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

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In this study, we evaluate the performance of strategy "Buy ULTRACEMCO when near 200 SMA and above 200 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
1-13.2820911452626.955755.64-2150.53-5268.261.221-5.9e-05-0.66
25534.9420911454603.217795.26-3263.09-7907.291.411.150.015276.75
3-1246.6720911455773.4414825.94-4837.06-16129.341.190.98-0.0023-62.33
4-3353.17201010505742.8616094.16-6078.17-19687.140.940.94-0.0056-167.66
5-815.72201010506116.5317845.9-6198.1-15366.270.990.99-0.0013-40.79
6138461911857.896263.9419329.41-6882.16-14565.050.911.250.022728.74
728686.051912763.166542.9119886.55-7118.41-17445.630.921.580.0451509.79
830575.521911857.898355.4421098.88-7666.79-17302.561.091.50.0431609.24
948513.531913668.427496.2319357.51-8156.24-16501.340.921.990.072553.34
1049159.141911857.898978.9922195.47-6201.22-16510.871.451.990.0692587.32
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.4768689.11971236.8420045.1837192.7-5968.93-8479.793.361.960.073615.22
atrtrail36.1639030.52510154010333.9321854.46-4287.25-8385.332.411.610.0471561.22
atrtrail25.3233667.11251015409797.5924795.13-4287.25-8385.332.291.520.0421346.68
atrnil27.232365.29208124012999.0624795.13-5968.93-8479.792.181.450.0431618.26
atrtrail-1726946.97251015409125.5817045.69-4287.25-8385.332.131.420.0361077.88
200nil33.3517559.243192229.039079.8411862.56-2916.33-3805.643.111.270.026566.43
200trail32.941938.5833102330.36302.9811862.56-2656.14-3935.992.371.030.003358.74
200trail22.29-101.7634112332.355577.867908.37-2672.1-3935.992.091-0.00019-2.99
200nil22.44-4463.8632102231.256113.447908.37-2981.74-3805.642.050.93-0.0084-139.5
200trail-13.45-19132.3533102330.34195.8913857.34-2656.14-3935.991.580.69-0.038-579.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.96. 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 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.07, 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:1.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019227 Feb 2019 (7.82%), 14 Oct 2019 (-3.47%)
2018512 Mar 2018 (-2.03%), 27 Jul 2018 (8.18%), 20 Nov 2018 (-3.0%), 21 Dec 2018 (-2.67%), 27 Dec 2018 (-2.67%)
2016104 Mar 2016 (9.01%)
2015115 Oct 2015 (-2.71%)
2014103 Mar 2014 (7.35%)
2013322 Apr 2013 (8.27%), 01 Jul 2013 (-2.94%), 09 Jul 2013 (-2.75%)
2011114 Jun 2011 (-2.61%)
2010120 Aug 2010 (-2.54%)
2009116 Mar 2009 (18.6%)
2007311 Jul 2007 (10.93%), 13 Aug 2007 (-4.24%), 27 Aug 2007 (-4.18%)



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