Study: Buy ARVIND when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ARVIND 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 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
1-8905.76129696053.495155.8419111.11-6077.64-39624.410.850.98-0.0018-69.04
272191.62129715855.046607.0424113.48-6843.24-24109.590.971.180.013559.62
371215.44129715855.048041.7629672.45-8616.37-27605.630.931.140.011552.06
44910129656450.3910279.8135324.34-10363.71-32876.710.991.010.000638.06
5-7991.08129666351.1611328.5449325.63-11994.83-32047.480.940.99-0.00086-61.95
6-125018129597045.7412436.5647398.84-12268.22-46916.891.010.85-0.012-969.14
7-55581.26129616847.2913736.8664093.96-13140.15-57142.861.050.94-0.005-430.86
830689.61129656450.3915013.7281879.19-14768.78-48793.571.021.030.0025237.9
910162.04129636648.8415693.1259395.97-14825.83-44633.731.061.010.0008378.78
1057175.33129606946.5118941.4665771.81-15642.21-48280.181.211.050.0041443.22
Although, strategy looks good but profit factor on day 1 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
atrtrail35.031069782358714837.0217415.7358860.38-9514.8-28973.151.831.080.0058455.23
atrnil26.461109872107713336.6722698.2866445.02-12306.62-50882.481.841.070.0058528.51
atrtrail-15.8665547.372358614936.617156.2889594.73-9462.37-28973.151.811.050.0033278.92
atrtrail24.5119405.142358714837.0216409.1545824.96-9514.8-28973.151.721.010.001282.58
atrnil39.37-4358.221965614028.5731172.3475503.26-12500.07-50882.482.491-0.00021-22.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 37.02%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0058, 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:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191518 Jan 2019 (-4.82%), 25 Jan 2019 (0.45%), 05 Feb 2019 (-4.25%), 07 Feb 2019 (-4.87%), 15 Feb 2019 (-4.73%), 30 Apr 2019 (-3.85%), 07 May 2019 (-3.92%), 13 May 2019 (-3.56%), 15 May 2019 (13.17%), 18 Jun 2019 (-4.74%), 19 Jun 2019 (9.34%), 19 Jul 2019 (-0.25%), 29 Jul 2019 (-1.88%), 13 Aug 2019 (-6.39%), 21 Aug 2019 (-7.48%)
20181102 Feb 2018 (-2.29%), 23 Mar 2018 (0.73%), 18 May 2018 (-3.47%), 23 May 2018 (0.1%), 04 Jun 2018 (9.71%), 04 Sep 2018 (2.3%), 21 Sep 2018 (-3.79%), 25 Sep 2018 (-1.96%), 28 Sep 2018 (-2.78%), 08 Oct 2018 (3.78%), 28 Nov 2018 (-14.49%)
2017423 Jun 2017 (-2.45%), 27 Jun 2017 (7.72%), 28 Jul 2017 (6.46%), 29 Aug 2017 (8.16%)
2016611 Feb 2016 (0.91%), 25 Feb 2016 (-4.95%), 26 Feb 2016 (-5.3%), 29 Feb 2016 (17.89%), 05 Apr 2016 (1.67%), 03 Aug 2016 (3.54%)
2015823 Mar 2015 (-4.4%), 27 Apr 2015 (5.53%), 07 May 2015 (3.0%), 26 May 2015 (-4.39%), 27 May 2015 (5.09%), 20 Aug 2015 (-2.65%), 24 Aug 2015 (2.86%), 04 Nov 2015 (10.6%)
20131025 Feb 2013 (-4.47%), 26 Feb 2013 (-2.82%), 28 Feb 2013 (6.92%), 23 May 2013 (12.42%), 26 Jun 2013 (0.92%), 03 Jul 2013 (-4.37%), 08 Jul 2013 (2.31%), 06 Aug 2013 (-5.59%), 07 Aug 2013 (3.53%), 30 Sep 2013 (11.29%)
20121123 Feb 2012 (-6.56%), 24 Feb 2012 (4.83%), 28 Mar 2012 (1.3%), 09 May 2012 (-4.81%), 14 May 2012 (-4.75%), 17 May 2012 (6.17%), 19 Jun 2012 (14.33%), 26 Jul 2012 (-0.9%), 27 Aug 2012 (-3.56%), 28 Aug 2012 (-3.96%), 29 Aug 2012 (2.66%)
2011518 Aug 2011 (9.66%), 13 Dec 2011 (-5.7%), 15 Dec 2011 (-5.9%), 16 Dec 2011 (-0.45%), 28 Dec 2011 (20.19%)
2010615 Mar 2010 (3.2%), 25 Mar 2010 (3.61%), 17 May 2010 (-3.78%), 21 May 2010 (-3.09%), 25 May 2010 (12.83%), 09 Jun 2010 (13.44%)
2009307 Jan 2009 (2.54%), 02 Mar 2009 (-7.11%), 05 Mar 2009 (-8.61%)
