Study: Buy ALBK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ALBK when below 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
1-6850.2786394745.354770.2637252.86-4104.05-17214.041.160.96-0.0029-79.65
2-54211.3486414547.675848.4830072.84-6533.31-23556.060.90.82-0.018-630.36
3-21942.2986454152.337482.8858525.35-8748.09-33395.180.860.94-0.0053-255.14
4-44923.0386424448.849502.4759907.83-10091.51-29210.280.940.9-0.0092-522.36
5-79190.2885394645.889945.8844328.82-10153.9-32445.290.980.83-0.017-931.65
6-54662.2985404547.0611286.3947619.05-11247.07-35586.6410.89-0.01-643.09
78132.4585463954.1210874.8342658.09-12618.2-38024.430.861.020.001595.68
837096.4785503558.8211056.954992.32-14735.67-47052.580.751.070.0064436.43
9-9931.1285463954.1212240.1450384.02-14691.74-45565.590.830.98-0.0016-116.84
10-168.6185463954.1212468.5552861.6-14710.81-40870.240.851-2.7e-05-1.98
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
atrnil38.78-60139.671393110822.330215.958947.57-9229.93-21531.323.270.94-0.0063-432.66
atrnil26.59-1019821454210328.9720165.0743062.65-9212.76-16850.42.190.89-0.012-703.32
atrtrail34.67-1897221624911330.2512875.2951321.55-7262.05-16850.41.770.77-0.025-1171.12
atrtrail24.08-2096011635111231.2911939.2934214.37-7308.08-16850.41.630.74-0.031-1285.9
atrtrail-15.07-2351491624911330.2511948.2150292.58-7262.05-16850.41.650.71-0.032-1451.54

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 22.3%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, 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:0.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019521 Jan 2019 (-3.84%), 08 Feb 2019 (-4.41%), 11 Feb 2019 (14.17%), 08 May 2019 (-4.31%), 13 May 2019 (14.45%)
20181516 Jan 2018 (-3.08%), 31 Jan 2018 (-3.64%), 01 Feb 2018 (-3.93%), 02 Feb 2018 (-4.23%), 06 Feb 2018 (-4.68%), 15 Feb 2018 (-5.25%), 19 Feb 2018 (-5.92%), 07 Mar 2018 (-5.53%), 26 Apr 2018 (-4.16%), 14 May 2018 (-4.35%), 15 May 2018 (-5.18%), 16 May 2018 (16.64%), 21 Sep 2018 (-4.85%), 28 Sep 2018 (-5.16%), 08 Oct 2018 (16.38%)
2017803 Mar 2017 (10.35%), 24 May 2017 (-5.2%), 12 Jun 2017 (12.43%), 09 Aug 2017 (-3.14%), 10 Aug 2017 (-3.56%), 22 Aug 2017 (11.04%), 27 Sep 2017 (9.59%), 13 Dec 2017 (-3.17%)
20161507 Jan 2016 (-3.08%), 11 Jan 2016 (-3.12%), 12 Jan 2016 (-3.41%), 13 Jan 2016 (-3.6%), 14 Jan 2016 (-3.84%), 15 Jan 2016 (-4.64%), 20 Jan 2016 (-5.01%), 10 Feb 2016 (-6.6%), 11 Feb 2016 (-7.17%), 12 Feb 2016 (22.88%), 16 May 2016 (12.65%), 19 Dec 2016 (-3.22%), 20 Dec 2016 (-3.49%), 22 Dec 2016 (-3.52%), 26 Dec 2016 (11.36%)
20151430 Jan 2015 (-4.18%), 03 Feb 2015 (-4.39%), 05 Feb 2015 (-4.65%), 23 Mar 2015 (-4.24%), 26 Mar 2015 (12.07%), 03 Jun 2015 (-4.1%), 11 Jun 2015 (-4.22%), 29 Jun 2015 (-3.91%), 27 Jul 2015 (10.2%), 24 Aug 2015 (-5.37%), 02 Sep 2015 (-5.25%), 07 Sep 2015 (-5.28%), 08 Dec 2015 (-2.91%), 10 Dec 2015 (-3.03%)
2014521 Jan 2014 (-3.98%), 24 Jan 2014 (-3.84%), 27 Jan 2014 (-4.61%), 13 Feb 2014 (12.37%), 25 Sep 2014 (17.5%)
20131713 Feb 2013 (-4.63%), 04 Mar 2013 (-4.4%), 20 Mar 2013 (-4.4%), 21 Mar 2013 (-4.73%), 06 Jun 2013 (-3.12%), 10 Jun 2013 (-3.39%), 11 Jun 2013 (-3.61%), 20 Jun 2013 (-3.47%), 21 Jun 2013 (-3.87%), 24 Jun 2013 (-4.06%), 25 Jun 2013 (-4.43%), 27 Jun 2013 (-4.7%), 17 Jul 2013 (-4.76%), 25 Jul 2013 (-5.01%), 29 Jul 2013 (-5.69%), 01 Aug 2013 (19.44%), 17 Dec 2013 (12.11%)
20121226 Apr 2012 (-4.96%), 08 May 2012 (-5.23%), 11 May 2012 (-5.54%), 23 May 2012 (-4.92%), 24 May 2012 (-5.08%), 31 May 2012 (-4.89%), 04 Jun 2012 (14.78%), 23 Jul 2012 (-3.3%), 27 Jul 2012 (-3.8%), 24 Aug 2012 (-3.04%), 28 Aug 2012 (9.29%), 26 Oct 2012 (-3.46%)
20111614 Jan 2011 (-4.08%), 08 Feb 2011 (-4.51%), 29 Apr 2011 (-4.05%), 02 May 2011 (-4.32%), 18 May 2011 (-3.64%), 23 May 2011 (-3.7%), 05 Aug 2011 (-3.78%), 18 Aug 2011 (-4.22%), 25 Aug 2011 (-4.6%), 12 Sep 2011 (-4.45%), 28 Sep 2011 (-3.99%), 04 Oct 2011 (-4.48%), 25 Oct 2011 (13.42%), 19 Dec 2011 (-6.08%), 22 Dec 2011 (-6.29%), 28 Dec 2011 (18.61%)
2009530 Jan 2009 (-4.64%), 05 Feb 2009 (-4.53%), 24 Feb 2009 (-4.35%), 27 Feb 2009 (-4.95%), 04 Mar 2009 (14.47%)
20081222 Jan 2008 (-10.77%), 17 Mar 2008 (-8.43%), 19 Mar 2008 (29.47%), 29 May 2008 (-5.15%), 03 Jun 2008 (-5.06%), 04 Jun 2008 (-5.64%), 09 Jun 2008 (-5.92%), 23 Jun 2008 (-5.93%), 25 Jun 2008 (19.5%), 22 Oct 2008 (-6.27%), 24 Oct 2008 (-7.41%), 27 Oct 2008 (25.66%)
2007622 Feb 2007 (-4.5%), 05 Mar 2007 (-4.6%), 02 Apr 2007 (12.7%), 11 Jun 2007 (11.49%), 17 Aug 2007 (-5.18%), 21 Aug 2007 (16.68%)
2006623 Feb 2006 (-3.48%), 28 Apr 2006 (10.39%), 08 Jun 2006 (-6.37%), 14 Jun 2006 (-6.99%), 07 Jul 2006 (-6.55%), 12 Jul 2006 (20.8%)
2005219 Oct 2005 (-4.33%), 27 Oct 2005 (15.45%)
2003115 Sep 2003 (-4.44%)



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