Study: Buy ASHOKLEY when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ASHOKLEY 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 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
1-71457.61115496642.615288.9624468.09-5009.34-22160.661.060.78-0.018-621.37
2-21057.06115536246.096899.9836298.93-6238-29818.671.110.95-0.0039-183.1
3-20166.24115546146.968350.246026.1-7722.58-39892.551.080.96-0.0031-175.36
436010.98115595651.310071.6351008.3-9968.12-34654.131.011.060.0047313.14
517745.81115595651.311217.7546500.59-11501.81-34116.860.981.030.0021154.31
674392.49115615453.0413373.6471174.38-13729.62-38944.840.971.10.007646.89
757409.61115595651.314357.4381138.79-14101.4-51798.561.021.070.0051499.21
8-77885.4115575849.5714029.7375682.09-15130.69-40239.040.930.91-0.0069-677.26
9-57072.59115615453.0412931.8887781.73-15665.14-38586.960.830.93-0.0052-496.28
10-12457.04115625353.9112841.7559311.98-15257.46-42934.780.840.98-0.0012-108.32
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail24.387007.672218114036.6514807.6643554.52-7945.8-23594.051.861.080.0061393.7
atrtrail34.9570771.052217914235.7515034.2865331.79-7865.75-23594.051.911.060.0045320.23
atrtrail-15.51253992217914235.7514459.9567433.67-7865.75-23594.051.841.020.0016114.93
atrnil26.77-59915.471926013231.2521539.755550.34-10244.68-27623.622.10.96-0.004-312.06
atrnil310.19-1490191784013822.4732048.5265331.79-10369.27-27775.173.090.9-0.009-837.19

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 36.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0061, 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:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191804 Jan 2019 (-3.06%), 07 Jan 2019 (-1.46%), 18 Jan 2019 (-2.56%), 22 Jan 2019 (-1.44%), 24 Jan 2019 (-3.1%), 30 Jan 2019 (6.49%), 13 Feb 2019 (7.84%), 09 May 2019 (-1.98%), 13 May 2019 (-1.52%), 15 May 2019 (7.25%), 17 Jun 2019 (-3.38%), 18 Jul 2019 (-3.51%), 23 Jul 2019 (-4.0%), 24 Jul 2019 (-1.73%), 29 Jul 2019 (-4.11%), 30 Jul 2019 (-2.58%), 02 Aug 2019 (-5.62%), 22 Aug 2019 (11.29%)
2018925 Jun 2018 (-2.78%), 27 Jun 2018 (-3.37%), 28 Jun 2018 (0.72%), 18 Jul 2018 (11.6%), 21 Sep 2018 (-3.93%), 05 Oct 2018 (1.09%), 14 Nov 2018 (1.85%), 05 Dec 2018 (-3.82%), 10 Dec 2018 (7.67%)
2017427 Feb 2017 (-0.85%), 02 Mar 2017 (5.71%), 27 Mar 2017 (-1.49%), 29 Mar 2017 (-1.59%)
20161011 Feb 2016 (8.69%), 13 Jul 2016 (6.58%), 02 Aug 2016 (-3.23%), 03 Aug 2016 (1.63%), 01 Sep 2016 (5.39%), 15 Sep 2016 (0.58%), 29 Sep 2016 (6.4%), 16 Nov 2016 (-3.51%), 21 Nov 2016 (1.19%), 02 Dec 2016 (2.69%)
2014213 Feb 2014 (-2.99%), 17 Feb 2014 (7.79%)
20131823 Jan 2013 (-3.02%), 08 Feb 2013 (-3.64%), 14 Feb 2013 (-1.49%), 28 Feb 2013 (7.94%), 28 Mar 2013 (-1.17%), 11 Jun 2013 (3.13%), 24 Jun 2013 (-3.18%), 27 Jun 2013 (0.3%), 04 Jul 2013 (-3.41%), 12 Jul 2013 (-4.2%), 16 Jul 2013 (-3.31%), 19 Jul 2013 (-5.35%), 24 Jul 2013 (-4.61%), 30 Jul 2013 (-5.25%), 01 Aug 2013 (-5.83%), 29 Aug 2013 (11.5%), 11 Nov 2013 (-4.14%), 12 Nov 2013 (-0.38%)
2012916 May 2012 (-5.9%), 23 May 2012 (11.15%), 02 Jul 2012 (2.72%), 16 Jul 2012 (-1.55%), 23 Jul 2012 (-3.17%), 24 Jul 2012 (-3.41%), 25 Jul 2012 (-3.7%), 26 Jul 2012 (8.31%), 28 Aug 2012 (-0.62%)
