Study: Sell CANFINHOME when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell CANFINHOME when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-24328.1968333548.534033.617508.42-4498.2-26775.960.90.85-0.012-357.77
2-69228.3168323647.064669.7418354.69-6073.89-37091.680.770.68-0.027-1018.06
3-49737.3468353351.475213.4224915.82-7036.57-34351.950.740.79-0.018-731.43
4-16262.368333548.536822.1122222.22-6896.91-26765.020.990.93-0.0056-239.15
5-68635.2768333548.536320.1718855.22-7920.02-30350.190.80.75-0.022-1009.34
6-62896.5868323647.067227.3224915.82-8171.41-31256.180.880.79-0.019-924.95
7-71771.6468284041.187883.7124915.82-7312.89-24634.661.080.75-0.023-1055.47
8-10689268274139.717521.2424720.96-7560.14-26775.960.990.66-0.034-1571.95
9-18065068264238.247638.2638362.96-9029.64-35690.240.850.52-0.05-2656.62
10-16536568313745.597560.0950186.03-10803.45-84848.480.70.59-0.034-2431.84
Although, strategy looks good but profit factor on day 2 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
50trail21.72-29370.13117378031.625169.217882.35-2757.88-3998.021.870.87-0.014-251.03
50nil21.85-34204.68112347830.365940.417969.7-3027.93-3998.021.960.86-0.015-305.4
50nil32.44-40500.28103238022.338736.1511954.55-3017.9-3998.022.890.83-0.017-393.21
50trail32-40973.91112298325.896537.3111781.82-2777.78-3998.022.350.82-0.017-365.84
50trail-12.71-66997.69111278424.326090.8116181.82-2755.35-3998.022.210.71-0.029-603.58
atrnil27.06-17215964145021.8814455.5123341.77-7490.73-14478.251.930.54-0.061-2689.99
atrnil310.12-1794165794815.7920860.4525336.25-7649.16-14478.252.730.51-0.063-3147.65
atrtrail24.31-18119280196123.758084.0815700.55-5488.35-12338.751.470.46-0.07-2264.9
atrtrail34.75-19449280196123.757384.0922653.67-5488.35-12338.751.350.42-0.076-2431.15
atrtrail-14.83-21280880196123.756420.0915237.6-5488.35-12338.751.170.36-0.093-2660.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 31.62%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:0.867

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Jan 2019 (3.62%), 12 Feb 2019 (2.83%), 14 Feb 2019 (2.01%)
2018702 Jan 2018 (-1.12%), 04 Jan 2018 (-1.64%), 05 Jan 2018 (-1.31%), 17 Jan 2018 (2.54%), 19 Nov 2018 (3.5%), 21 Nov 2018 (3.43%), 12 Dec 2018 (-1.44%)
2017219 Dec 2017 (-1.66%), 28 Dec 2017 (-1.66%)
2013117 Sep 2013 (-1.45%)
2012113 Sep 2012 (-1.74%)
2011827 Jan 2011 (-1.19%), 04 May 2011 (-1.4%), 10 May 2011 (2.01%), 20 May 2011 (-0.69%), 30 May 2011 (-1.56%), 05 Jul 2011 (-1.89%), 28 Jul 2011 (2.54%), 07 Dec 2011 (3.06%)
2009605 Feb 2009 (-1.52%), 20 Feb 2009 (-1.49%), 09 Mar 2009 (-1.59%), 13 Mar 2009 (-1.59%), 17 Mar 2009 (-2.0%), 01 Apr 2009 (-1.58%)
2007409 May 2007 (-1.0%), 03 Jul 2007 (-0.91%), 20 Jul 2007 (3.36%), 14 Aug 2007 (3.72%)
2005322 Aug 2005 (-1.0%), 23 Sep 2005 (-1.94%), 23 Dec 2005 (-1.62%)
2004526 Jul 2004 (2.51%), 06 Aug 2004 (2.37%), 31 Aug 2004 (-1.67%), 01 Sep 2004 (-1.97%), 25 Oct 2004 (-1.0%)
2003510 Jan 2003 (-1.08%), 03 Feb 2003 (-1.55%), 10 Feb 2003 (-1.0%), 14 Feb 2003 (-1.3%), 18 Feb 2003 (-1.36%)
2002403 Dec 2002 (3.14%), 10 Dec 2002 (-0.05%), 13 Dec 2002 (-1.0%), 20 Dec 2002 (-1.62%)
2001324 Sep 2001 (2.41%), 28 Sep 2001 (-1.1%), 08 Oct 2001 (-1.27%)
20002131 Mar 2000 (-1.29%), 30 Jun 2000 (3.08%), 03 Jul 2000 (3.94%), 07 Jul 2000 (-1.73%), 19 Jul 2000 (2.7%), 20 Jul 2000 (-1.0%), 01 Aug 2000 (3.44%), 29 Aug 2000 (-0.7%), 05 Sep 2000 (-1.39%), 15 Sep 2000 (-0.7%), 21 Sep 2000 (-1.19%), 22 Sep 2000 (-1.79%), 25 Sep 2000 (-1.49%), 27 Sep 2000 (-1.94%), 05 Oct 2000 (3.93%), 24 Oct 2000 (-1.56%), 25 Oct 2000 (-1.96%), 26 Oct 2000 (0.22%), 31 Oct 2000 (-0.39%), 10 Nov 2000 (-1.47%), 13 Nov 2000 (-1.13%)
1999601 Feb 1999 (-1.38%), 17 Feb 1999 (-1.76%), 01 Apr 1999 (2.35%), 19 Apr 1999 (-1.68%), 21 Apr 1999 (-1.48%), 29 Apr 1999 (-1.19%)
19981006 Jan 1998 (-1.04%), 09 Jan 1998 (2.12%), 27 Jan 1998 (-1.06%), 29 Jan 1998 (-0.23%), 04 Feb 1998 (1.3%), 17 Mar 1998 (-1.98%), 16 Dec 1998 (-1.99%), 21 Dec 1998 (-1.24%), 28 Dec 1998 (-1.85%), 31 Dec 1998 (-1.91%)
19971902 Jan 1997 (2.09%), 21 Jan 1997 (-1.82%), 13 Feb 1997 (1.33%), 27 Feb 1997 (-1.69%), 20 Mar 1997 (2.94%), 21 Mar 1997 (-0.34%), 30 Apr 1997 (3.0%), 02 May 1997 (3.61%), 29 Aug 1997 (-1.84%), 01 Sep 1997 (1.13%), 17 Sep 1997 (3.75%), 24 Sep 1997 (-1.0%), 26 Sep 1997 (2.1%), 13 Oct 1997 (-1.02%), 15 Oct 1997 (-1.22%), 27 Oct 1997 (2.09%), 04 Nov 1997 (-1.31%), 13 Nov 1997 (-1.31%), 18 Nov 1997 (2.53%)
1996912 Sep 1996 (-1.75%), 25 Sep 1996 (3.76%), 11 Oct 1996 (-1.35%), 18 Oct 1996 (-1.69%), 11 Nov 1996 (0.58%), 15 Nov 1996 (-1.73%), 25 Nov 1996 (-1.38%), 28 Nov 1996 (-1.39%), 03 Dec 1996 (0.61%)



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