Study: Buy CANFINHOME when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CANFINHOME when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 CANFINHOME 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
119780.3128171160.713114.0114210.53-3014.35-10632.911.031.60.033706.44
2-13013.3128111739.294038.9411052.63-3378.92-10126.581.20.77-0.021-464.76
3-18317.03281414503231.9210526.32-4540.28-21319.80.710.71-0.024-654.18
438621.8728161257.145454.1422711.27-4053.7-13197.971.351.790.0421379.35
521897.2728161257.144683.1315345.27-4419.4-16243.651.061.410.026782.05
621376.5328121642.867317.6816368.29-4152.23-14549.51.761.320.022763.45
740222.3728151353.576274.1416368.29-4145.36-15244.411.511.750.0421436.51
817117.8928171160.715285.9620669.36-6613.04-15741.510.81.240.017611.35
958300.6128131546.4310536.4735761.59-5244.9-17895.612.011.740.0422082.16
1093936.1628171160.719385.4643211.92-5965.15-20049.711.572.430.0593354.86
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
CANFINHOME Performance, X=10, Profit Factor:2.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018226 Feb 2018 (-0.06%), 13 Mar 2018 (-5.62%)
2013118 Oct 2013 (12.1%)
2012319 Jan 2012 (0.92%), 12 Sep 2012 (0.94%), 27 Sep 2012 (3.13%)
2009127 Apr 2009 (2.38%)
2007515 May 2007 (0.33%), 29 May 2007 (-10.02%), 11 Sep 2007 (-2.06%), 28 Sep 2007 (-1.56%), 16 Oct 2007 (21.61%)
2005118 Aug 2005 (10.04%)
2004110 Nov 2004 (3.32%)
2003307 Jan 2003 (0.74%), 21 Jan 2003 (-0.37%), 17 Feb 2003 (8.24%)
2002204 Dec 2002 (0.0%), 18 Dec 2002 (-0.19%)
2001312 Sep 2001 (-4.57%), 05 Oct 2001 (-1.27%), 25 Oct 2001 (6.0%)
2000106 Apr 2000 (-7.11%)
1999301 Jan 1999 (2.68%), 21 Jan 1999 (1.99%), 03 May 1999 (3.37%)
1998117 Dec 1998 (0.68%)
1997130 Jun 1997 (1.31%)

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
atrnil36.7336681.1530102033.3318789.0623904.34-7560.47-14970.792.491.240.021222.7
atrtrail35.0325707.4434102429.4114220.3823904.34-4854.01-8475.992.931.220.017756.1
atrtrail24.6323005.2635122334.2911375.1118254.48-4934.61-8475.992.311.20.017657.29
200nil32.3312963.6949123724.4910104.2611767.5-2926.69-3878.93.451.120.0099264.57
atrnil25.9715371.5631121938.7113121.1418254.48-7478.01-14970.791.751.110.01495.86
200trail-12.59-7970.651114021.578813.0736026.49-2622.86-3878.93.360.92-0.0051-156.29
200trail32.1-11210.0951114021.578518.5711692.31-2622.86-3878.93.250.89-0.0096-219.81
atrtrail-15.65-14328.5134102429.4110216.7832891.67-4854.01-8475.992.10.88-0.01-421.43
200nil22.22-20313.35501337266767.247845-2926.69-3878.92.310.81-0.02-406.27
200trail22.02-29047.0452124023.086322.287794.87-2622.86-3878.92.410.72-0.031-558.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
CANFINHOME Performance, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018226 Feb 2018 (-3.95%), 13 Mar 2018 (-4.08%)
2013118 Oct 2013 (11.03%)
2012319 Jan 2012 (8.49%), 12 Sep 2012 (-3.11%), 27 Sep 2012 (10.21%)
2009127 Apr 2009 (-4.24%)
2007615 May 2007 (-3.01%), 11 Sep 2007 (-4.04%), 21 Sep 2007 (-4.1%), 08 Oct 2007 (-3.53%), 17 Oct 2007 (-3.54%), 24 Oct 2007 (11.95%)
2005218 Aug 2005 (-3.46%), 29 Aug 2005 (9.85%)
2004110 Nov 2004 (9.09%)
2003217 Feb 2003 (-2.72%), 25 Feb 2003 (7.07%)
2002304 Dec 2002 (-2.84%), 18 Dec 2002 (-2.38%), 23 Dec 2002 (8.06%)
2001312 Sep 2001 (-4.56%), 05 Oct 2001 (-4.22%), 12 Oct 2001 (11.61%)
2000106 Apr 2000 (-7.49%)
1999301 Jan 1999 (6.56%), 21 Jan 1999 (-2.76%), 03 May 1999 (-4.72%)
1998117 Dec 1998 (-1.7%)
1997130 Jun 1997 (-5.17%)



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