Study: Buy VGUARD when above 200 SMA

home > technical-strategy > vguard > 58

In this study, we evaluate the performance of strategy "Buy VGUARD when above 200 SMA" 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
1-12266.2224141058.333237.1913723.98-5758.69-12352.140.560.79-0.026-511.09
2-3481.0624131154.174113.8612027.76-5178.3-13748.120.790.94-0.0072-145.04
35808.1224131154.175834.5512296.18-6367.37-21826.390.921.080.0095242
443872.912417770.835954.6317058.1-8193.69-21324.640.731.760.0651828.04
536902.572416866.676829.4223733-9046.02-24736.580.751.510.0461537.61
658531.962415962.58421.4722496.91-7532.23-23030.611.121.860.0752438.83
780810.182416866.679225.9121137.21-8350.54-20622.181.12.210.13367.09
811949024186759526.1920689.66-8663.64-242851.13.30.154978.73
91345782417770.8310852.926699.63-7131.62-26041.141.523.70.155607.42
101348312417770.8311484.2925387.54-8628.85-21424.991.333.230.145617.96
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
VGUARD Performance, X=9, Profit Factor:3.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (-2.89%)
2018302 Feb 2018 (7.76%), 20 Mar 2018 (2.5%), 18 May 2018 (-1.71%)
2017127 Sep 2017 (5.65%)
2016215 Nov 2016 (-4.91%), 20 Dec 2016 (1.05%)
2015305 Feb 2015 (-1.08%), 25 Mar 2015 (4.45%), 07 May 2015 (0.46%)
2013321 Feb 2013 (6.41%), 25 Mar 2013 (13.17%), 23 May 2013 (1.29%)
2011408 Feb 2011 (9.46%), 17 Aug 2011 (-0.53%), 05 Oct 2011 (4.18%), 11 Nov 2011 (-13.02%)
2010523 Feb 2010 (13.35%), 07 May 2010 (0.46%), 25 May 2010 (2.36%), 29 Oct 2010 (9.12%), 19 Nov 2010 (-0.82%)
2009213 Jul 2009 (4.86%), 11 Aug 2009 (5.71%)

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
atrtrail36.1424631.613514214011848.9625571.54-6726.37-11397.691.761.170.02703.76
atrtrail24.4924515.623514214011840.6823520.02-6726.37-11397.691.761.170.021700.45
atrtrail-17.0321688.123514214011638.7131802.56-6726.37-11397.691.731.150.017619.66
atrnil39.39-7337.17287212523978.6635280.03-8342.28-11720.832.870.96-0.0055-262.04
atrnil25.9-31294.82309213015936.2523520.02-8320.05-11720.831.920.82-0.028-1043.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 May 2019 (-2.22%), 09 May 2019 (-2.57%)
2018502 Feb 2018 (-4.34%), 05 Feb 2018 (-4.57%), 20 Mar 2018 (10.85%), 18 May 2018 (1.13%), 31 May 2018 (-3.31%)
2017127 Sep 2017 (10.66%)
2016515 Nov 2016 (-5.7%), 18 Nov 2016 (-5.43%), 20 Dec 2016 (-1.32%), 26 Dec 2016 (-3.13%), 28 Dec 2016 (5.81%)
2015405 Feb 2015 (-3.73%), 06 Feb 2015 (2.17%), 25 Mar 2015 (7.4%), 07 May 2015 (-1.73%)
2013321 Feb 2013 (-0.36%), 25 Mar 2013 (-4.59%), 23 May 2013 (-3.85%)
2011508 Feb 2011 (-4.89%), 17 Aug 2011 (-4.48%), 19 Aug 2011 (-1.24%), 05 Oct 2011 (3.42%), 11 Nov 2011 (-3.39%)
2010823 Feb 2010 (10.56%), 07 May 2010 (-1.16%), 17 May 2010 (0.99%), 25 May 2010 (1.38%), 29 Oct 2010 (9.03%), 19 Nov 2010 (-4.13%), 25 Nov 2010 (-4.49%), 26 Nov 2010 (3.02%)
2009213 Jul 2009 (3.75%), 11 Aug 2009 (12.79%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play