20111410 Jan 2011 (-1.31%), 18 Jan 2011 (-2.74%), 28 Jan 2011 (-5.81%), 08 Feb 2011 (4.11%), 23 Feb 2011 (12.49%), 02 May 2011 (-4.26%), 03 May 2011 (-3.14%), 18 May 2011 (8.52%), 20 Jun 2011 (0.88%), 04 Aug 2011 (-3.96%), 08 Aug 2011 (8.64%), 18 Oct 2011 (7.56%), 16 Dec 2011 (-4.88%), 20 Dec 2011 (-5.75%)
2010220 Dec 2010 (-2.44%), 24 Dec 2010 (9.98%)
20082121 Jan 2008 (-11.05%), 22 Jan 2008 (7.6%), 19 Mar 2008 (12.6%), 23 May 2008 (-4.96%), 02 Jun 2008 (-4.94%), 04 Jun 2008 (-5.5%), 09 Jun 2008 (11.33%), 27 Jun 2008 (-5.15%), 01 Jul 2008 (12.05%), 17 Sep 2008 (-4.53%), 18 Sep 2008 (9.48%), 25 Sep 2008 (-5.56%), 29 Sep 2008 (-2.38%), 08 Oct 2008 (-6.9%), 10 Oct 2008 (-6.14%), 16 Oct 2008 (-7.84%), 24 Oct 2008 (17.93%), 07 Nov 2008 (-8.09%), 12 Nov 2008 (-10.21%), 19 Nov 2008 (-10.24%), 10 Dec 2008 (-5.2%)
2007823 Feb 2007 (-2.56%), 28 Feb 2007 (-3.6%), 05 Mar 2007 (11.65%), 03 Apr 2007 (0.95%), 27 Jul 2007 (-3.73%), 01 Aug 2007 (-2.64%), 17 Aug 2007 (-0.77%), 23 Aug 2007 (8.0%)
2006117 Jul 2006 (13.22%)
2005318 Jan 2005 (11.77%), 23 Mar 2005 (-3.33%), 29 Mar 2005 (9.64%)
2004914 May 2004 (-6.82%), 17 May 2004 (7.46%), 08 Jul 2004 (11.28%), 11 Aug 2004 (-5.22%), 13 Aug 2004 (-1.28%), 23 Aug 2004 (0.88%), 19 Oct 2004 (-0.73%), 04 Nov 2004 (-1.48%), 11 Nov 2004 (6.1%)
2003303 Jan 2003 (-1.96%), 07 Jan 2003 (6.83%), 10 Mar 2003 (-0.47%)
2002419 Sep 2002 (-1.92%), 24 Sep 2002 (-1.24%), 21 Oct 2002 (7.08%), 14 Nov 2002 (1.48%)
2001413 Mar 2001 (-0.67%), 23 Mar 2001 (-0.83%), 12 Apr 2001 (17.12%), 17 Sep 2001 (1.66%)
20001807 Feb 2000 (-6.9%), 14 Feb 2000 (-9.29%), 16 Feb 2000 (21.78%), 02 Mar 2000 (-11.8%), 06 Mar 2000 (8.17%), 23 May 2000 (12.63%), 26 Jun 2000 (-5.6%), 03 Jul 2000 (11.27%), 24 Jul 2000 (-4.95%), 28 Jul 2000 (-6.6%), 31 Jul 2000 (-4.53%), 11 Aug 2000 (2.54%), 15 Sep 2000 (-4.46%), 19 Sep 2000 (-2.07%), 22 Sep 2000 (-2.15%), 29 Sep 2000 (-5.3%), 06 Oct 2000 (10.93%), 22 Dec 2000 (9.75%)
1999302 Feb 1999 (15.78%), 23 Apr 1999 (-8.25%), 28 Apr 1999 (18.35%)
19981713 Jan 1998 (-4.75%), 19 Jan 1998 (-6.23%), 27 Jan 1998 (1.56%), 10 Feb 1998 (11.37%), 02 Jun 1998 (-5.69%), 05 Jun 1998 (-8.45%), 08 Jun 1998 (-4.83%), 15 Jun 1998 (2.85%), 02 Jul 1998 (-7.45%), 23 Jul 1998 (-8.42%), 27 Jul 1998 (-0.73%), 14 Aug 1998 (0.49%), 01 Sep 1998 (14.04%), 29 Sep 1998 (-5.61%), 05 Oct 1998 (-6.27%), 09 Oct 1998 (-7.01%), 13 Oct 1998 (16.45%)
19972821 Jan 1997 (11.5%), 11 Mar 1997 (0.29%), 13 Mar 1997 (-4.79%), 18 Mar 1997 (-4.71%), 31 Mar 1997 (0.81%), 06 May 1997 (-3.61%), 13 May 1997 (1.49%), 26 May 1997 (-2.3%), 06 Jun 1997 (-3.33%), 09 Jun 1997 (1.34%), 01 Jul 1997 (7.97%), 18 Aug 1997 (-2.88%), 26 Aug 1997 (-2.73%), 29 Aug 1997 (-3.4%), 02 Sep 1997 (-2.02%), 22 Sep 1997 (-1.58%), 30 Sep 1997 (6.28%), 27 Oct 1997 (-3.22%), 28 Oct 1997 (2.05%), 10 Nov 1997 (-3.41%), 11 Nov 1997 (-3.57%), 13 Nov 1997 (-3.61%), 17 Nov 1997 (-1.81%), 21 Nov 1997 (-4.32%), 26 Nov 1997 (-5.23%), 27 Nov 1997 (-5.75%), 28 Nov 1997 (-5.94%), 03 Dec 1997 (-5.95%)
19961609 Jan 1996 (-3.05%), 27 May 1996 (-3.68%), 28 May 1996 (0.4%), 30 Jul 1996 (-0.94%), 19 Aug 1996 (-3.0%), 20 Aug 1996 (6.68%), 26 Sep 1996 (-2.72%), 27 Sep 1996 (-2.81%), 30 Sep 1996 (-3.24%), 01 Oct 1996 (-3.3%), 07 Oct 1996 (7.76%), 22 Nov 1996 (-2.78%), 27 Nov 1996 (-3.54%), 28 Nov 1996 (-3.93%), 03 Dec 1996 (-4.57%), 04 Dec 1996 (9.39%)



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