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

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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 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 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
12043.46201010502400.017901.91-2195.67-4897.961.091.090.01102.17
2-10485.9820911453394.7512715.71-3730.79-10306.120.910.74-0.032-524.3
3-34809.4520812404173.3316802.91-5683.01-15612.240.730.49-0.081-1740.47
4-30057.120713355922.3216348.77-5501.03-15510.21.080.58-0.063-1502.86
5-36561.1920911453374.659990.92-6084.82-14285.710.550.45-0.093-1828.06
6-22615.4220911455215.1412352.41-6322.88-12770.590.820.67-0.051-1130.77
7-44054.8520614308017.9319618.53-6583.03-13686.771.220.52-0.079-2202.74
8-32065.720713359131.3624250.68-7383.48-18574.191.240.67-0.05-1603.29
9-39508.9720713359086.2219479.63-7931.73-27441.931.150.62-0.058-1975.45
1011800.04209114511530.831516.8-8361.56-30024.031.381.130.014590
Although, strategy looks good but profit factor on day 5 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
atrtrail-1635751.25256192425518.0559709.45-6176.69-12521.034.131.30.0241430.05
atrtrail34.96-14293.94256192417177.1831192.86-6176.69-12521.032.780.88-0.015-571.76
atrnil37.73-18830.22251722.7322811.9231192.86-7817.05-12521.032.920.86-0.02-855.92
atrnil26.32-33883.742261627.2715225.1120795.24-7827.15-12521.031.950.73-0.044-1540.17
atrtrail24.8-36089.94256192413544.5120795.24-6176.69-12521.032.190.69-0.047-1443.6
50nil21.8-39496.4735728205865.267983.57-2876.9-3980.872.040.51-0.095-1128.47
50trail21.63-40097.9635728204839.247794.72-2641.88-3831.51.830.46-0.11-1145.66
50nil32.24-67185.77332316.069993.1811692.07-2812-3991.783.550.23-0.2-2035.93
50trail-12.06-57778.71333309.095620.7911487.74-2488.04-3831.52.260.23-0.19-1750.87
50trail31.94-60972.17333309.094556.38294.28-2488.04-3831.51.830.18-0.24-1847.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
CEATLTD Performance, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20171010 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%), 18 Sep 2017 (-2.45%), 06 Oct 2017 (-1.86%), 13 Oct 2017 (-1.73%), 10 Nov 2017 (-2.05%)
2016205 Jan 2016 (-2.06%), 01 Dec 2016 (-2.51%)
2015210 Mar 2015 (-4.51%), 18 May 2015 (-3.33%)
2014121 Aug 2014 (29.85%)
2013402 Jan 2013 (0.8%), 24 Jun 2013 (-4.11%), 17 Jul 2013 (4.95%), 13 Sep 2013 (27.29%)
2012415 Mar 2012 (2.46%), 29 May 2012 (-4.44%), 28 Jun 2012 (-4.09%), 04 Jul 2012 (-1.23%)
2010104 Jan 2010 (-4.01%)
2009109 Nov 2009 (-6.26%)



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