Study: Buy ULTRACEMCO when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ULTRACEMCO when above 200 SMA and RSI is oversold" 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
123771.74541808040.7320001.86-8391.2-8391.20.963.830.134754.35
234844.595418011658.4115210.33-11789.04-11789.040.993.960.196968.92
35471.16532608255.5311143.1-9647.71-17432.410.861.280.0281094.23
45943.9532607038.5513724.58-7585.87-9248.040.931.390.0371188.78
527025.45234022503.3135026.46-5993.74-12754.223.752.50.0855405.08
617469.45234027644.7945538.12-12606.73-19154.42.191.460.0393493.88
737707.275326022761.653709.72-15288.77-17124.051.492.230.0777541.45
840594.725326025396.1955065.47-17796.92-23036.591.432.140.0788118.94
952049.075326026415.654935.46-13598.86-17782.241.942.910.1110409.81
1061266.475326032575.159578.42-18229.42-26048.641.792.680.1112253.29

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.96. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 3.48%, which is very good. Win loss ratio is less than 1 which is bad, avoid this strategy.
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.
ULTRACEMCO Performance, X=2, Profit Factor:3.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014116 Oct 2014 (5.72%)
2010129 Apr 2010 (-5.89%)
2007123 Feb 2007 (5.63%)
2006108 Jun 2006 (7.61%)
2005120 Oct 2005 (4.35%)

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
atrtrail34.5690259.0693633.3336184.857299.16-3049.22-7080.4311.875.930.1210028.78
atrtrail-17.2286026.6693633.333477447421.45-3049.22-7080.4311.45.70.139558.52
nilnil-1234844.595418011658.4115210.33-11789.04-11789.040.993.960.196968.92
atrtrail23.5654074.2693633.3324123.238199.44-3049.22-7080.437.913.960.116008.25
atrnil311.2973348.0473442.8635748.6857299.16-8474.5-11612.924.223.160.1110478.29
atrnil29.2937599.3673442.8623832.4538199.44-8474.5-11612.922.812.110.0795371.34

In the table above, row 1 shows the best exit criterion. Profit factor is 5.93. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 5.01%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ULTRACEMCO Performance, Profit Factor:5.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014116 Oct 2014 (9.5%)
2010429 Apr 2010 (-3.2%), 30 Apr 2010 (-3.54%), 04 May 2010 (-0.09%), 07 May 2010 (-1.74%)
2007123 Feb 2007 (-0.26%)
2006108 Jun 2006 (28.65%)
2005220 Oct 2005 (-0.32%), 28 Oct 2005 (16.13%)



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