20082321 Jan 2008 (-11.56%), 22 Jan 2008 (6.97%), 07 Mar 2008 (-4.45%), 13 Mar 2008 (-6.92%), 19 Mar 2008 (29.43%), 30 May 2008 (-6.46%), 04 Jun 2008 (-6.0%), 09 Jun 2008 (-2.16%), 23 Jun 2008 (-6.7%), 27 Jun 2008 (-7.83%), 30 Jun 2008 (-8.87%), 01 Jul 2008 (-10.68%), 28 Aug 2008 (1.73%), 10 Sep 2008 (-5.37%), 12 Sep 2008 (-5.69%), 15 Sep 2008 (-6.22%), 16 Sep 2008 (-6.85%), 29 Sep 2008 (-7.14%), 06 Oct 2008 (-8.76%), 08 Oct 2008 (-9.82%), 10 Oct 2008 (3.68%), 20 Oct 2008 (-8.82%), 24 Oct 2008 (-9.66%)
2007512 Feb 2007 (5.67%), 05 Mar 2007 (-4.67%), 02 Apr 2007 (14.68%), 18 Jun 2007 (-0.71%), 21 Aug 2007 (17.07%)
20061516 Jan 2006 (-3.67%), 17 Jan 2006 (-1.95%), 25 Jan 2006 (2.08%), 21 Mar 2006 (11.59%), 28 Apr 2006 (5.08%), 19 May 2006 (-7.14%), 22 May 2006 (2.68%), 08 Jun 2006 (4.84%), 31 Oct 2006 (-3.95%), 03 Nov 2006 (-2.79%), 10 Nov 2006 (-4.13%), 15 Nov 2006 (-4.35%), 17 Nov 2006 (-4.65%), 20 Nov 2006 (14.61%), 12 Dec 2006 (8.04%)
2005814 Oct 2005 (-3.74%), 17 Oct 2005 (-3.93%), 19 Oct 2005 (-4.16%), 20 Oct 2005 (-0.22%), 27 Oct 2005 (-5.2%), 28 Oct 2005 (17.32%), 19 Dec 2005 (-2.25%), 23 Dec 2005 (-3.11%)
2004203 Feb 2004 (13.56%), 27 Feb 2004 (2.84%)
2003431 Jan 2003 (-2.76%), 14 Feb 2003 (12.5%), 12 Mar 2003 (-3.47%), 26 Mar 2003 (11.46%)
20011123 Feb 2001 (-3.43%), 02 Mar 2001 (-8.42%), 05 Mar 2001 (-4.78%), 12 Mar 2001 (-10.53%), 13 Mar 2001 (1.99%), 11 Apr 2001 (-7.86%), 12 Apr 2001 (25.6%), 15 Jun 2001 (-5.6%), 02 Jul 2001 (-4.98%), 25 Jul 2001 (17.27%), 17 Sep 2001 (25.02%)
20001821 Jan 2000 (-6.48%), 28 Jan 2000 (-4.72%), 03 Feb 2000 (-6.69%), 07 Feb 2000 (-6.85%), 14 Feb 2000 (5.35%), 03 Mar 2000 (-9.98%), 09 Mar 2000 (-7.27%), 27 Mar 2000 (1.82%), 25 Apr 2000 (-3.65%), 11 May 2000 (-7.48%), 16 May 2000 (-6.97%), 19 May 2000 (26.88%), 10 Jul 2000 (-3.23%), 21 Jul 2000 (-5.83%), 24 Jul 2000 (-5.2%), 04 Aug 2000 (-6.34%), 14 Aug 2000 (2.37%), 10 Oct 2000 (24.45%)
19992012 Feb 1999 (-5.76%), 16 Feb 1999 (2.71%), 01 Mar 1999 (-6.97%), 03 Mar 1999 (-7.76%), 05 Mar 1999 (4.19%), 30 Mar 1999 (2.1%), 09 Apr 1999 (-6.68%), 15 Apr 1999 (1.61%), 26 Apr 1999 (19.16%), 26 Jul 1999 (-3.6%), 02 Aug 1999 (-7.17%), 03 Aug 1999 (22.75%), 16 Sep 1999 (-5.38%), 24 Sep 1999 (0.02%), 21 Oct 1999 (-2.7%), 29 Oct 1999 (-5.01%), 01 Nov 1999 (-0.56%), 04 Nov 1999 (-3.2%), 16 Nov 1999 (-3.68%), 22 Nov 1999 (14.63%)
19982513 Jan 1998 (-4.43%), 16 Jan 1998 (-4.87%), 19 Jan 1998 (-3.82%), 23 Jan 1998 (-5.03%), 27 Jan 1998 (-6.05%), 28 Jan 1998 (-4.32%), 05 Feb 1998 (-5.79%), 09 Feb 1998 (-0.74%), 18 Feb 1998 (10.6%), 28 Apr 1998 (-0.42%), 12 May 1998 (-7.07%), 02 Jun 1998 (-1.87%), 05 Jun 1998 (-7.22%), 08 Jun 1998 (-6.05%), 11 Jun 1998 (-8.0%), 16 Jun 1998 (0.97%), 22 Jun 1998 (-2.37%), 24 Jul 1998 (-4.35%), 03 Aug 1998 (-2.7%), 11 Aug 1998 (-0.83%), 01 Sep 1998 (13.45%), 13 Oct 1998 (-1.63%), 16 Oct 1998 (-5.25%), 20 Oct 1998 (15.93%), 17 Dec 1998 (11.09%)
19971303 Feb 1997 (11.37%), 26 May 1997 (0.77%), 14 Aug 1997 (-3.23%), 18 Aug 1997 (-3.72%), 19 Aug 1997 (-2.72%), 02 Sep 1997 (-2.1%), 04 Sep 1997 (-4.74%), 28 Oct 1997 (11.19%), 24 Nov 1997 (-1.94%), 02 Dec 1997 (-2.53%), 05 Dec 1997 (-3.24%), 11 Dec 1997 (-3.16%), 12 Dec 1997 (6.06%)
19961112 Jan 1996 (-3.65%), 19 Jan 1996 (-3.01%), 24 Jan 1996 (12.09%), 19 Mar 1996 (-3.87%), 26 Mar 1996 (10.81%), 29 Jul 1996 (-0.45%), 12 Aug 1996 (-3.48%), 14 Aug 1996 (-3.82%), 20 Aug 1996 (11.83%), 01 Oct 1996 (-3.88%), 07 Oct 1996 (-0.1%)
1995128 Nov 1995 (12.49%)



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