Study: Buy CHOLAFIN when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN when near 200 SMA and above 200 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
1-40576.0848222645.833826.6318515.12-4798.54-15789.470.80.67-0.03-845.33
2-46169.7748173135.426651.2125297.89-5136.78-24381.191.290.71-0.024-961.87
3-7321.9448202841.678233.9132630.61-6142.86-19390.581.340.96-0.0031-152.54
421525.3648212743.759241.635013.75-6390.68-20140.521.451.120.0087448.45
555640.12482424508894.2828414.3-6575.95-28415.31.351.350.0231159.17
632281.9548222645.839966.8426542.75-7191.87-19672.131.391.170.013672.54
717639.948252352.088433.4327314.39-8399.82-24311.1811.090.0072367.5
870076.5448232547.9210086.733363.89-6476.71-15612.81.561.430.0281459.93
956884.748262254.179114.829147.57-8186.37-22857.141.111.320.0221185.1
1010971148262254.1710953.3527777.78-7958.02-24635.331.381.630.042285.64
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
atrnil310.9110393547153231.9126153.6356622.48-9011.53-18285.52.91.360.0262211.39
atrnil27.1232363.6952193336.5417205.8437748.32-8925.68-18285.51.931.110.0096622.38
atrtrail25.03-14041.8559213835.5912604.4937748.32-7335.16-18285.51.720.95-0.0044-238
200nil32.09-16867.2877176022.089454.0611953.03-2959.77-3936.133.190.91-0.0087-219.06
200trail31.94-33281.6680186222.57727.4711953.03-2780.26-3936.132.780.81-0.018-416.02
atrtrail35.56-55863.4459203933.911209.0136190.07-7180.61-18285.51.560.8-0.019-946.84
200trail21.66-36594.0683226126.516084.77968.69-2794.39-3936.132.180.79-0.023-440.89
200nil21.77-37808.6280225827.56155.857968.69-2986.85-3936.132.060.78-0.024-472.61
atrtrail-15.69-11195959194032.29146.4330949.87-7143.53-18285.51.280.61-0.043-1897.61
200trail-12.65-68927.3178156319.236900.7328670.94-2737.12-3936.132.520.6-0.036-883.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 31.91%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 May 2019 (-3.36%), 09 May 2019 (-3.35%)
2018131 Jul 2018 (-4.28%)
2017518 Jan 2017 (-3.57%), 20 Apr 2017 (9.9%), 15 May 2017 (-3.29%), 17 May 2017 (-3.41%), 01 Jun 2017 (10.24%)
2016223 Feb 2016 (15.65%), 11 Nov 2016 (-6.54%)
2015116 Oct 2015 (12.13%)
2014104 Feb 2014 (-4.21%)
2013411 Jun 2013 (8.55%), 19 Jun 2013 (-3.21%), 28 Nov 2013 (-3.37%), 27 Dec 2013 (-3.29%)
2012101 Feb 2012 (16.74%)
2011307 Feb 2011 (-5.46%), 01 Mar 2011 (-6.15%), 14 Jul 2011 (-4.14%)
2009114 Jul 2009 (28.31%)
2008115 Feb 2008 (-8.05%)
2007231 May 2007 (10.04%), 08 Oct 2007 (17.87%)
2004501 Apr 2004 (-5.63%), 29 Sep 2004 (-3.71%), 08 Oct 2004 (-3.36%), 21 Oct 2004 (-3.09%), 09 Nov 2004 (11.68%)
2002104 Jan 2002 (10.16%)
2001522 Feb 2001 (-4.07%), 04 May 2001 (-4.44%), 11 May 2001 (-4.09%), 17 May 2001 (11.42%), 11 Dec 2001 (-3.0%)
2000408 Mar 2000 (-9.14%), 15 Mar 2000 (-8.8%), 28 Nov 2000 (-3.05%), 30 Nov 2000 (9.4%)
1999125 Jun 1999 (11.96%)
1998328 Apr 1998 (-3.82%), 16 Jul 1998 (-3.18%), 23 Sep 1998 (-3.5%)
1997126 Aug 1997 (12.09%)
1996327 Aug 1996 (-5.61%), 11 Sep 1996 (-5.4%), 23 Sep 1996 (-4.63%)



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