Study: Buy ARVIND when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ARVIND when above 200 SMA and RSI is oversold" 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
11451.04633508725.9817204.3-8242.3-12829.351.061.060.005241.84
225761.9664266.6710225.1219273.69-7569.27-8963.311.352.70.0884293.66
314750.8964266.679413.720693.85-11451.95-11942.870.821.640.0442458.48
416809.966335012462.6516433.35-6859.33-10539.281.821.820.0562801.66
533540.826335016986.8220865.14-5806.55-11984.172.932.930.0945590.14
643594.96335018440.8825116.66-3909.25-5094.564.724.720.127265.82
747809.4364266.6714751.527551.23-5598.28-6561.172.645.270.137968.24
840637.476335019499.6528200.45-5953.82-9417.213.283.280.16772.91
935828.796335019843.8229742.34-7900.89-11038.212.512.510.0795971.47
1032035.946335021322.8228443.9-10644.17-12097.23220.0635339.32
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ARVIND Performance, X=7, Profit Factor:5.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Feb 2018 (0.18%)
2014117 Dec 2014 (13.78%)
2011116 Nov 2011 (-2.32%)
2005123 Mar 2005 (8.93%)
2002124 Oct 2002 (6.62%)
1996124 Jul 1996 (-3.28%)

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
atrnil34.5744443.273442.8625892.8927608.79-8308.86-10695.963.122.340.0766349.03
atrtrail33.7124874.3273442.8618148.3327608.79-7392.67-7652.042.451.840.0513553.47
atrnil23.1418550.3173442.8617261.9218405.86-8308.86-10695.962.081.560.0422650.04
atrtrail-14.719134.4473442.8612901.721364.05-7392.67-7652.041.751.310.0241304.92
atrtrail22.868177.9473442.8612582.8718405.86-7392.67-7652.041.71.280.0221168.28

In the table above, row 1 shows the best exit criterion. Profit factor is 2.34. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is 3.17%, which is very good. Sharpe Ratio is 0.076, 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:2.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Feb 2018 (-3.63%)
2014117 Dec 2014 (13.8%)
2011116 Nov 2011 (-5.35%)
2005123 Mar 2005 (13.79%)
2002124 Oct 2002 (11.24%)
1996224 Jul 1996 (-3.81%), 26 Jul 1996 (-3.83%)



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