Study: Sell ASIANPAINT when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell ASIANPAINT when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ASIANPAINT 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. buy 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
1-45998.8475344145.332266.558320.37-3001.5-15743.070.760.63-0.031-613.32
2-45008.08753342443279.2515695.32-3648.17-12569.270.90.71-0.026-600.11
3-86459.4575344145.333386.611072.06-4917.17-14623.730.690.57-0.043-1152.79
4-12964875314441.333886.7518055.56-5684.94-21565.220.680.48-0.053-1728.64
5-13114075284737.334492.7917361.11-5466.76-31168.830.820.49-0.051-1748.53
6-17985375294638.674368.8322986.11-6664.11-23902.410.660.41-0.065-2398.04
7-20626275255033.335514.9830555.56-6882.73-24270.180.80.4-0.068-2750.16
8-267457752451325788.0428125-7968.04-31902.310.730.34-0.078-3566.09
9-31509075284737.334617.9229861.11-9455.14-349170.490.29-0.086-4201.2
10-34393975255033.335411.4526319.44-9584.51-27780.960.560.28-0.093-4585.86
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
200trail22.56-35478.56123358828.465462.677907.86-2575.82-3823.072.120.84-0.015-288.44
200trail33.12-40458.46117259221.377372.4311710.82-2443.14-3823.073.020.82-0.016-345.8
200nil22.7-50622.86118338527.975785.97907.86-2841.85-3971.192.040.79-0.022-429.01
atrtrail25.32-75576.2591226924.189440.3819344.95-4105.29-13664.362.30.73-0.025-830.51
200nil33.55-77977.19106198717.928800.1611710.82-2818.16-3971.193.120.68-0.033-735.63
atrnil26.75-13098080196123.7511811.1719344.95-5826.11-13664.362.030.63-0.042-1637.26
200trail-13.7-109899116239319.834994.7820249.18-2416.97-3823.072.070.51-0.051-947.4
atrtrail35.9-14912391217023.086641.7922822-4122.87-13664.361.610.48-0.058-1638.71
atrtrail-16.09-15691591217023.086270.7623079.95-4122.87-13664.361.520.46-0.063-1724.34
atrnil39.19-275482736678.2219248.428338.27-5835.41-13664.363.30.3-0.1-3773.72

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 28.46%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ASIANPAINT Performance, Profit Factor:0.843

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 May 2019 (-1.7%), 28 May 2019 (-1.09%), 25 Jun 2019 (2.3%), 12 Jul 2019 (-1.36%)
2018701 Jan 2018 (-1.01%), 24 Jan 2018 (2.3%), 01 Feb 2018 (2.29%), 02 Apr 2018 (-1.23%), 26 Apr 2018 (-1.03%), 19 Oct 2018 (3.86%), 02 Nov 2018 (-1.14%)
2017722 Feb 2017 (-0.83%), 02 Mar 2017 (2.03%), 06 Mar 2017 (-1.01%), 10 Mar 2017 (-1.06%), 04 Dec 2017 (-0.45%), 11 Dec 2017 (-1.33%), 19 Dec 2017 (-1.13%)
2015810 Jun 2015 (3.9%), 22 Jun 2015 (-1.36%), 25 Jun 2015 (2.59%), 22 Sep 2015 (-0.91%), 24 Sep 2015 (2.03%), 29 Sep 2015 (-1.23%), 03 Nov 2015 (2.59%), 17 Nov 2015 (-1.84%)
2014527 Jan 2014 (-1.35%), 30 Jan 2014 (2.37%), 04 Feb 2014 (-1.52%), 12 Feb 2014 (2.7%), 26 Feb 2014 (-0.83%)
2013225 Jun 2013 (-1.71%), 08 Oct 2013 (-1.02%)
2012302 Feb 2012 (-1.07%), 08 Feb 2012 (-1.79%), 20 Mar 2012 (-1.61%)
2011316 Feb 2011 (-1.23%), 21 Feb 2011 (2.55%), 13 Apr 2011 (0.16%)
2009114 May 2009 (-1.84%)
2008423 Jul 2008 (-1.79%), 25 Jul 2008 (-1.38%), 19 Sep 2008 (-1.07%), 22 Sep 2008 (-1.86%)
2007107 Mar 2007 (-1.78%)
2006616 Jun 2006 (-1.71%), 19 Jun 2006 (-1.61%), 10 Jul 2006 (-1.39%), 18 Jul 2006 (-1.86%), 19 Jul 2006 (-1.37%), 25 Jul 2006 (-1.36%)
20041605 Jan 2004 (2.34%), 09 Jan 2004 (-1.44%), 16 Jan 2004 (2.69%), 27 Jan 2004 (-1.02%), 15 Jul 2004 (-1.3%), 19 Jul 2004 (-1.0%), 21 Jul 2004 (-1.06%), 22 Jul 2004 (-1.09%), 23 Aug 2004 (-1.21%), 24 Aug 2004 (-1.54%), 15 Sep 2004 (-1.04%), 16 Sep 2004 (-1.09%), 20 Sep 2004 (-1.23%), 22 Sep 2004 (-1.36%), 07 Oct 2004 (3.11%), 02 Dec 2004 (-1.87%)
2003803 Jan 2003 (-1.54%), 15 Jan 2003 (-1.4%), 29 Jan 2003 (2.58%), 04 Feb 2003 (3.81%), 10 Mar 2003 (-1.73%), 17 Mar 2003 (-1.27%), 28 Mar 2003 (2.05%), 30 Apr 2003 (-1.51%)
2002531 Jan 2002 (-1.13%), 11 Nov 2002 (-1.25%), 18 Nov 2002 (-1.25%), 29 Nov 2002 (-1.21%), 26 Dec 2002 (-0.81%)
20011520 Apr 2001 (3.45%), 02 May 2001 (-0.1%), 16 May 2001 (-1.89%), 30 May 2001 (-1.45%), 06 Jun 2001 (2.8%), 11 Jun 2001 (-1.43%), 13 Jun 2001 (-1.61%), 20 Jun 2001 (-1.55%), 22 Jun 2001 (-0.74%), 27 Jun 2001 (-0.8%), 04 Jul 2001 (3.62%), 09 Jul 2001 (0.35%), 27 Jul 2001 (-1.4%), 09 Aug 2001 (-1.05%), 18 Sep 2001 (2.66%)
2000405 May 2000 (-1.4%), 08 May 2000 (3.83%), 23 May 2000 (-1.44%), 21 Jun 2000 (-0.96%)
1999205 Jan 1999 (-1.83%), 18 Jan 1999 (3.51%)
1998901 Jan 1998 (3.8%), 27 Feb 1998 (3.95%), 31 Mar 1998 (-1.34%), 08 May 1998 (2.28%), 12 May 1998 (2.8%), 04 Aug 1998 (2.04%), 06 Nov 1998 (-1.01%), 21 Dec 1998 (3.1%), 30 Dec 1998 (-0.23%)
1997729 Aug 1997 (-1.26%), 02 Sep 1997 (-1.2%), 22 Sep 1997 (-1.64%), 25 Sep 1997 (2.25%), 16 Oct 1997 (-1.33%), 24 Oct 1997 (3.1%), 29 Oct 1997 (3.79%)
1996523 Jul 1996 (-1.91%), 30 Jul 1996 (-1.89%), 06 Aug 1996 (-1.05%), 02 Sep 1996 (-1.07%), 09 Sep 1996 (-1.49%)
1995113 Dec 1995 (-0.02%)



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