Study: Buy CHOLAFIN when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN when below 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
144612.6579403950.635661.121631.88-4662.34-19699.51.211.250.016564.72
269719.1379394049.377943.839479.91-6002.22-34452.31.321.290.017882.52
314472.4879384148.18736.9542316.78-7744.68-34982.331.131.050.0032183.2
433535.1679354444.312423.6465642.24-9120.28-47173.141.361.080.0055424.5
58253.6179354444.313358.153979.51-10438.18-45229.681.281.020.0013104.48
658403.2279394049.3714359.1959022.85-12540.13-58127.211.151.120.0082739.28
744571.779453456.9612816.1248322.15-15651.58-66077.740.821.080.0061564.2
874473.4979423753.1614993.7185771.81-15007.09-64487.6311.130.0093942.7
9-44726.3979354444.315987.477449.66-13733.76-73851.591.160.93-0.0056-566.16
10-9398.4779413851.914818.9369261.74-16236.17-70671.380.910.98-0.0012-118.97
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
atrtrail24.33-26847.32151579437.7515089.5863672.56-9435.68-35775.531.60.97-0.0024-177.8
atrnil310.63-69395.86127349326.7732246.575141.6-12535.24-38898.452.570.94-0.0052-546.42
atrtrail34.91-85700.22151579437.7514057.0795508.84-9435.68-35775.531.490.9-0.0075-567.55
atrnil26.22-111946132458734.0921722.650094.4-12522.56-38898.451.730.9-0.0098-848.07
atrtrail-15.29-146024151579437.7512998.7680873.89-9435.68-35775.531.380.84-0.014-967.05

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 37.75%, which is not acceptable. Avoid this strategy. Average return per trade is -0.089%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, Profit Factor:0.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Jan 2019 (-1.31%), 29 Jan 2019 (6.41%), 06 May 2019 (-1.31%), 13 May 2019 (7.28%)
2018606 Sep 2018 (-0.67%), 11 Sep 2018 (-3.0%), 21 Sep 2018 (-4.55%), 24 Sep 2018 (-1.35%), 05 Oct 2018 (-6.57%), 08 Oct 2018 (3.13%)
2017427 Feb 2017 (-2.59%), 07 Mar 2017 (-1.75%), 10 Mar 2017 (5.9%), 25 May 2017 (0.55%)
2016413 Jan 2016 (-2.87%), 18 Jan 2016 (6.94%), 15 Nov 2016 (0.15%), 13 Dec 2016 (11.67%)
2014302 Jan 2014 (-3.74%), 12 Feb 2014 (-3.78%), 18 Feb 2014 (8.24%)
2013512 Jun 2013 (-1.75%), 20 Jun 2013 (-3.41%), 24 Jun 2013 (2.06%), 24 Jul 2013 (-1.81%), 06 Aug 2013 (9.9%)
20111508 Feb 2011 (-6.02%), 09 Feb 2011 (13.3%), 04 May 2011 (-2.31%), 24 May 2011 (0.58%), 05 Aug 2011 (-4.65%), 12 Aug 2011 (-4.55%), 19 Aug 2011 (9.41%), 03 Oct 2011 (8.43%), 15 Nov 2011 (-4.13%), 17 Nov 2011 (-4.68%), 21 Nov 2011 (3.05%), 12 Dec 2011 (-3.69%), 15 Dec 2011 (-6.21%), 16 Dec 2011 (-6.75%), 19 Dec 2011 (14.71%)
