Study: Buy COLPAL 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 COLPAL 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 COLPAL 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
1-40726.764263840.622115.186656.06-2518.98-9312.070.840.57-0.065-636.35
2-44771.0264293545.312785.5811513.3-3587.23-10158.240.780.64-0.049-699.55
3-71074.5564303446.882882.6210584.47-4633.92-16892.460.620.55-0.068-1110.54
4-37668.9264362856.252972.8311968.94-5167.53-15747.420.580.74-0.033-588.58
5-14404.5164372757.813607.2210797.8-5476.72-16273.040.660.9-0.012-225.07
6-37404.1264352954.693874.5912203.59-5966.02-20570.370.650.78-0.027-584.44
7-5843.7764333151.564748.5314531.9-5243.4-21515.080.910.96-0.0041-91.31
81860.1664313348.445333.5113592.23-4953.9-16131.281.081.010.001329.06
934504.3964333151.565818.3318568.86-5080.66-18282.121.151.220.023539.13
1067700.3764382659.385527.7416389.79-5475.15-20244.411.011.480.0461057.82
Although, strategy looks good but profit factor on day 3 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
50nil34.0217021.6589246526.978495.7511992.23-2875.02-3999.92.961.090.011191.25
atrnil38.6420060.2670195127.1415026.5727081.39-5204.79-7735.642.891.080.0091286.58
50trail22.6112579.82102336932.355728.937819.2-2557.61-3999.92.241.070.0091123.33
50nil22.8410636.5296336334.385776.77994.82-2857.06-3999.92.021.060.0078110.8
atrnil26.0112568.228028523510107.418054.26-5200.75-8919.761.941.050.0061157.1
50trail33.495128.997277027.846673.1311728.81-2500.65-3999.92.671.030.003552.88
50trail-14.42-10356.8597267126.86369.0320726.21-2478.19-3999.92.570.94-0.0067-106.77
atrtrail24.82-32868.7592306232.617371.6512591.27-4097.07-7545.621.80.87-0.018-357.27
atrtrail35.43-44735.5192296331.527263.8617551.51-4053.77-7545.621.790.82-0.023-486.26
atrtrail-16.11-44930.792296331.527257.1229531.66-4053.77-7545.621.790.82-0.021-488.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 26.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.096%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
COLPAL Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Feb 2019 (-1.64%), 12 Mar 2019 (-1.1%), 14 Mar 2019 (-1.04%), 18 Mar 2019 (-1.41%)
2018506 Feb 2018 (-1.19%), 03 Apr 2018 (4.16%), 21 Jun 2018 (-1.59%), 29 Jun 2018 (-1.41%), 27 Aug 2018 (-1.75%)
2017918 Jan 2017 (-1.21%), 08 May 2017 (-1.57%), 22 May 2017 (-1.38%), 30 May 2017 (5.11%), 20 Jul 2017 (-1.62%), 04 Aug 2017 (-1.05%), 21 Aug 2017 (3.26%), 22 Sep 2017 (-1.73%), 14 Dec 2017 (4.01%)
2016423 Aug 2016 (5.09%), 15 Sep 2016 (-1.95%), 24 Oct 2016 (-1.19%), 10 Nov 2016 (-1.1%)
20151205 Jan 2015 (3.68%), 30 Jan 2015 (-1.68%), 05 Feb 2015 (-1.03%), 12 Feb 2015 (4.46%), 20 Apr 2015 (-1.58%), 23 Apr 2015 (-1.14%), 04 May 2015 (-1.35%), 08 May 2015 (-1.57%), 24 Jun 2015 (-1.44%), 29 Jun 2015 (4.83%), 11 Aug 2015 (-1.91%), 16 Sep 2015 (-1.32%)
2014706 Mar 2014 (-1.3%), 11 Mar 2014 (-1.48%), 18 Mar 2014 (3.42%), 02 Jun 2014 (3.01%), 05 Aug 2014 (-1.53%), 09 Sep 2014 (5.28%), 12 Dec 2014 (-1.16%)
2013417 Jan 2013 (-1.84%), 10 Apr 2013 (3.26%), 10 Jun 2013 (-1.4%), 29 Jul 2013 (-1.05%)
2012931 Jan 2012 (6.0%), 14 Jun 2012 (-1.34%), 06 Jul 2012 (-1.04%), 19 Jul 2012 (-1.13%), 23 Jul 2012 (-1.45%), 31 Jul 2012 (3.25%), 28 Aug 2012 (5.8%), 20 Sep 2012 (-1.94%), 26 Sep 2012 (5.58%)
20111210 Jun 2011 (-1.49%), 23 Jun 2011 (5.44%), 05 Aug 2011 (-1.87%), 25 Aug 2011 (-1.24%), 14 Sep 2011 (3.37%), 22 Sep 2011 (-1.14%), 23 Sep 2011 (-2.0%), 16 Nov 2011 (-1.2%), 22 Nov 2011 (-1.13%), 01 Dec 2011 (3.14%), 16 Dec 2011 (-1.51%), 26 Dec 2011 (-1.7%)
20101704 Jan 2010 (-1.46%), 06 Jan 2010 (-1.61%), 12 Jan 2010 (3.6%), 25 Jan 2010 (-1.24%), 24 Feb 2010 (-1.97%), 26 Feb 2010 (3.42%), 25 Mar 2010 (-1.62%), 08 Apr 2010 (3.98%), 18 May 2010 (-1.47%), 06 Aug 2010 (-1.49%), 07 Oct 2010 (-1.48%), 14 Oct 2010 (-1.51%), 19 Oct 2010 (5.41%), 12 Nov 2010 (-1.07%), 24 Nov 2010 (-1.49%), 06 Dec 2010 (-1.52%), 20 Dec 2010 (-1.42%)
2009614 May 2009 (3.39%), 20 May 2009 (-1.18%), 14 Aug 2009 (-1.17%), 18 Sep 2009 (-1.4%), 01 Oct 2009 (-1.7%), 24 Nov 2009 (-1.76%)



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