Study: Buy CESC when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy CESC when near 200 SMA and above 200 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CESC 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
110182.9227151255.563935.19182.74-4070.29-8044.440.971.210.016377.15
211539.6927151255.566083.6323602.48-6642.9-41677.840.921.140.0081427.4
332139.5427151255.567612.416993.46-6837.2-29879.331.111.390.0251190.35
453593.9527141351.8510804.2925708.06-7512.78-28193.831.441.550.0331984.96
56382.6727141351.8511208.7826548.67-11580.01-46121.430.971.040.0031236.4
611318227171062.9615625.343279.57-15244.83-42980.271.021.740.0434191.92
712831027151255.5618294.1550147.49-12175.17-25668.181.51.880.0484752.23
815972727141351.8523924.2179314.33-13477.86-35969.431.781.910.0445915.8
990771.3127131448.1519798.7660516.18-11900.9-26827.21.661.540.033361.9
1013731027141351.8518686.4270916.8-9561.51-27836.341.952.10.0445085.56
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=10, Profit Factor:2.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 Jun 2019 (0.01%), 30 Jul 2019 (5.61%)
2018506 Feb 2018 (-0.41%), 05 Mar 2018 (-7.58%), 05 Apr 2018 (5.0%), 30 Aug 2018 (-1.58%), 17 Sep 2018 (-13.92%)
2016121 Apr 2016 (0.98%)
2015129 Oct 2015 (-4.69%)
2013208 Mar 2013 (-10.59%), 12 Aug 2013 (-4.35%)
2012102 Nov 2012 (-3.92%)
2011219 Jul 2011 (2.17%), 08 Aug 2011 (-5.38%)
2010208 Jul 2010 (2.7%), 28 Sep 2010 (-0.44%)
2009108 May 2009 (35.46%)
2008228 Jan 2008 (1.82%), 11 Feb 2008 (0.7%)
2006206 Jun 2006 (0.08%), 20 Jun 2006 (-2.32%)
2002307 May 2002 (30.08%), 30 Sep 2002 (-6.83%), 11 Dec 2002 (29.5%)
2000126 Dec 2000 (5.01%)
1998217 Mar 1998 (11.69%), 13 May 1998 (-0.13%)

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
atrtrail35.8411437732171553.1213196.4142892.82-7330.83-17895.311.82.040.0483574.27
atrtrail25.1298049.232171553.1212235.9828595.22-7330.83-17895.311.671.890.0493064.04
atrnil316.041395852791833.3334161.5462585.73-9326.03-23173.833.661.830.0465169.83
atrtrail-16.2874823.9732171553.1210869.7945348.19-7330.83-17895.311.481.680.0342338.25
atrnil28.5294763.1127121544.4420284.2441723.82-9909.85-23173.832.051.640.0423509.74
200nil21.6313330.9341152636.595856.327962.55-2865.92-3968.932.041.180.015325.14
200trail21.5511774.0942152735.715871.747962.55-2826-3968.932.081.150.013280.34
200nil31.929226.1839112828.218268.5511943.82-2918.85-3968.932.831.110.0092236.57
200trail31.767431.2441113026.838300.0911943.82-2795.66-3968.932.971.090.0072181.25
200trail-12.77-9170.254073317.511243.8433253.01-2662.94-3968.934.220.9-0.0067-229.26

In the table above, row 1 shows the best exit criterion. Profit factor is 2.04. 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 53.12%, which is not acceptable. Avoid this strategy. Average return per trade is 1.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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.
CESC Performance, Profit Factor:2.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 Jun 2019 (1.37%), 30 Jul 2019 (0.68%)
2018606 Feb 2018 (0.72%), 19 Feb 2018 (0.25%), 05 Mar 2018 (-3.09%), 05 Apr 2018 (3.65%), 30 Aug 2018 (-1.54%), 17 Sep 2018 (-3.12%)
2016121 Apr 2016 (3.7%)
2015129 Oct 2015 (-3.15%)
2013308 Mar 2013 (-3.24%), 13 Mar 2013 (-3.52%), 12 Aug 2013 (-1.56%)
2012102 Nov 2012 (-4.66%)
2011319 Jul 2011 (9.51%), 08 Aug 2011 (-3.68%), 10 Aug 2011 (-2.19%)
2010308 Jul 2010 (4.01%), 28 Sep 2010 (0.57%), 07 Oct 2010 (-3.44%)
2009108 May 2009 (-5.31%)
2008328 Jan 2008 (4.81%), 11 Feb 2008 (0.32%), 20 Feb 2008 (1.22%)
2006206 Jun 2006 (-8.95%), 20 Jun 2006 (-7.0%)
2002307 May 2002 (21.45%), 30 Sep 2002 (19.56%), 11 Dec 2002 (17.78%)
2000126 Dec 2000 (6.27%)
1998217 Mar 1998 (16.3%), 13 May 1998 (-0.53%)



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