2009615 Jan 2009 (-10.67%), 23 Jan 2009 (-6.23%), 02 Feb 2009 (-6.98%), 10 Feb 2009 (-1.24%), 20 Feb 2009 (-3.23%), 13 Jul 2009 (20.3%)
20082413 Feb 2008 (17.65%), 05 Mar 2008 (-6.93%), 10 Mar 2008 (-2.56%), 17 Mar 2008 (-10.48%), 24 Mar 2008 (25.05%), 26 May 2008 (-7.51%), 03 Jun 2008 (-8.28%), 09 Jun 2008 (-7.04%), 25 Jun 2008 (-9.26%), 15 Jul 2008 (-8.67%), 16 Jul 2008 (-1.42%), 31 Jul 2008 (15.79%), 04 Sep 2008 (-5.9%), 12 Sep 2008 (-6.17%), 15 Sep 2008 (-7.46%), 23 Sep 2008 (-7.88%), 26 Sep 2008 (-8.49%), 30 Sep 2008 (-6.8%), 06 Oct 2008 (1.44%), 14 Oct 2008 (-14.17%), 16 Oct 2008 (-16.3%), 22 Oct 2008 (-17.89%), 27 Oct 2008 (-3.14%), 25 Nov 2008 (31.84%)
2007717 Jan 2007 (7.81%), 20 Feb 2007 (-4.13%), 23 Feb 2007 (-4.29%), 28 Feb 2007 (-4.05%), 05 Mar 2007 (-5.63%), 06 Mar 2007 (13.46%), 19 Oct 2007 (11.95%)
2006819 May 2006 (-6.51%), 31 May 2006 (-7.79%), 07 Jun 2006 (-8.13%), 08 Jun 2006 (-0.09%), 14 Jun 2006 (18.96%), 21 Jul 2006 (-6.81%), 06 Dec 2006 (-3.41%), 08 Dec 2006 (-3.21%)
2004519 Mar 2004 (-6.79%), 24 Mar 2004 (13.54%), 17 May 2004 (2.45%), 28 Oct 2004 (-3.32%), 02 Nov 2004 (7.79%)
2003312 Mar 2003 (-3.96%), 19 Mar 2003 (-4.14%), 26 Mar 2003 (-3.26%)
2001901 Feb 2001 (-3.45%), 02 Feb 2001 (-3.65%), 05 Feb 2001 (8.11%), 05 Mar 2001 (1.0%), 11 Jul 2001 (0.84%), 17 Jul 2001 (-2.28%), 27 Jul 2001 (8.68%), 17 Sep 2001 (9.07%), 28 Dec 2001 (7.12%)
2000909 Mar 2000 (0.39%), 24 Apr 2000 (-6.67%), 25 Apr 2000 (2.42%), 22 May 2000 (-4.95%), 23 May 2000 (10.73%), 25 Jul 2000 (-0.43%), 31 Jul 2000 (-4.21%), 19 Sep 2000 (7.78%), 26 Dec 2000 (0.4%)
1999322 Mar 1999 (-2.96%), 25 Mar 1999 (3.09%), 15 Jun 1999 (8.07%)
19981302 Jan 1998 (5.46%), 02 Feb 1998 (0.25%), 12 May 1998 (3.23%), 16 Jun 1998 (0.15%), 24 Sep 1998 (-3.07%), 05 Oct 1998 (-0.67%), 15 Oct 1998 (-1.57%), 20 Oct 1998 (6.01%), 02 Nov 1998 (6.55%), 03 Dec 1998 (-1.0%), 09 Dec 1998 (-3.07%), 11 Dec 1998 (-1.81%), 22 Dec 1998 (0.87%)
19971703 Feb 1997 (0.92%), 13 Feb 1997 (-4.31%), 18 Feb 1997 (-1.62%), 21 Feb 1997 (-4.05%), 24 Feb 1997 (-4.58%), 25 Feb 1997 (10.28%), 29 Apr 1997 (0.65%), 07 May 1997 (-0.73%), 12 May 1997 (-3.36%), 26 Jun 1997 (6.5%), 25 Sep 1997 (-3.02%), 10 Oct 1997 (-4.32%), 16 Oct 1997 (-4.59%), 21 Oct 1997 (2.38%), 11 Nov 1997 (5.12%), 19 Dec 1997 (-0.3%), 30 Dec 1997 (-0.39%)
1996627 Sep 1996 (-5.39%), 01 Oct 1996 (-5.74%), 03 Oct 1996 (-6.27%), 04 Oct 1996 (14.24%), 02 Dec 1996 (-7.75%), 04 Dec 1996 (-3.57%)



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