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

home > technical-strategy > kpit > 6

In this study, we evaluate the performance of strategy "Buy KPIT 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 KPIT 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
14423.87169756.253823.476946.98-4283.91-10087.370.891.150.014276.49
250593.95169756.259441.618110.24-4911.49-11416.781.922.470.0863162.12
392654.481611568.7510811.3632883.24-5254.09-12242.092.064.530.135790.91
468695.381610662.59795.5230789.74-4876.64-13273.732.013.350.14293.46
51021161611568.7512312.3930723.09-6664.1-15199.451.854.060.136382.24
666909.771611568.7510548.9827005.56-9825.8-18188.031.072.360.0844181.86
778906.471610662.513732.1745353.46-9735.87-21538.461.412.350.0764931.65
842540.62169756.2512552.7532644.96-10062.01-20976.621.251.60.0442658.79
972384.2916885018629.7656269.49-9581.72-22783.981.941.940.0574524.02
1085751.416885019275.7751403.62-8556.85-21602.12.252.250.075359.46
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
KPIT Performance, X=3, Profit Factor:4.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017118 Jan 2017 (-6.12%)
2016125 Oct 2016 (-2.02%)
2015105 Nov 2015 (7.23%)
2014318 Sep 2014 (3.23%), 27 Oct 2014 (-0.45%), 12 Nov 2014 (-0.7%)
2013114 Jun 2013 (3.5%)
2012119 Apr 2012 (3.37%)
2011307 Mar 2011 (12.86%), 18 Oct 2011 (3.4%), 17 Nov 2011 (0.83%)
2010128 Dec 2010 (2.19%)
2007230 Nov 2007 (-3.85%), 27 Dec 2007 (3.6%)
2003113 May 2003 (2.82%)
2002118 Sep 2002 (16.44%)

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
atrnil37.5350767.591761135.2925798.1529898.87-9456.48-15041.122.731.490.0432986.33
200trail31.7917609.32481633.337653.8810444.83-2726.36-3772.642.811.40.036733.72
200nil31.7917162.862481633.337653.8810444.83-2754.26-3772.642.781.390.035715.12
atrnil26.1221806.741771041.1816897.5619932.58-9647.62-15041.121.751.230.0241282.75
atrtrail24.9513215.221971236.8413272.0321227.29-6640.75-15041.1221.170.015695.54
atrtrail-15.6313116.231971236.8413257.8946415.21-6640.75-15041.1221.160.012690.33
200trail-12.836434.324618258776.8325842.72-2568.15-3772.643.421.140.01268.1
200trail21.584123.652491537.55048.586963.22-2754.24-3772.641.831.10.011171.82
200nil21.583677.212491537.55048.586963.22-2784-3772.641.811.090.0097153.22
atrtrail35.47-928.331971236.8411251.5329233.09-6640.75-15041.121.690.99-0.0011-48.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 1.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
KPIT Performance, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017118 Jan 2017 (-2.71%)
2016125 Oct 2016 (-3.42%)
2015105 Nov 2015 (11.44%)
2014318 Sep 2014 (-3.77%), 27 Oct 2014 (-3.88%), 30 Oct 2014 (11.64%)
2013114 Jun 2013 (13.21%)
2012119 Apr 2012 (11.54%)
2011407 Mar 2011 (14.62%), 18 Oct 2011 (-4.31%), 17 Nov 2011 (-4.2%), 22 Nov 2011 (-4.28%)
2010128 Dec 2010 (14.95%)
2007230 Nov 2007 (-5.73%), 27 Dec 2007 (-6.21%)
2003113 May 2003 (-5.99%)
2002118 Sep 2002 (-7.52%)



View performance of other stocks for this trading system.