Study: Buy ARVIND 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 ARVIND 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 ARVIND 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
1-69324.2760223836.673879.1212226.35-4070.13-11964.20.950.55-0.048-1155.4
2-130104602139353485.2711461.99-5212.68-21468.930.670.36-0.07-2168.4
3-10586960233738.337224.9145847.95-7352.49-34382.570.980.61-0.033-1764.49
4-15893060204033.3311311.3843040.94-9628.93-62314.161.170.59-0.033-2648.83
5-18414360233738.3310860.3840892.19-11727.89-89592.760.930.58-0.035-3069.05
6-14445360233738.3313382.0248327.14-12222.68-75113.121.090.68-0.026-2407.55
7-1163216024364014299.9547583.64-12764.45-81318.681.120.75-0.02-1938.69
8-47452.2160283246.6714325.655513.31-14017.78-627021.020.89-0.0081-790.87
9-50344.0260263443.3315293.0747908.75-13175.4-68778.281.160.89-0.0084-839.07
1068412.3860283246.6717994.2767289.72-13607.1-70200.391.321.160.011140.21
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
50trail-12.715031091187319.7819233.6882655.69-2683.51-40007.171.770.0261651.76
atrtrail-15.4512712175195625.3326854.7288344.7-6841.41-13424.33.931.330.0191694.94
atrtrail34.5249112.2375195625.3322749.0246947.71-6841.41-13424.33.331.130.009654.83
atrnil36.737560.6867165123.8828795.4246947.71-8297.37-13424.33.471.090.0069560.61
50nil31.991107.0291226924.189189.7611854.37-2914.02-3986.483.151.010.0004712.17
50trail31.77-19971.593217222.588384.9111854.37-2722.98-40003.080.9-0.009-214.75
atrnil25.06-43548.6569204928.9918265.4231298.48-8344.02-13424.32.190.89-0.01-631.14
atrtrail24-43346.2975195625.3317882.7831298.48-6841.41-13424.32.610.89-0.01-577.95
50nil21.62-42783.0894266827.666055.527902.91-2944.51-3986.482.060.79-0.023-455.14
50trail21.52-43562.3296267027.086016.367902.91-2856.97-40002.110.78-0.023-453.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 19.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
ARVIND Performance, Profit Factor:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018324 Jan 2018 (-1.63%), 02 May 2018 (3.8%), 18 Jun 2018 (-1.86%)
2017806 Jan 2017 (1.55%), 17 May 2017 (-1.06%), 17 Jul 2017 (-1.45%), 19 Jul 2017 (-1.08%), 09 Aug 2017 (-1.99%), 16 Aug 2017 (-1.97%), 05 Oct 2017 (-0.61%), 09 Oct 2017 (1.01%)
2016915 Jan 2016 (-1.78%), 01 Feb 2016 (-1.02%), 18 Jul 2016 (-1.84%), 19 Jul 2016 (-1.06%), 19 Aug 2016 (-1.23%), 01 Sep 2016 (3.01%), 14 Sep 2016 (3.22%), 25 Nov 2016 (-1.57%), 30 Nov 2016 (-1.35%)
2015619 Jan 2015 (-1.67%), 16 Mar 2015 (-0.28%), 06 Oct 2015 (-0.41%), 26 Oct 2015 (-1.42%), 30 Oct 2015 (-1.11%), 02 Nov 2015 (-1.71%)
2014913 Feb 2014 (-1.2%), 18 Mar 2014 (-0.7%), 24 Mar 2014 (19.94%), 13 Aug 2014 (41.33%), 14 Oct 2014 (-1.41%), 20 Oct 2014 (3.31%), 28 Oct 2014 (3.35%), 07 Nov 2014 (-1.76%), 31 Dec 2014 (-1.16%)
2013112 Apr 2013 (-1.02%)
2012105 Mar 2012 (-1.5%)
2011502 Feb 2011 (-1.62%), 20 Jun 2011 (-1.34%), 21 Jun 2011 (-1.51%), 29 Jun 2011 (4.6%), 04 Aug 2011 (-1.23%)
2010507 Apr 2010 (-1.29%), 04 May 2010 (-1.21%), 05 May 2010 (-1.3%), 25 Nov 2010 (-1.41%), 07 Dec 2010 (-1.76%)
2009827 Jul 2009 (-1.5%), 03 Aug 2009 (-1.06%), 06 Aug 2009 (-1.74%), 07 Aug 2009 (-1.13%), 20 Aug 2009 (20.16%), 09 Nov 2009 (-1.33%), 08 Dec 2009 (-1.37%), 16 Dec 2009 (7.6%)
2008115 Jan 2008 (-1.09%)
20051024 Feb 2005 (7.79%), 16 Mar 2005 (-1.45%), 07 Apr 2005 (-1.54%), 21 Jun 2005 (-1.91%), 18 Jul 2005 (-1.0%), 22 Jul 2005 (-1.78%), 11 Aug 2005 (-1.84%), 26 Aug 2005 (-1.59%), 26 Sep 2005 (-1.47%), 06 Oct 2005 (-1.91%)
2004327 Jan 2004 (-1.58%), 25 Oct 2004 (-1.08%), 04 Nov 2004 (2.36%)
2003410 Jan 2003 (6.15%), 26 Feb 2003 (-0.55%), 27 Aug 2003 (13.01%), 15 Nov 2003 (2.57%)
2002604 Jan 2002 (-2.0%), 26 Mar 2002 (-1.52%), 28 May 2002 (-0.69%), 04 Jun 2002 (28.33%), 31 Oct 2002 (-1.07%), 31 Dec 2002 (-0.55%)
2001509 Jan 2001 (-1.34%), 24 Jan 2001 (-1.1%), 24 Dec 2001 (-1.33%), 26 Dec 2001 (-1.61%), 31 Dec 2001 (-1.0%)
1997309 Apr 1997 (-1.84%), 11 Apr 1997 (-1.26%), 21 Apr 1997 (-1.16%)
1996426 Jun 1996 (-0.64%), 08 Jul 1996 (-1.15%), 11 Jul 1996 (-1.5%), 16 Jul 1996 (-1.72%)



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