Study: Buy MINDTREE when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy MINDTREE when near 200 SMA and 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 MINDTREE 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
16777.431477503975.5310258.71-3007.33-4884.31.321.320.036484.1
237561.66149564.294901.5711592.67-1310.49-3195.013.746.730.212682.98
332591.77148657.146201.5512497.59-2836.77-6940.872.192.910.142327.98
428276.68149564.295200.0715595.02-3704.79-6240.291.42.530.122019.76
533679.151410471.434874.9312304.97-3767.53-8329.81.293.230.162405.65
628964.07149564.295572.4911249.37-4237.68-7740.541.312.370.122068.86
720832.24149564.296516.1916111.26-7562.7-11780.880.861.550.061488.02
8-3566.371477509518.2519116.23-10027.74-21560.650.950.95-0.0069-254.74
94745.1146842.8612498.9120896.1-8781.04-23668.641.421.070.0083338.94
10-17125.3146842.8610210.5923961.33-9798.6-24500.741.040.78-0.032-1223.24
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MINDTREE Performance, X=2, Profit Factor:6.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016218 Feb 2016 (0.98%), 22 Apr 2016 (-0.13%)
2015320 Jul 2015 (-0.3%), 06 Aug 2015 (4.35%), 26 Aug 2015 (5.8%)
2014221 Nov 2014 (-0.98%), 12 Dec 2014 (-0.27%)
2011118 Jan 2011 (0.2%)
2010322 Feb 2010 (-1.6%), 12 Mar 2010 (2.43%), 29 Dec 2010 (2.55%)
2008329 Apr 2008 (2.45%), 21 May 2008 (3.1%), 05 Jun 2008 (0.2%)

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
200nil31.5211703.4125817328295.611437.36-3215.38-3897.182.581.210.027468.14
atrnil37.4713469.421751229.4121979.6927102.73-8035.75-11488.282.741.140.018792.32
200trail31.526180.1725817327373.8711437.36-3106.52-3897.182.371.120.015247.21
200trail21.24-1890.5925916365484.257624.91-3203.06-3897.181.710.96-0.0057-75.62
200nil21.24-2745.5525916365484.257624.91-3256.49-3897.181.680.95-0.0082-109.82
atrtrail24.89-16083.141961331.589219.3416586.9-5492.25-8999.241.680.77-0.035-846.48
atrnil26.59-23163.411751229.4114653.1318068.49-8035.75-11488.281.820.76-0.041-1362.55
200trail-12.33-13810.3724618256752.3618991.36-3018.03-3897.182.240.75-0.035-575.43
atrtrail35.21-27315.151961331.587347.3420797.31-5492.25-8999.241.340.62-0.063-1437.64
atrtrail-15.32-29213.091961331.587031.0218899.37-5492.25-8999.241.280.59-0.071-1537.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
MINDTREE Performance, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016318 Feb 2016 (3.97%), 22 Apr 2016 (-1.63%), 26 Apr 2016 (-1.4%)
2015520 Jul 2015 (-1.64%), 22 Jul 2015 (-1.28%), 06 Aug 2015 (3.76%), 26 Aug 2015 (3.74%), 27 Aug 2015 (5.72%)
2014521 Nov 2014 (-1.6%), 26 Nov 2014 (-1.85%), 12 Dec 2014 (-1.62%), 16 Dec 2014 (-1.75%), 17 Dec 2014 (4.07%)
2011305 Jan 2011 (-1.95%), 18 Jan 2011 (-1.43%), 20 Jan 2011 (-1.68%)
2010422 Feb 2010 (-1.1%), 02 Mar 2010 (-1.7%), 12 Mar 2010 (3.66%), 29 Dec 2010 (-1.88%)
2008529 Apr 2008 (-1.32%), 21 May 2008 (4.77%), 03 Jun 2008 (-1.91%), 05 Jun 2008 (3.5%), 09 Jun 2008 (-1.59%)



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