Study: Buy ASHOKLEY 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 ASHOKLEY 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 ASHOKLEY 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
122348.2663283544.444170.1116073.78-2697.57-8066.31.551.240.016354.73
279923.263323150.796960.6337655.86-4607-11270.31.511.560.0321268.62
348723.7463352855.567633.622661.4-7801.87-47357.290.981.220.014773.39
474888.4763342953.979554.536451.47-8619.47-64270.611.111.30.0181188.71
566771.463352855.5610436.8931497.68-10661.43-43128.960.981.220.0161059.86
611178263303347.6214862.8944464.78-10124.38-47780.131.471.330.0231774.32
714709663313249.2114845.2253117.21-9784.55-41437.631.521.470.0292334.86
813362363342953.9714676.8548628.43-12599.66-45031.711.161.370.0242121
914802463333052.3816085.853615.96-12760.25-46300.211.261.390.0252349.59
1022349163333052.3817225.9749875.31-11498.86-49048.81.51.650.0373547.48
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
50trail-12.8815443285196622.3517842.7479294.71-2796.66-3987.866.381.840.0311816.85
atrnil36.6121746866214531.8227368.3555768.78-7939.28-16002.413.451.610.0393294.97
atrtrail34.511284347527483615593.3239862.88-6095.53-16002.412.561.440.0271712.46
atrtrail-15.4511101175264934.6715604.246861.84-6014.24-16002.412.591.380.0231480.15
atrnil25.0610036267254237.3117494.9837179.18-8024.11-16002.412.181.30.0231497.93
atrtrail24.0175643.77527483613638.1137179.18-6095.53-16002.412.241.260.0191008.58
50trail31.7923043.0985236227.068637.9411729.9-2832.74-3987.863.051.130.011271.1
50nil21.5715863.2988325636.365812.277819.94-3038.02-3987.861.911.090.0084180.26
50nil31.8615138.0484236127.388637.9411729.9-3008.77-3987.862.871.080.0069180.21
50trail21.5512617.7289315834.835848.247819.94-2908.23-3987.862.011.070.0068141.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 22.35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
ASHOKLEY Performance, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018116 May 2018 (-1.42%)
2017917 Mar 2017 (-1.99%), 25 Apr 2017 (-1.0%), 11 May 2017 (-1.36%), 15 May 2017 (-1.06%), 22 May 2017 (-1.22%), 25 May 2017 (6.99%), 21 Aug 2017 (-1.1%), 23 Aug 2017 (8.01%), 28 Nov 2017 (-1.09%)
2016607 Jan 2016 (-1.16%), 02 Feb 2016 (-1.87%), 23 Feb 2016 (-1.72%), 13 May 2016 (-1.12%), 02 Jun 2016 (-1.0%), 07 Jun 2016 (-1.52%)
20151324 Mar 2015 (10.38%), 20 Apr 2015 (-1.87%), 21 Apr 2015 (-1.26%), 22 Apr 2015 (-1.8%), 04 May 2015 (-1.3%), 12 May 2015 (-1.95%), 27 May 2015 (-1.18%), 29 May 2015 (-1.21%), 19 Jun 2015 (-0.93%), 25 Jun 2015 (-1.93%), 28 Oct 2015 (-1.07%), 16 Nov 2015 (4.24%), 02 Dec 2015 (-1.5%)
2014522 Jul 2014 (-1.15%), 01 Aug 2014 (1.48%), 11 Aug 2014 (-0.43%), 23 Dec 2014 (-1.68%), 24 Dec 2014 (1.69%)
2013107 Jan 2013 (-0.81%)
2012119 Mar 2012 (1.72%)
2011108 Dec 2011 (-1.35%)
2010922 Jan 2010 (-1.47%), 03 Feb 2010 (-1.28%), 11 Mar 2010 (-1.56%), 01 Jul 2010 (9.83%), 23 Aug 2010 (-0.64%), 28 Sep 2010 (-1.84%), 15 Oct 2010 (-1.99%), 03 Nov 2010 (3.21%), 18 Nov 2010 (-1.63%)
2009218 Dec 2009 (-1.08%), 24 Dec 2009 (-1.66%)
2008116 Jan 2008 (-1.4%)
2007308 Jan 2007 (-1.54%), 10 Jan 2007 (2.47%), 23 Nov 2007 (7.89%)
2006517 Jan 2006 (-1.55%), 20 Jan 2006 (-1.94%), 27 Jan 2006 (19.37%), 31 Oct 2006 (-1.08%), 26 Dec 2006 (0.57%)
2005725 Feb 2005 (-1.78%), 10 Mar 2005 (-1.18%), 27 Sep 2005 (-1.43%), 07 Oct 2005 (-1.79%), 25 Oct 2005 (-1.54%), 07 Nov 2005 (-1.18%), 11 Nov 2005 (9.06%)
2004320 Feb 2004 (-1.77%), 31 Mar 2004 (2.09%), 04 May 2004 (-1.06%)
2003403 Mar 2003 (-1.69%), 19 Mar 2003 (-1.72%), 24 Mar 2003 (-1.21%), 22 Apr 2003 (-1.22%)
2002423 Jan 2002 (-1.36%), 21 Mar 2002 (-1.44%), 03 Apr 2002 (-1.49%), 03 Jun 2002 (14.64%)
2001227 Apr 2001 (14.13%), 24 Oct 2001 (39.65%)
2000131 Jan 2000 (-1.52%)
1999321 Oct 1999 (-1.36%), 14 Dec 1999 (12.09%), 28 Dec 1999 (-1.62%)
1996420 May 1996 (-1.16%), 12 Jul 1996 (-1.14%), 23 Jul 1996 (-1.12%), 05 Sep 1996 (-1.79%)



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