Study: Buy SUNTV when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy SUNTV when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy SUNTV 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
115232.8730171356.673574.458641.62-3502.52-8078.361.021.330.035507.76
243729.43301812605387.119422.98-4436.53-13326.881.211.820.0621457.65
355304.053022873.335486.2616337.69-8174.21-14463.660.671.850.0741843.47
484066.1330201066.677950.323905.2-7493.98-19754.341.062.120.0882802.2
564028.0330191163.337471.7519526.02-7085.02-15440.061.051.820.072134.27
642469.7830191163.336193.8329718.99-6837.55-14391.10.911.560.0481415.66
741547.39301515507690.2224290.61-4920.39-15592.331.561.560.0491384.91
862841.630191163.338084.5824674.43-8251.4-19131.70.981.690.0632094.72
968297.0830191163.338437.7824537.35-8365.52-17293.511.011.740.0682276.57
1077102.8430191163.339322.9726593.56-9093.96-14632.971.031.770.0692570.09
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SUNTV Performance, X=4, Profit Factor:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018112 Feb 2018 (-9.88%)
2017405 Jun 2017 (-5.27%), 21 Jun 2017 (-4.74%), 17 Jul 2017 (-3.08%), 25 Sep 2017 (-2.73%)
2016407 Apr 2016 (1.46%), 23 May 2016 (4.47%), 10 Jun 2016 (1.42%), 01 Jul 2016 (2.39%)
2015325 Mar 2015 (5.44%), 06 Nov 2015 (4.33%), 07 Dec 2015 (0.3%)
2014116 May 2014 (11.95%)
2013313 Feb 2013 (1.19%), 23 May 2013 (4.53%), 08 Nov 2013 (-5.02%)
2012227 Aug 2012 (-1.42%), 31 Oct 2012 (4.16%)
2010524 Feb 2010 (5.52%), 05 May 2010 (2.87%), 20 Oct 2010 (1.72%), 09 Nov 2010 (0.71%), 09 Dec 2010 (3.69%)
2009530 Jun 2009 (-3.82%), 17 Jul 2009 (-0.02%), 12 Nov 2009 (1.45%), 27 Nov 2009 (4.6%), 11 Dec 2009 (-1.48%)
2007210 Apr 2007 (8.01%), 18 Sep 2007 (9.31%)

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
atrnil28.3518075131181358.0615739.6522238.32-7889.44-14083.5122.760.145830.68
atrtrail25.7813042037211656.761026622238.32-5322.91-10442.021.932.530.113524.85
atrtrail36.4111543937211656.769552.6425670.86-5322.91-10442.021.792.360.093119.97
atrtrail-17.1911179837211656.769379.2646824.22-5322.91-10442.021.762.310.0813021.57
atrnil31212826828111739.2924016.0433357.47-7994.62-14083.5131.940.0834580.99
50nil32.5958478.1746163034.789024.6811665.22-2863.89-3874.283.151.680.0641271.26
50nil21.9447592.9149212842.866068.717776.81-2851.79-3834.062.131.60.063971.28
50trail-13.3141192.0148163233.337854.6323768.96-2640.07-3761.382.981.490.04858.17
50trail32.1735723.8648173135.426912.5811665.22-2638.39-3761.382.621.440.044744.25
50trail21.7231188.65501931386026.867776.81-2687.8-3783.12.241.370.042623.77

In the table above, row 1 shows the best exit criterion. Profit factor is 2.76. 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 58.06%, which is not acceptable. Avoid this strategy. Average return per trade is 2.92%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNTV Performance, Profit Factor:2.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018112 Feb 2018 (-4.65%)
2017505 Jun 2017 (-3.88%), 21 Jun 2017 (-3.14%), 17 Jul 2017 (-2.52%), 25 Sep 2017 (-3.96%), 05 Oct 2017 (7.73%)
2016307 Apr 2016 (6.58%), 23 May 2016 (-4.75%), 01 Jul 2016 (6.64%)
2015325 Mar 2015 (8.41%), 06 Nov 2015 (8.93%), 07 Dec 2015 (6.21%)
2014116 May 2014 (6.51%)
2013313 Feb 2013 (-3.6%), 23 May 2013 (-4.03%), 08 Nov 2013 (-3.55%)
2012327 Aug 2012 (-3.91%), 30 Aug 2012 (8.18%), 31 Oct 2012 (8.51%)
2010624 Feb 2010 (8.56%), 05 May 2010 (5.39%), 18 May 2010 (-3.48%), 20 Oct 2010 (5.91%), 12 Nov 2010 (-2.76%), 09 Dec 2010 (6.88%)
2009430 Jun 2009 (-7.04%), 17 Jul 2009 (11.12%), 12 Nov 2009 (9.92%), 08 Dec 2009 (8.52%)
2007210 Apr 2007 (8.45%), 18 Sep 2007 (9.22%)



View performance of other stocks for this trading system.