.5422286.12-5190.46-19687.141.151.010.001130.01
5543.43321616504932.7320102.37-4898.76-15366.271.011.010.0006416.98
6-12326.3932141843.75548021708.58-4947.02-14565.051.110.86-0.015-385.2
7-2232.93321616504980.8618178.89-5120.42-17445.630.970.97-0.0028-69.78
844550.0232201262.56443.4624784.38-7026.6-17302.560.921.530.0421392.19
990299.2432171553.129278.1827666.82-4495.32-16501.342.062.340.0822821.85
1058266.9231171454.849076.6426214.25-6859.71-17505.711.321.610.0511879.58
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ULTRACEMCO Performance, X=9, Profit Factor:2.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Jul 2019 (-2.1%), 01 Oct 2019 (1.73%)
2017412 Jul 2017 (-2.04%), 19 Oct 2017 (9.04%), 12 Dec 2017 (2.79%), 29 Dec 2017 (1.98%)
2016224 May 2016 (1.66%), 28 Oct 2016 (-3.55%)
2015115 Oct 2015 (-1.08%)
2014405 Aug 2014 (4.43%), 26 Aug 2014 (3.22%), 10 Nov 2014 (-3.5%), 12 Dec 2014 (3.64%)
2013606 Feb 2013 (-0.97%), 20 Feb 2013 (-2.48%), 15 Mar 2013 (-3.02%), 16 Apr 2013 (-0.75%), 03 May 2013 (4.63%), 28 Nov 2013 (-0.13%)
2012410 Jan 2012 (4.59%), 13 Jun 2012 (3.97%), 04 Dec 2012 (-0.08%), 21 Dec 2012 (2.68%)
2011304 Mar 2011 (1.37%), 10 May 2011 (-1.57%), 14 Jun 2011 (-8.25%)
2009225 Aug 2009 (2.4%), 16 Sep 2009 (12.04%)
2007214 Nov 2007 (-3.16%), 14 Dec 2007 (-1.04%)
2006128 Jun 2006 (4.86%)
2005114 Dec 2005 (13.83%)

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
50nil22.537018.5648202841.675993.057978.81-2958.66-3940.792.031.450.044771.22
50trail22.1219775.648183037.55773.517614.16-2804.92-3778.732.061.240.025411.99
atrnil37.8532993.5534102429.4117556.5928107.09-5940.52-12410.052.961.230.022970.4
50trail32.672813.5848143429.176547.5110893.43-2613.28-3778.732.511.030.003358.62
50nil33.48356.27441133258884.9211968.21-2950.85-3979.53.0110.00048.1
atrtrail34.79-5269.9842123028.5710043.4825755.51-4193.06-10142.422.40.96-0.0042-125.48
50trail-13.47-7722.7347133427.666240.6817420.38-2613.28-3778.732.390.91-0.0088-164.31
atrnil27.15-25528.4334102429.4111704.418738.06-5940.52-12410.051.970.82-0.023-750.84
atrtrail24.45-36924.8842123028.577405.5717170.34-4193.06-10142.421.770.71-0.037-879.16
atrtrail-15.36-37133.8842123028.577388.1517239-4193.06-10142.421.760.7-0.037-884.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Jul 2019 (-1.45%), 01 Oct 2019 (-1.69%)
2017512 Jul 2017 (2.85%), 21 Jul 2017 (-1.54%), 19 Oct 2017 (2.93%), 12 Dec 2017 (2.84%), 22 Dec 2017 (3.04%)
2016424 May 2016 (2.47%), 30 May 2016 (3.7%), 28 Oct 2016 (-1.97%), 08 Nov 2016 (-1.01%)
2015215 Oct 2015 (-1.3%), 16 Oct 2015 (-1.69%)
2014705 Aug 2014 (-1.82%), 12 Aug 2014 (3.08%), 26 Aug 2014 (-1.84%), 10 Nov 2014 (2.58%), 13 Nov 2014 (-1.2%), 12 Dec 2014 (2.02%), 19 Dec 2014 (2.16%)
2013806 Feb 2013 (-1.53%), 14 Feb 2013 (-1.19%), 20 Feb 2013 (-1.14%), 15 Mar 2013 (-1.4%), 16 Apr 2013 (-1.74%), 02 May 2013 (2.45%), 28 Nov 2013 (-1.62%), 09 Dec 2013 (-1.71%)
2012810 Jan 2012 (-1.78%), 13 Jan 2012 (3.45%), 13 Jun 2012 (2.3%), 04 Dec 2012 (-1.33%), 06 Dec 2012 (-1.05%), 14 Dec 2012 (-1.38%), 21 Dec 2012 (-1.19%), 31 Dec 2012 (2.84%)
2011404 Mar 2011 (3.99%), 10 May 2011 (-1.62%), 13 May 2011 (-1.2%), 14 Jun 2011 (-1.05%)
2009425 Aug 2009 (3.98%), 16 Sep 2009 (3.63%), 17 Sep 2009 (3.62%), 24 Sep 2009 (-1.44%)
2007214 Nov 2007 (-1.65%), 14 Dec 2007 (-1.89%)
2006128 Jun 2006 (2.19%)
2005114 Dec 2005 (3.81%)



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