Study: Buy CADILAHC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CADILAHC when above 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
1-4524.3924101441.674356.798085.31-3435.17-7951.391.270.91-0.0095-188.52
22613.0324131154.175069.7313663-5753.95-16829.80.881.040.0036108.88
35833.124131154.176478.221092.1-7125.77-23234.190.911.070.006243.05
454717.552415962.57819.0520142.5-6952.03-20039.341.121.870.0532279.9
571569.522417770.837976.5920740.57-9147.51-20628.680.872.120.0652982.06
670149.022415962.59490.6531638.15-8023.42-23317.641.181.970.0572922.88
753289.812416866.678568.6529950.79-10476.08-22003.930.821.640.0422220.41
869758.572417770.839389.0934886.27-12836.57-21984.280.731.780.052906.61
91101122417770.8311184.5151652.21-11432.07-21198.430.982.380.0674588.01
101704992416866.6714747.5955302.82-8182.8-24499.021.83.60.0917104.13
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CADILAHC Performance, X=10, Profit Factor:3.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017325 May 2017 (26.8%), 09 Aug 2017 (1.83%), 27 Sep 2017 (10.18%)
2016121 Dec 2016 (-1.56%)
2015303 Feb 2015 (5.23%), 13 May 2015 (14.52%), 09 Dec 2015 (1.82%)
2014215 May 2014 (-1.18%), 17 Dec 2014 (7.7%)
2013106 Feb 2013 (-7.83%)
2012318 Sep 2012 (-1.3%), 05 Oct 2012 (3.84%), 16 Nov 2012 (3.39%)
2011208 Feb 2011 (3.08%), 05 Aug 2011 (-4.78%)
2010130 Aug 2010 (0.6%)
2007120 Jul 2007 (6.68%)
2006127 Sep 2006 (1.43%)
2005208 Aug 2005 (-2.28%), 14 Oct 2005 (-12.25%)
2004307 Jan 2004 (2.12%), 03 Feb 2004 (27.65%), 14 Jun 2004 (-1.55%)
2002120 May 2002 (1.12%)

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
atrtrail-17.213210130131743.3317519.4168781.53-5626.57-8864.543.112.380.0584403.35
atrnil38.6712934227111640.7422166.329362.14-7155.45-10775.363.12.130.0754790.45
atrnil25.7986650.4828131546.4314799.8519574.76-7049.83-10775.362.11.820.0643094.66
atrtrail34.971409.1730131743.3312850.8429362.14-5626.57-8864.542.281.750.0472380.31
atrtrail23.8737209.3830131743.3310220.0919574.76-5626.57-8864.541.821.390.0311240.31

In the table above, row 1 shows the best exit criterion. Profit factor is 2.38. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 43.33%, which is not acceptable. Avoid this strategy. Average return per trade is 2.2%, which is very good. Sharpe Ratio is 0.058, 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:2.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017425 May 2017 (23.94%), 09 Aug 2017 (-3.73%), 10 Aug 2017 (-4.16%), 27 Sep 2017 (7.02%)
2016121 Dec 2016 (-3.31%)
2015403 Feb 2015 (-3.15%), 05 Feb 2015 (8.39%), 13 May 2015 (12.32%), 09 Dec 2015 (-0.09%)
2014415 May 2014 (-3.07%), 16 May 2014 (-3.42%), 19 May 2014 (2.33%), 17 Dec 2014 (10.02%)
2013106 Feb 2013 (-2.51%)
2012518 Sep 2012 (-1.35%), 24 Sep 2012 (1.5%), 05 Oct 2012 (0.87%), 16 Nov 2012 (-3.09%), 19 Nov 2012 (10.4%)
2011208 Feb 2011 (-4.43%), 05 Aug 2011 (-3.65%)
2010130 Aug 2010 (1.13%)
2007120 Jul 2007 (0.06%)
2006127 Sep 2006 (-0.33%)
2005208 Aug 2005 (1.51%), 14 Oct 2005 (-2.7%)
2004307 Jan 2004 (-2.46%), 03 Feb 2004 (34.39%), 14 Jun 2004 (-3.86%)
2002120 May 2002 (-2.5%)



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