Study: Buy CANFINHOME 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 CANFINHOME 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 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
135110.795405542.114216.4823702.96-2428.15-8332.721.741.260.015369.59
27221.3995425344.214942.5130426.49-3780.45-10652.531.311.040.002776.01
3-2414.4495445146.325650.5524565.98-4922.32-17260.791.150.99-0.00075-25.42
4-61329.6395405542.116265.2328319.12-5671.62-527381.10.8-0.015-645.58
536747.8295415443.168714.4658620.69-5936.02-37712.581.471.110.0075386.82
681715.5795405542.1110504.263843.45-6153.68-39682.081.711.240.015860.16
712757695425344.2110834.8446823.88-6179.01-27268.431.751.390.0241342.91
816585595474849.4710785.7849172.1-7105.76-28806.871.521.490.0291745.85
917486595504552.6310554.755747.13-7841.56-25387.441.351.50.0291840.68
1021397295484750.5311508.5654022.99-7200.82-25055.931.61.630.0362252.34
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
atrtrail25.65107853103337032.0416203.6927306.29-6098.12-14986.692.661.250.021047.12
atrnil26.7675647.8497346335.0517090.4227306.29-8022.64-14986.692.131.150.013779.87
atrtrail-16.9757159.86101317030.6915793.1979095.2-6177.56-14986.692.561.130.0085565.94
atrtrail36.499987.14101317030.6914271.4940734.75-6177.56-14986.692.311.020.001898.88
atrnil39.69-23010.7484206423.8124933.840734.75-8151.35-14986.693.060.96-0.0039-273.94
50nil21.91-47562.021524510729.615951.517826.09-2947.48-3996.042.020.85-0.016-312.91
50trail-12.87-54824.4414529116208985.6733096.99-2719.04-3996.043.30.83-0.013-378.1
50nil32.31-59547.371433111221.688792.111739.13-2965.2-3996.042.970.82-0.018-416.42
50trail21.79-57894.171564311327.565970.867826.09-2784.43-3996.042.140.82-0.02-371.12
50trail32.12-64443.591473211521.777844.9311739.13-2743.32-3996.042.860.8-0.02-438.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. 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 32.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, 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:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 May 2019 (-4.1%)
2017302 Jan 2017 (10.74%), 02 Aug 2017 (-2.69%), 13 Oct 2017 (-3.2%)
2016602 Feb 2016 (-1.37%), 26 May 2016 (7.37%), 09 Jun 2016 (-3.51%), 08 Nov 2016 (-3.08%), 30 Nov 2016 (-4.63%), 16 Dec 2016 (-4.01%)
2015609 Mar 2015 (-1.54%), 08 May 2015 (13.27%), 01 Jun 2015 (-4.56%), 19 Jun 2015 (8.05%), 12 Aug 2015 (7.53%), 31 Aug 2015 (-4.7%)
2014430 Jan 2014 (6.12%), 07 Aug 2014 (-5.45%), 16 Dec 2014 (-3.68%), 18 Dec 2014 (8.46%)
2013211 Apr 2013 (-0.23%), 28 May 2013 (-3.62%)
2012609 Apr 2012 (7.8%), 25 Jun 2012 (6.15%), 24 Jul 2012 (-3.38%), 06 Aug 2012 (-2.44%), 27 Aug 2012 (-3.92%), 12 Sep 2012 (-2.0%)
2010622 Jan 2010 (-3.42%), 01 Apr 2010 (5.14%), 25 May 2010 (-4.58%), 31 May 2010 (10.65%), 29 Sep 2010 (-2.01%), 02 Nov 2010 (-1.68%)
2009329 Oct 2009 (-3.9%), 01 Dec 2009 (7.06%), 15 Dec 2009 (8.79%)
20081012 May 2008 (-0.16%), 05 Jun 2008 (-2.93%), 02 Jul 2008 (-4.34%), 10 Jul 2008 (-3.85%), 21 Jul 2008 (-3.68%), 01 Aug 2008 (-3.2%), 19 Aug 2008 (-2.92%), 26 Aug 2008 (-2.57%), 28 Aug 2008 (-1.49%), 16 Sep 2008 (-3.62%)
2007225 Apr 2007 (-2.99%), 15 May 2007 (-2.07%)
2006603 Mar 2006 (-3.66%), 03 Apr 2006 (-1.35%), 07 Apr 2006 (-1.53%), 28 Apr 2006 (6.51%), 18 Sep 2006 (-4.28%), 03 Oct 2006 (7.96%)
20051020 Jan 2005 (13.58%), 21 Feb 2005 (11.27%), 07 Mar 2005 (-1.9%), 02 May 2005 (7.36%), 27 May 2005 (7.57%), 10 Jun 2005 (-2.58%), 18 Jul 2005 (-2.5%), 18 Aug 2005 (-3.46%), 13 Oct 2005 (-5.03%), 18 Nov 2005 (-3.45%)
2003830 Jan 2003 (-2.14%), 19 Feb 2003 (5.4%), 13 Jun 2003 (10.96%), 04 Aug 2003 (12.85%), 21 Aug 2003 (-5.09%), 06 Oct 2003 (0.23%), 30 Oct 2003 (11.14%), 20 Nov 2003 (9.23%)
20021028 Mar 2002 (9.57%), 12 Apr 2002 (9.14%), 30 Apr 2002 (-2.29%), 16 May 2002 (-3.79%), 17 Jul 2002 (-0.61%), 09 Sep 2002 (-0.51%), 27 Sep 2002 (-0.92%), 04 Dec 2002 (-2.84%), 18 Dec 2002 (-2.38%), 23 Dec 2002 (-1.83%)
2001329 Mar 2001 (-4.36%), 09 Apr 2001 (-3.77%), 23 Apr 2001 (6.82%)
2000112 Jan 2000 (-7.49%)
1999805 Jan 1999 (4.0%), 27 Jul 1999 (-3.46%), 02 Sep 1999 (-2.49%), 06 Oct 1999 (6.8%), 19 Nov 1999 (13.65%), 01 Dec 1999 (-7.02%), 06 Dec 1999 (-7.29%), 20 Dec 1999 (0.4%)
1998808 Jun 1998 (-1.59%), 03 Aug 1998 (-3.2%), 13 Aug 1998 (-2.79%), 18 Aug 1998 (5.78%), 24 Sep 1998 (-1.85%), 24 Nov 1998 (-1.75%), 09 Dec 1998 (-1.72%), 17 Dec 1998 (-1.0%)



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