Study: Buy CADILAHC 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 CADILAHC 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 CADILAHC 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
1-47741.0267363153.732084.999329.25-3961.31-25203.50.530.61-0.034-712.55
218409.1767323547.764934.4835181.38-3985.54-24567.321.241.130.0088274.76
368528.2467373055.226274.3746433.95-5454.12-25945.781.151.420.0261022.81
470059.2767402759.75834.2642929.5-6048.56-26742.230.961.430.0271045.66
573836.8567363153.736518.3540711.84-5187.86-34522.91.261.460.0281102.04
679186.7967402759.76916.6637754.96-7314.06-42916.220.951.40.0261181.89
711242667422562.697353.6535838.47-7857.08-410170.941.570.0361678.01
813182767412661.198432.5639616.7-8227.25-38872.721.021.620.0391967.56
915495167412661.198924.2841067.76-8113.26-28641.451.11.730.0452312.7
1083611.9667333449.2510814.9840191.65-8037.71-30479.41.351.310.0231247.94
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
atrtrail35.8545525.586335338.3710534.7630358.78-5700.41-12822.261.851.150.012529.37
atrnil310.6349025.6563184528.5721805.5230358.78-7632.75-12822.262.861.140.013778.18
atrtrail-16.5936330.2286335338.3710256.1136552.6-5700.41-12822.261.81.120.0095422.44
atrtrail25.434271.387345339.089907.9620239.19-5709.42-12822.261.741.110.01393.92
atrnil28.4922725.6568254336.7614079.2920239.19-7657.13-12822.261.841.070.0071334.2
50nil32.25-3245.38114288624.569010.7311941.52-2971.46-3984.363.030.99-0.0012-28.47
50trail32.09-14334.38116288824.148279.5511941.52-2797.29-3984.362.960.94-0.0057-123.57
50trail-12.88-35816.4114258921.938452.4327855.96-2776.71-3984.363.040.86-0.012-314.18
50nil21.81-42562.25120358529.176024.217961.02-2981.29-3984.362.020.83-0.019-354.69
50trail21.73-47674.06120338727.56049.827961.02-2842.74-3984.362.130.81-0.022-397.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 38.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
CADILAHC Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017614 Feb 2017 (9.78%), 27 Apr 2017 (7.72%), 22 May 2017 (-2.98%), 29 May 2017 (11.03%), 05 Oct 2017 (-2.91%), 27 Oct 2017 (0.7%)
2016326 Oct 2016 (9.91%), 23 Nov 2016 (-0.01%), 06 Dec 2016 (-3.57%)
20151002 Feb 2015 (-2.78%), 13 Feb 2015 (-0.8%), 28 Apr 2015 (2.1%), 07 May 2015 (-3.55%), 15 May 2015 (11.61%), 15 Jun 2015 (-1.45%), 03 Aug 2015 (4.92%), 27 Aug 2015 (-2.84%), 16 Sep 2015 (-0.07%), 18 Nov 2015 (0.38%)
2014111 Apr 2014 (1.17%)
2013210 Jan 2013 (-0.87%), 25 Jan 2013 (-2.58%)
2012422 May 2012 (-2.42%), 25 Oct 2012 (-2.91%), 31 Oct 2012 (-0.68%), 03 Dec 2012 (3.69%)
2011511 Jan 2011 (9.12%), 16 Feb 2011 (-5.0%), 23 Mar 2011 (-4.36%), 25 Mar 2011 (13.67%), 22 Jun 2011 (3.46%)
2010519 Jul 2010 (-2.27%), 22 Jul 2010 (-1.29%), 17 Aug 2010 (-2.84%), 20 Sep 2010 (9.23%), 09 Dec 2010 (12.35%)
2008422 Jul 2008 (-4.84%), 26 Aug 2008 (4.55%), 16 Sep 2008 (-3.23%), 07 Oct 2008 (-5.68%)
20071110 Jan 2007 (0.89%), 18 Jan 2007 (0.98%), 24 Jan 2007 (-2.29%), 23 Mar 2007 (-2.98%), 02 Apr 2007 (1.27%), 20 Apr 2007 (-4.0%), 04 May 2007 (-3.66%), 29 May 2007 (-2.79%), 07 Jun 2007 (9.1%), 24 Jul 2007 (-2.96%), 27 Jul 2007 (-1.7%)
2006517 Feb 2006 (2.68%), 19 May 2006 (-5.29%), 04 Oct 2006 (2.03%), 20 Oct 2006 (4.0%), 26 Dec 2006 (2.4%)
2005801 Feb 2005 (-4.16%), 08 Aug 2005 (1.51%), 22 Aug 2005 (-3.65%), 01 Sep 2005 (2.82%), 21 Sep 2005 (0.43%), 28 Sep 2005 (-3.09%), 10 Oct 2005 (-2.79%), 25 Nov 2005 (-1.45%)
20041207 Jan 2004 (-2.46%), 20 Jan 2004 (3.73%), 29 Jan 2004 (-4.55%), 28 Apr 2004 (0.1%), 11 May 2004 (-4.35%), 14 May 2004 (-6.31%), 27 May 2004 (-6.41%), 13 Jul 2004 (-3.58%), 12 Oct 2004 (-2.43%), 01 Dec 2004 (-1.81%), 06 Dec 2004 (-2.05%), 13 Dec 2004 (7.92%)
2003323 Apr 2003 (-1.3%), 28 Apr 2003 (-2.01%), 24 Oct 2003 (15.18%)
2002618 Jan 2002 (-1.45%), 29 Jan 2002 (-3.58%), 02 Jul 2002 (-1.04%), 25 Jul 2002 (-2.9%), 07 Aug 2002 (-1.86%), 14 Aug 2002 (-2.23%)
2001126 Dec 2001 (3.42%)



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