Study: Buy VGUARD 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 VGUARD 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 VGUARD 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
12280.4320911454915.8718067.05-3814.77-111611.291.050.0058114.02
2418.4220128604596.6519101.82-6842.67-21338.460.671.010.0007720.92
3-2840.5920128605637.2621129.97-8810.96-25016.040.640.96-0.0043-142.03
4-156.55201010509370.7323701.54-9386.38-30190.2911-0.00019-7.83
5-15750.4220911459789.5833211.41-9441.51-30789.741.040.85-0.017-787.52
6-1742.38209114510238.4822785.6-8535.34-25016.041.20.98-0.0022-87.12
7-9477.49201010509337.3322823.7-10285.08-21937.140.910.91-0.012-473.87
8-7742.8520101050859922330.3-9373.29-19542.440.920.92-0.01-387.14
917394.67209114513052.3820246.91-9097.88-19568.131.431.170.021869.73
1024598.92010105013636.5823758.28-11176.69-20041.031.221.220.0261229.94
Although, strategy looks good but profit factor on day 5 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
atrtrail34.6958796.752691734.6215553.2626927.19-4775.45-8907.683.261.720.0632261.41
50trail-13.1930789.513192229.0310106.6924651.06-2735.03-3992.333.71.510.041993.21
atrnil36.9547012.642281436.3618916.526927.19-7451.38-10141.022.541.450.052136.94
50nil32.442553232102231.259261.3111314.22-3049.14-3992.333.041.380.041797.87
50trail32.2819508.9932102231.258245.511314.22-2861.18-3992.332.881.310.034609.66
atrtrail-15.6523674.862691734.6211650.8322645.76-4775.45-8907.682.441.290.031910.57
atrtrail24.3114523.662691734.6210634.0317951.46-4775.45-8907.682.231.180.021558.6
50nil22.032703.0432112134.386100.317542.81-3066.69-3992.331.991.040.005884.47
50trail2242.1632112134.385514.67542.81-2886.59-3992.331.9119.6e-051.32
atrnil26.5-3431.372281436.361261117951.46-7451.38-10141.021.690.97-0.0048-155.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 1.13%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, 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.
VGUARD Performance, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Feb 2019 (8.96%)
2018618 Jan 2018 (1.76%), 19 Feb 2018 (-3.52%), 26 Feb 2018 (-0.48%), 16 Mar 2018 (-3.44%), 05 Apr 2018 (9.29%), 30 May 2018 (-2.85%)
2017124 Aug 2017 (9.21%)
2015206 Apr 2015 (7.68%), 16 Apr 2015 (-1.07%)
2013422 Jan 2013 (-3.05%), 19 Mar 2013 (-3.85%), 18 Jul 2013 (8.63%), 14 Oct 2013 (-2.71%)
2012212 Oct 2012 (1.82%), 25 Oct 2012 (-3.12%)
2011621 Feb 2011 (-3.87%), 04 Mar 2011 (-4.45%), 20 Sep 2011 (-0.58%), 22 Sep 2011 (-2.07%), 12 Oct 2011 (-2.61%), 21 Oct 2011 (-1.11%)
2010222 Jun 2010 (-1.22%), 29 Jun 2010 (9.17%)
2009222 Jul 2009 (-0.62%), 20 Aug 2009 (13.46%)



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