Study: Buy CADILAHC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CADILAHC 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 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
18788.3965382758.463506.5515933.78-4609.65-16404.850.761.070.0055135.21
2-2563.4165333250.775613.0630973.17-5868.57-17557.670.960.99-0.0011-39.44
312779.94643232506867.4928258.81-6468.12-16439.721.061.060.0052199.69
4-33411.5364303446.886779.327911.76-6964.42-22142.790.970.86-0.013-522.06
5-39266.6864333151.567620.2830264.71-9378.58-29671.650.810.86-0.013-613.54
6-22493.3364352954.697674.2134382.35-10037.61-30359.290.760.92-0.0069-351.46
717554.4364343053.128650.7933029.41-9219.08-23306.450.941.060.0053274.29
830716.1464352954.698303.5433735.29-8962.33-28064.520.931.120.01479.94
957643.4764392560.948159.4327735.29-10422.97-30564.520.781.220.018900.68
1034927.9564362856.258995.0828176.47-10317.67-34017.60.871.120.01545.75
Although, strategy looks good but profit factor on day 4 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
atrnil310.7465847.4198247424.4926136.0351628.29-7586.72-17625.093.441.120.01671.91
atrnil27.2914955.59104337131.7316711.3334418.86-7556.6-17625.092.211.030.0028143.8
atrtrail35.35-31267.56116348229.3112069.7133412.38-5385.83-15521.052.240.93-0.0061-269.55
atrtrail24.5-31849.78116358130.1711697.6135828.52-5447.73-15521.052.150.93-0.0066-274.57
atrtrail-16.2-72913.98116328427.5911670.7871241.08-5314.04-15521.052.20.84-0.013-628.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 24.49%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191328 Jan 2019 (-2.47%), 29 Jan 2019 (-2.73%), 05 Feb 2019 (-2.81%), 18 Feb 2019 (8.78%), 25 Apr 2019 (-2.31%), 02 May 2019 (-2.5%), 03 May 2019 (-2.84%), 07 May 2019 (-3.21%), 08 May 2019 (-3.49%), 13 May 2019 (-4.06%), 16 May 2019 (-4.4%), 18 Jun 2019 (-4.13%), 30 Jul 2019 (-4.08%)
20181125 Jan 2018 (-2.85%), 06 Feb 2018 (-3.36%), 19 Mar 2018 (-2.94%), 23 Mar 2018 (9.18%), 18 May 2018 (-3.08%), 21 May 2018 (10.32%), 11 Jul 2018 (-3.47%), 16 Jul 2018 (-3.66%), 14 Aug 2018 (11.17%), 24 Oct 2018 (-4.19%), 25 Oct 2018 (-4.47%)
2017510 Nov 2017 (-3.39%), 13 Nov 2017 (-3.58%), 30 Nov 2017 (-2.91%), 08 Dec 2017 (-2.63%), 13 Dec 2017 (7.84%)
2016505 Jan 2016 (-4.5%), 18 Jan 2016 (13.82%), 17 Jun 2016 (-2.11%), 22 Dec 2016 (-3.48%), 23 Dec 2016 (12.2%)
2015131 Dec 2015 (-4.24%)
2013807 Feb 2013 (-2.78%), 08 Feb 2013 (-3.2%), 11 Feb 2013 (11.54%), 13 Jun 2013 (-3.76%), 08 Aug 2013 (-3.07%), 12 Aug 2013 (-3.28%), 16 Aug 2013 (-3.44%), 20 Aug 2013 (11.33%)
2012123 Jan 2012 (-2.89%)
2011618 Aug 2011 (-4.19%), 28 Sep 2011 (-3.82%), 03 Oct 2011 (-4.48%), 17 Nov 2011 (-2.93%), 02 Dec 2011 (-2.63%), 23 Dec 2011 (9.35%)
2009123 Jan 2009 (15.6%)
2008814 Jan 2008 (-4.04%), 18 Jan 2008 (-4.31%), 21 Jan 2008 (-6.21%), 07 Mar 2008 (17.96%), 03 Jun 2008 (12.83%), 15 Oct 2008 (-7.82%), 29 Oct 2008 (-8.81%), 25 Nov 2008 (21.32%)
2007812 Feb 2007 (11.28%), 02 Mar 2007 (-5.78%), 05 Mar 2007 (-5.95%), 25 Apr 2007 (11.53%), 14 Aug 2007 (-4.61%), 17 Aug 2007 (-4.71%), 22 Aug 2007 (-4.87%), 17 Oct 2007 (11.87%)
2006307 Jun 2006 (-7.76%), 08 Jun 2006 (25.81%), 12 Dec 2006 (11.66%)
2005927 Jan 2005 (16.71%), 30 Mar 2005 (-3.87%), 11 Apr 2005 (-3.77%), 19 Apr 2005 (11.51%), 21 Jun 2005 (-2.92%), 28 Jun 2005 (9.5%), 23 Aug 2005 (-3.86%), 19 Oct 2005 (-3.22%), 21 Oct 2005 (-3.53%)
2004121 Jun 2004 (-5.13%)
2003108 May 2003 (-2.59%)
2002806 Sep 2002 (-2.06%), 11 Sep 2002 (-2.24%), 13 Sep 2002 (-2.27%), 17 Sep 2002 (-2.32%), 18 Sep 2002 (-2.45%), 19 Sep 2002 (-2.56%), 01 Oct 2002 (-2.49%), 24 Oct 2002 (-2.69%)
2001905 Mar 2001 (-4.61%), 13 Mar 2001 (-5.2%), 02 Apr 2001 (-5.06%), 09 Apr 2001 (-4.95%), 12 Apr 2001 (-5.68%), 30 Apr 2001 (18.68%), 20 Jun 2001 (-4.9%), 24 Jul 2001 (-3.11%), 25 Jul 2001 (11.86%)



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