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

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In this study, we evaluate the performance of strategy "Buy ALBK 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 ALBK 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
1-38521.8929111837.933551.5812181.62-4310.51-12899.480.820.5-0.063-1328.34
2-62514.829121741.384555.8911130.64-6893.26-14294.020.660.47-0.077-2155.68
3-79331.4429101934.487287.3516410.86-8010.78-171190.910.48-0.076-2735.57
4-80962.3829111837.939983.3435891.38-10598.84-20180.930.940.58-0.055-2791.81
5-69453.1329131644.838999.2939433.29-11652.74-23667.250.770.63-0.045-2394.94
6-43601.629131644.839527.3440850.06-10466.07-27395.210.910.74-0.028-1503.5
719850.2229151451.7211534.2340968.12-10940.23-26035.851.051.130.012684.49
8-16604.2229131644.8312717.733766.23-11370.9-27093.741.120.91-0.0095-572.56
95337.5229141548.2812653.1335183-11453.75-25389.361.11.030.003184.05
10-4741.0429141548.2812408.2835537.19-11897.13-29856.011.040.97-0.0025-163.48
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail-14.39-19654.4738132534.2112324.6732409.43-7195.01-11226.931.710.89-0.011-517.22
atrtrail23.61-42110.2638132534.2110597.320671.45-7195.01-11226.931.470.77-0.029-1108.16
200nil31.72-26253.934693719.579309.2111797.34-2973.97-3976.453.130.76-0.029-570.74
atrtrail33.89-44009.1338132534.2110451.2325599.14-7195.01-11226.931.450.76-0.03-1158.14
atrnil24.37-63896.333592625.7115837.3320671.45-7939.7-11226.931.990.69-0.043-1825.61
200nil21.5-34190.55481236256096.197864.89-2981.8-3976.452.040.68-0.044-712.3
atrnil36.65-96689.73152616.1322333.6928065.88-8013.77-11226.932.790.54-0.068-3119.02
200trail-12.26-53110.374654110.8711809.7431563.91-2735.59-3976.454.320.53-0.05-1154.57
200trail31.7-52637.64664013.049683.5711797.34-2768.48-3976.453.50.52-0.066-1144.3
200trail21.48-55197.084893918.756048.327864.89-2811.08-3976.452.150.5-0.08-1149.94

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 34.21%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ALBK Performance, Profit Factor:0.891

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019518 Jan 2019 (-3.72%), 25 Jan 2019 (0.34%), 07 May 2019 (-3.79%), 21 May 2019 (1.08%), 31 May 2019 (-4.08%)
2018304 Jan 2018 (-2.95%), 21 Nov 2018 (3.66%), 10 Dec 2018 (4.63%)
2017920 Mar 2017 (-2.97%), 24 Mar 2017 (1.35%), 17 Apr 2017 (16.2%), 25 May 2017 (-4.98%), 10 Jul 2017 (-3.29%), 18 Jul 2017 (3.33%), 07 Aug 2017 (-2.96%), 15 Dec 2017 (-3.02%), 29 Dec 2017 (-2.61%)
2016116 Dec 2016 (-3.24%)
2014120 Oct 2014 (7.17%)
2013208 Feb 2013 (-3.06%), 21 Feb 2013 (-3.24%)
2012203 Feb 2012 (15.3%), 02 May 2012 (-3.69%)
2011813 Jan 2011 (4.4%), 03 Feb 2011 (-4.29%), 18 Feb 2011 (-4.04%), 01 Mar 2011 (-4.31%), 24 Mar 2011 (6.14%), 18 Apr 2011 (-0.18%), 26 Apr 2011 (-3.57%), 26 Jul 2011 (-3.05%)
2007321 Feb 2007 (-3.88%), 10 Jul 2007 (15.12%), 20 Aug 2007 (-5.1%)
2006315 May 2006 (1.39%), 18 May 2006 (-4.49%), 26 May 2006 (-5.61%)
2005118 Oct 2005 (-3.82%)



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