Study: Buy MARICO when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy MARICO when near 200 SMA and above 200 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy MARICO 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
138266.131073706688.415673.47-2850.89-4298.592.355.470.23826.61
247356.591082807088.2212081.63-4674.6-5500.351.526.070.234735.66
333550.21073706506.2614230.77-3997.87-6148.791.633.80.163355.02
446436.271082807337.6713915.94-6132.53-7134.481.24.790.214643.63
556437.791073709949.0421655.56-4401.83-6618.162.265.270.25643.78
662713.6410737010639.9725935.42-3922.05-6383.482.716.330.26271.36
755672.821073709895.320476.68-4531.44-9622.152.185.10.185567.28
855368.51073709381.2421834.96-3433.4-8542.62.736.380.185536.85
950562.991073708925.4619630.96-3971.73-9481.342.255.240.195056.3
1064162.2810646012947.0830615.38-3380.04-8495.663.835.750.176416.23

From the table above, we see that best results are achieved by holding positions for 8 trading days. Profit factor is 6.38. Strategy is very good and impressively bullish. Percentage of profitable trades is 70%, which is good. Average return per trade is 2.77%, which is very good.
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.
MARICO Performance, X=8, Profit Factor:6.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017123 Feb 2017 (3.77%)
2015122 Sep 2015 (2.1%)
2014223 Jan 2014 (-0.14%), 11 Apr 2014 (-4.27%)
2013115 Jul 2013 (0.18%)
2011217 May 2011 (8.65%), 18 Nov 2011 (0.76%)
2010113 Dec 2010 (-0.74%)
2008125 Jan 2008 (6.45%)
2006116 Jun 2006 (10.92%)

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
atrtrail26.4575454.61117463.6412107.9840836.74-2325.31-4495.955.219.110.166859.51
atrtrail38.66960510555016208.3141870.28-2287.31-4495.957.097.090.146960.5
nilnil-1855368.51073709381.2421834.96-3433.4-8542.62.736.380.185536.85
atrtrail-18.3354444.7494544.4416470.3241870.28-2287.31-4495.957.25.760.126049.42
200nil31.6961231.58138561.549419.1111618.39-2824.26-3846.333.345.340.234710.12
atrnil214.18107802116554.5522921.2940836.74-5945.07-8096.343.864.630.179800.22
200trail31.5755388.79148657.148964.4311606.86-2721.11-3846.333.294.390.23956.34
200nil21.3136113.95138561.546279.417745.59-2824.26-3846.332.223.560.182778
200trail21.2131483.65148657.145976.297737.91-2721.11-3846.332.22.930.152248.83
atrnil325.573891.2810464030811.2861255.12-8225.64-19628.473.752.50.0967389.13
200trail-13.1515766.17136746.155478.3616191.44-2443.43-3846.332.241.920.0621212.78

In the table above, row 1 shows the best exit criterion. Profit factor is 9.11. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 3.43%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, Profit Factor:9.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017123 Feb 2017 (4.34%)
2015122 Sep 2015 (-0.36%)
2014223 Jan 2014 (-2.25%), 11 Apr 2014 (-2.03%)
2013115 Jul 2013 (0.73%)
2011217 May 2011 (8.2%), 18 Nov 2011 (0.04%)
2010213 Dec 2010 (8.12%), 23 Dec 2010 (0.53%)
2008125 Jan 2008 (-0.01%)
2006116 Jun 2006 (20.42%)



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