Study: Buy ASHOKLEY when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 and ADX is Trending" 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
19428.7136746.155102.428415.65-3026.55-4727.511.691.450.033725.28
225391.25137653.858019.4421043-5124.14-5984.021.571.830.0491953.17
3-44846.23136746.158361.0722506.86-13573.23-47357.290.620.53-0.043-3449.71
4-60139.83137653.856819.1818847.21-17979.02-64270.610.380.44-0.048-4626.14
5-36881.17136746.159312.7817383.35-13251.12-43128.960.70.6-0.038-2837.01
6-1392.53136746.1515834.4644464.78-13771.33-47780.131.150.99-0.0011-107.12
7-6961.16137653.8510970.9932021.96-13959.68-41437.630.790.92-0.0066-535.47
81338.78136746.1514716.4638975.3-12422.85-45031.711.181.020.0011102.98
939575.21136746.1520246.0630692.45-11700.17-46300.211.731.480.033044.25
1052247.87137653.8518705.133187.77-13114.64-48837.211.431.660.0394019.07
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
atrnil37.71122999146842.8631710.2455768.78-8407.79-14234.93.772.830.0838785.65
atrtrail-17.2959361.99146842.8619118.7339175.72-6918.8-10604.012.762.070.0564240.14
atrnil25.7959578.65146842.8621140.1637179.18-8407.79-14234.92.511.890.0554255.62
atrtrail25.3649023.81146842.8617395.737179.18-6918.8-10604.012.511.890.053501.7
50trail-12.7522762.051651131.2510909.0528252.52-2889.38-3880.063.781.720.0341422.63
atrtrail36.2136430.36146842.8615296.7926517.08-6918.8-10604.012.211.660.0422602.17
50trail31.4410984.671651131.258553.5810520.36-2889.38-3880.062.961.350.026686.54
50nil31.4410151.011651131.258553.5810520.36-2965.17-3880.062.881.310.024634.44
50trail21.255138.851661037.55686.457013.57-2897.98-3880.061.961.180.015321.18
50nil21.254305.191661037.55686.457013.57-2981.35-3880.061.911.140.013269.07

In the table above, row 1 shows the best exit criterion. Profit factor is 2.83. 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 4.39%, which is very good. Sharpe Ratio is 0.083, 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:2.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018116 May 2018 (-2.83%)
2017325 Apr 2017 (-2.22%), 21 Aug 2017 (10.54%), 28 Nov 2017 (-3.35%)
2010118 Nov 2010 (-4.77%)
2008116 Jan 2008 (-7.12%)
2007108 Jan 2007 (14.13%)
2006317 Jan 2006 (-3.42%), 20 Jan 2006 (10.08%), 26 Dec 2006 (-4.62%)
2004220 Feb 2004 (-5.3%), 31 Mar 2004 (15.2%)
2002121 Mar 2002 (17.3%)
2001127 Apr 2001 (27.88%)



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