Study: Buy BALRAMCHIN when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy BALRAMCHIN when near 200 SMA and above 200 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy BALRAMCHIN 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
1-22316.86145935.716303.7919730.94-5981.76-9662.641.050.59-0.045-1594.06
2-1283.48146842.867516.2410410.96-5797.61-10495.631.30.97-0.0027-91.68
3-10583.08146842.868056.810410.96-7365.48-11725.291.090.82-0.02-755.93
4-8040.58146842.869991.7422645.74-8498.88-16089.391.180.88-0.011-574.33
513767.651477508806.1322421.52-6839.33-13958.681.291.290.022983.4
612125.491477508881.2715208.33-7149.06-17905.681.241.240.019866.11
717408.81477508915.0715022.42-6428.1-18065.551.391.390.0291243.49
811582.7148657.147675.815416.67-8303.95-18225.420.921.230.018827.34
9-34171.05146842.868230.5614791.67-10444.3-22110.550.790.59-0.047-2440.79
10-50709.881477506796.3715104.17-14040.63-41206.030.480.48-0.054-3622.13
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
200nil21.18-9400.582261627.276619.187933.41-3069.73-3932.852.160.81-0.021-427.3
200trail21.18-9400.582261627.276619.187933.41-3069.73-3932.852.160.81-0.021-427.3
atrtrail34.39-27831.941861233.3310134.4325796.31-7386.54-12818.41.370.69-0.031-1546.22
200trail31.67-16625.62141719.058662.5511900.12-3016.22-3932.852.870.68-0.033-791.7
atrnil36.69-41671.491631318.7526523.3931952.24-9326.28-12818.42.840.66-0.039-2604.47
atrtrail23.78-31674.421861233.339494.0217197.54-7386.54-12818.41.290.64-0.039-1759.69
atrnil25.44-42983.48164122517463.621301.49-9403.16-12818.41.860.62-0.048-2686.47
200nil31.95-21937.232131814.2911165.5311900.12-3079.66-3932.853.630.6-0.044-1044.63
200trail-12.05-28451.592141719.055706.0510675.07-3016.22-3932.851.890.45-0.075-1354.84
atrtrail-14.56-49362.531861233.33654615689.19-7386.54-12818.40.890.44-0.074-2742.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BALRAMCHIN Performance, Profit Factor:0.809

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014124 Nov 2014 (-1.97%)
2013325 Oct 2013 (-1.71%), 05 Nov 2013 (2.4%), 19 Nov 2013 (-1.5%)
2012328 Feb 2012 (-1.09%), 29 Feb 2012 (-1.36%), 06 Mar 2012 (3.47%)
2010124 Dec 2010 (3.97%)
2008617 Jun 2008 (-1.76%), 14 Aug 2008 (-1.13%), 27 Aug 2008 (-1.59%), 29 Aug 2008 (-1.79%), 08 Sep 2008 (2.98%), 10 Sep 2008 (-1.19%)
2002127 Nov 2002 (-1.92%)
2001515 May 2001 (3.73%), 12 Dec 2001 (-1.33%), 19 Dec 2001 (-1.4%), 27 Dec 2001 (-1.59%), 28 Dec 2001 (3.32%)
1999220 Aug 1999 (-1.49%), 20 Sep 1999 (-1.75%)



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