Study: Buy CHOLAFIN 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 CHOLAFIN 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 CHOLAFIN 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
1-48151.3469373253.622835.8614424.41-4783.69-33510.640.590.69-0.023-697.85
2-19402.6769383155.074046.0917124.7-5585.61-38430.850.720.89-0.0079-281.2
35699.5669323746.386061.1826098.34-5088.06-44281.911.191.030.001982.6
411607.0469353450.726052.1926696.58-5888.81-45478.721.031.060.0037168.22
53600.0669373253.627460.1538718.66-8513.3-48537.230.881.010.0009352.17
62272.5569363352.177890.5631893.81-8539.02-47074.470.921.010.0005532.94
7-32591.8569402957.977011.8232267.71-10795.33-43085.110.650.9-0.0078-472.35
828054.4769383155.078217.2337342.5-9167.75-38031.910.91.10.0069406.59
941069.6269373253.629939.0746277.21-10208.62-34308.510.971.130.009595.21
1011903269393056.5210658.1740778.92-9887.89-34574.471.081.40.0261725.1
Although, strategy looks good but profit factor on day 1 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
atrnil311.2420522462224035.4823696.9938105.14-7902.75-13717.5731.650.0443310.06
atrnil28.5616631268293942.6516003.1625403.43-7635.37-13717.572.11.560.0422445.77
atrtrail-17.1115917881334840.7413494.372803.86-5961.12-11513.592.261.560.0291965.16
atrtrail36.1510673481334840.7411905.0838105.14-5961.12-11513.5921.370.0241317.71
atrtrail25.6258158.0782344841.4610171.8925403.43-5993.46-11513.591.71.20.016709.24
50nil32.55-6757.32102257724.518668.9911655.45-2902.37-3990.012.990.97-0.0027-66.25
50nil21.86-7855.59111377433.335676.57770.3-2944.4-3990.011.930.96-0.0036-70.77
50trail21.74-11647.94116377931.95600.787770.3-2770.59-3927.492.020.95-0.0052-100.41
50trail32.14-31557.11111258622.527618.6111655.45-2581.66-3925.192.950.86-0.013-284.3
50trail-13.02-48396.44110199117.279379.0742895.35-2490.1-3925.193.770.79-0.014-439.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 35.48%, which is not acceptable. Avoid this strategy. Average return per trade is 1.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Aug 2019 (-4.45%), 18 Sep 2019 (10.67%)
2018724 Jan 2018 (-2.51%), 08 Feb 2018 (11.03%), 18 May 2018 (-3.75%), 04 Jun 2018 (-3.46%), 07 Jun 2018 (-3.49%), 11 Jul 2018 (-3.22%), 03 Sep 2018 (-2.64%)
2017501 Jun 2017 (10.24%), 22 Aug 2017 (-2.96%), 12 Oct 2017 (-3.1%), 23 Oct 2017 (-2.77%), 30 Oct 2017 (9.53%)
2016218 Feb 2016 (16.29%), 14 Sep 2016 (11.42%)
2015630 Apr 2015 (12.72%), 07 Aug 2015 (-4.03%), 19 Aug 2015 (-3.87%), 28 Sep 2015 (-4.29%), 30 Oct 2015 (-3.65%), 09 Nov 2015 (-3.6%)
2014530 Jan 2014 (-4.34%), 07 Mar 2014 (10.91%), 19 Aug 2014 (12.27%), 18 Nov 2014 (-3.81%), 26 Dec 2014 (12.98%)
2013320 Feb 2013 (10.32%), 13 Mar 2013 (-3.71%), 04 Jun 2013 (-2.6%)
2012202 Jul 2012 (11.25%), 31 Oct 2012 (16.94%)
2011314 Jan 2011 (-4.25%), 09 Mar 2011 (-5.42%), 18 Mar 2011 (-4.75%)
2010118 Nov 2010 (-6.07%)
2009114 Oct 2009 (-6.86%)
2007117 Aug 2007 (-5.79%)
2006122 Mar 2006 (11.93%)
2005416 Feb 2005 (14.04%), 27 Jul 2005 (-3.22%), 11 Nov 2005 (-2.56%), 16 Nov 2005 (9.27%)
2004217 Mar 2004 (-4.26%), 07 May 2004 (-4.13%)
2003401 Jan 2003 (-3.05%), 24 Jan 2003 (-2.73%), 22 Jul 2003 (12.48%), 16 Sep 2003 (10.82%)
2002510 Jan 2002 (8.97%), 10 Apr 2002 (19.05%), 05 Sep 2002 (-2.83%), 24 Oct 2002 (8.36%), 11 Nov 2002 (9.17%)
2001110 Jul 2001 (-3.2%)
2000322 Dec 2000 (-3.57%), 27 Dec 2000 (-3.71%), 29 Dec 2000 (-3.54%)
1999223 Sep 1999 (-6.7%), 22 Oct 1999 (-5.44%)
1997124 Sep 1997 (-4.13%)
1996127 Aug 1996 (-5.61%)



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