Study: Buy CEATLTD 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 CEATLTD 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 CEATLTD 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
1-15187.9434151944.122497.077901.91-2770.73-8201.060.90.71-0.04-446.7
2-79045.2134142041.183109.0812715.71-6128.62-14698.160.510.36-0.12-2324.86
3-11232734122235.294942.4616802.91-7801.65-20472.440.630.35-0.13-3303.73
4-10605734112332.356871.1721623.02-7897.38-20822.40.870.42-0.1-3119.32
5-90160.3734132138.245654.1827299.7-7793.56-20833.330.730.45-0.09-2651.78
6-64138.2434161847.065947.8930860.53-8850.25-24338.620.670.6-0.059-1886.42
7-12381634102429.418868.1830009.03-8854.07-23447.0710.42-0.1-3641.64
8-93870.2234122235.299557.524977.42-9480.01-26500.821.010.55-0.07-2760.89
9-11598834112332.3510651.1730396.08-10136.98-37967.531.050.5-0.077-3411.4
10-75140.7734151944.1210184.3531516.8-11995.05-36314.190.850.67-0.045-2210.02

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.71. This strategy is not profitable and we advice you not to use it.

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-15.28-39834.52408322022579.1259709.45-6889.61-14485.613.280.82-0.02-995.86
nilnil-11-15187.9434151944.122497.077901.91-2770.73-8201.060.90.71-0.04-446.7
atrnil36.81-75972.913672919.4423998.4931192.86-8412.49-14485.612.850.69-0.048-2110.36
atrnil26.03-80662.8337102727.0314993.9320795.24-8540.82-14485.611.760.65-0.061-2180.08
atrtrail34.55-84742.93408322016965.5731192.86-6889.61-14485.612.460.62-0.058-2118.57
atrtrail24.38-110030408322013804.7220795.24-6889.61-14485.6120.5-0.092-2750.74
50nil21.72-65764.6253104318.875944.37983.57-2911.81-3980.872.040.47-0.11-1240.84
50trail21.6-64668.753104318.875226.097794.72-2719.29-3924.941.920.45-0.11-1220.16
50trail-12.04-74317.83515469.89068.0226329.51-2601.26-3924.943.490.38-0.096-1457.21
50nil32.12-96173.66514477.849657.7611692.07-2868.18-3991.783.370.29-0.17-1885.76
50trail31.86-95417.88515469.84848.018422.91-2601.26-3924.941.860.2-0.23-1870.94

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 20%, which is not acceptable. Avoid this strategy. Average return per trade is -0.5%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CEATLTD Performance, Profit Factor:0.819

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018123 Jan 2018 (-2.15%)
20171210 Jan 2017 (-2.59%), 18 Jan 2017 (-3.28%), 27 Jan 2017 (-2.99%), 01 Feb 2017 (-3.1%), 27 Feb 2017 (-2.06%), 03 Mar 2017 (11.19%), 20 Jul 2017 (3.01%), 18 Sep 2017 (-2.45%), 06 Oct 2017 (-1.86%), 13 Oct 2017 (-1.73%), 10 Nov 2017 (-2.05%), 01 Dec 2017 (-1.95%)
2016305 Jan 2016 (-2.06%), 17 Nov 2016 (-5.21%), 01 Dec 2016 (-2.51%)
2015310 Mar 2015 (-4.51%), 18 May 2015 (-3.33%), 26 Oct 2015 (-3.52%)
2014413 May 2014 (10.75%), 25 Jul 2014 (-7.24%), 21 Aug 2014 (29.85%), 03 Dec 2014 (-2.78%)
2013602 Jan 2013 (0.8%), 28 Jan 2013 (-3.43%), 24 Jun 2013 (-4.11%), 17 Jul 2013 (4.95%), 23 Aug 2013 (-5.07%), 13 Sep 2013 (27.29%)
2012615 Mar 2012 (2.46%), 15 May 2012 (-5.61%), 29 May 2012 (-4.44%), 28 Jun 2012 (-4.09%), 04 Jul 2012 (-1.23%), 16 Jul 2012 (-1.37%)
2010304 Jan 2010 (-4.01%), 29 Apr 2010 (-4.45%), 15 Oct 2010 (-2.21%)
2009229 Oct 2009 (-6.56%), 09 Nov 2009 (-6.26%)



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