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

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In this study, we evaluate the performance of strategy "Buy ARVIND 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 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
1-10412.9846192741.34529.4412735.17-3573.05-9734.511.270.89-0.0094-226.37
2-7990.8646252154.353882.3816221.56-5002.4-20403.50.780.92-0.0059-173.71
3-25714.7246222447.835278.7317442.78-5910.28-26113.440.890.82-0.016-559.02
4-11470.346252154.356664.1232596.69-8479.68-28553.690.790.94-0.005-249.35
5-50914.6946242252.176803.3130228.89-9736.09-38053.10.70.76-0.02-1106.84
6-10624146222447.837184.3724782.95-11012.39-30088.50.650.6-0.041-2309.59
7-12600546192741.37877.0521997.11-10209.94-35398.230.770.54-0.048-2739.23
8-16119246182839.138658.7631125.05-11323.2-38938.050.760.49-0.055-3504.17
9-18810246182839.138667.4131046.65-12289.85-53982.30.710.45-0.059-4089.18
10-22459146172936.968046.7429086.63-12461.56-60176.990.650.38-0.07-4882.4
Although, strategy looks good but profit factor on day 3 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
atrnil25.73-63984.551153629.4115269.6928317.91-8139.72-14556.761.880.78-0.023-1254.6
200nil31.85-43681.0571135818.319574.5811524.72-2899.15-3981.233.30.74-0.026-615.23
200trail31.74-48158.8872135918.068529.0911524.72-2695.54-3951.323.160.7-0.03-668.87
200trail21.43-49806.6572165622.226564.437962.47-2764.95-3951.322.370.68-0.036-691.76
200nil21.46-50869.2971165522.546615.467962.47-2849.39-3951.322.320.68-0.036-716.47
atrtrail24.2-10383654163829.638880.2419712.61-6471.57-14556.761.370.58-0.048-1922.89
atrnil37.85-1421684774014.8925669.5142476.86-8046.37-14556.763.190.56-0.049-3024.85
200trail-12.25-89881.3472126016.675780.7621910.02-2654.17-3951.322.180.44-0.064-1248.35
atrtrail34.61-15702654163829.635555.8529568.92-6471.57-14556.760.860.36-0.084-2907.89
atrtrail-14.67-16426654163829.635103.3822329.38-6471.57-14556.760.790.33-0.095-3041.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 29.41%, which is not acceptable. Avoid this strategy. Average return per trade is -0.63%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ARVIND Performance, Profit Factor:0.782

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018708 Feb 2018 (-4.26%), 05 Mar 2018 (-3.73%), 12 Mar 2018 (-3.75%), 03 Apr 2018 (6.36%), 02 May 2018 (6.12%), 15 Jun 2018 (-2.9%), 01 Aug 2018 (-3.35%)
2017724 May 2017 (6.5%), 12 Jun 2017 (-2.76%), 06 Jul 2017 (-2.36%), 09 Aug 2017 (-2.7%), 16 Aug 2017 (-2.98%), 22 Sep 2017 (-2.79%), 05 Oct 2017 (5.96%)
2016215 Feb 2016 (-5.02%), 27 Apr 2016 (-3.26%)
2015114 Sep 2015 (9.85%)
2013510 Apr 2013 (-4.53%), 09 May 2013 (-4.25%), 16 May 2013 (-4.02%), 11 Jun 2013 (-3.96%), 11 Sep 2013 (-4.09%)
2012429 Feb 2012 (-6.61%), 30 Apr 2012 (-3.64%), 25 Sep 2012 (-4.01%), 19 Oct 2012 (7.35%)
2011112 Dec 2011 (-5.76%)
2010512 Mar 2010 (7.83%), 01 Apr 2010 (7.4%), 04 May 2010 (-4.23%), 01 Jul 2010 (-3.67%), 16 Jul 2010 (-3.32%)
2004112 Apr 2004 (8.39%)
2003327 Jan 2003 (-4.46%), 04 Feb 2003 (-4.97%), 28 Feb 2003 (-4.01%)
2001226 Feb 2001 (-7.28%), 01 Nov 2001 (-5.04%)
1999307 Jan 1999 (-5.16%), 09 Feb 1999 (-5.99%), 18 Jun 1999 (14.16%)
1997512 May 1997 (6.17%), 23 May 1997 (-2.82%), 13 Jun 1997 (4.46%), 25 Jun 1997 (6.42%), 13 Aug 1997 (-2.93%)
1996525 Apr 1996 (9.86%), 26 Jul 1996 (-3.83%), 30 Jul 1996 (-3.98%), 26 Aug 1996 (7.71%), 18 Sep 1996 (-4.09%)



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