Study: Buy CHOLAFIN when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN when 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
1-28127.4242152735.715254.421856.29-3960.87-19977.341.330.74-0.021-669.7
2-56268.2942192345.245261.9424251.5-6793.27-19486.730.770.64-0.034-1339.72
3-23842.6142182442.867952.3633278.42-6957.71-27533.711.140.86-0.011-567.68
4-69899.3642172540.489302.6224700.6-9121.76-24532.411.020.69-0.03-1664.27
5-61984.5742182442.869611.1917977.53-9791.08-32656.710.980.74-0.026-1475.82
6-65015.42422121507558.4624503.31-10654.43-37726.910.710.71-0.026-1547.99
7-43776.5142202247.629952.1442715.23-11037.24-34499.590.90.82-0.015-1042.3
814983.6942231954.7610769.3953935.48-12248.01-31895.850.881.060.0046356.75
99131.842182442.8614507.9155960.26-10500.44-23947.061.381.040.0027217.42
10-53344.8542182442.8611569.9541390.73-10900.17-24009.661.060.8-0.019-1270.12
Although, strategy looks good but profit factor on day 2 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
atrnil39.8998663.0153163730.1930735.9159960.57-10624.64-19881.042.891.250.0191861.57
atrnil25.9577190.5357223538.620386.839973.71-10609.12-19881.041.921.210.0181354.22
atrtrail24.62-6135.8361223936.0714999.1232430.44-8618.37-18021.511.740.98-0.0017-100.59
atrtrail35.48-69883.5761214034.4312740.0248645.67-8435.6-18021.511.510.79-0.018-1145.63
atrtrail-15.59-10685661204132.7911813.2640813.78-8368.81-18021.511.410.69-0.03-1751.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. 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 30.19%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
CHOLAFIN Performance, Profit Factor:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 May 2019 (-3.32%), 18 Jul 2019 (-4.1%), 22 Jul 2019 (-4.48%), 24 Jul 2019 (15.55%)
2018316 May 2018 (-3.55%), 23 May 2018 (-3.96%), 30 Jul 2018 (-4.34%)
2017225 Sep 2017 (-2.92%), 26 Sep 2017 (9.18%)
2016312 Sep 2016 (11.86%), 04 Nov 2016 (-3.85%), 09 Nov 2016 (-5.01%)
2015625 Mar 2015 (11.6%), 07 Aug 2015 (-4.03%), 13 Aug 2015 (12.12%), 21 Aug 2015 (-4.9%), 24 Aug 2015 (-5.09%), 03 Sep 2015 (14.26%)
2014311 Feb 2014 (-3.69%), 13 Aug 2014 (13.56%), 13 Oct 2014 (-4.85%)
2013420 Mar 2013 (-3.25%), 04 Apr 2013 (-3.61%), 12 Apr 2013 (-3.61%), 11 Jun 2013 (8.55%)
2011228 Jan 2011 (-4.9%), 04 Feb 2011 (-5.51%)
2010227 Jan 2010 (-6.39%), 10 Feb 2010 (16.77%)
2009323 Oct 2009 (-6.54%), 29 Oct 2009 (-6.78%), 03 Nov 2009 (21.7%)
2008321 Jan 2008 (-8.87%), 22 Jan 2008 (-9.94%), 12 Feb 2008 (-8.61%)
2007320 Sep 2007 (-5.96%), 25 Sep 2007 (-6.57%), 08 Oct 2007 (17.87%)
2006313 Apr 2006 (-4.57%), 17 Apr 2006 (-4.93%), 27 Apr 2006 (17.39%)
2005405 Jan 2005 (-4.98%), 20 Jan 2005 (16.17%), 29 Jul 2005 (10.17%), 22 Sep 2005 (-3.26%)
2004122 Jan 2004 (-9.16%)
2002211 Jul 2002 (-5.79%), 16 Jul 2002 (-6.03%)
2000212 Jan 2000 (29.98%), 07 Mar 2000 (-9.01%)
1999227 Sep 1999 (-6.66%), 04 Oct 1999 (19.15%)
1998123 Sep 1998 (-3.5%)



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