Study: Buy COLPAL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy COLPAL 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 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
1-5418.592314960.872201.855250.75-4027.17-7140.980.550.85-0.021-235.59
236091.862314960.875009.1313810.72-3781.77-6527.281.322.060.0871569.21
337732.782314960.875828.2713221.19-4873.67-8952.551.21.860.0761640.56
445149.032314960.876036.5313095.43-4373.6-9802.071.382.150.0941963
549578.62316769.575343.0111451.15-5129.93-7388.151.042.380.112155.59
662431.392316769.575858.8113668.8-4472.79-10247.811.312.990.132714.41
752179.22314960.877022.5314646.94-5126.24-11128.351.372.130.0942268.66
847925.492315865.226646.2812410.79-6471.09-11690.221.031.930.0842083.72
952454.972314960.876793.5613547.84-4739.43-12075.981.432.230.0952280.65
1043654.682315865.226036.0315096.17-5860.71-12050.821.031.930.081898.03
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
COLPAL Performance, X=6, Profit Factor:2.99

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 May 2019 (-5.12%)
2018420 Feb 2018 (-2.5%), 26 Jul 2018 (3.49%), 11 Sep 2018 (1.16%), 28 Sep 2018 (-2.93%)
2017227 Jan 2017 (1.59%), 08 Nov 2017 (1.71%)
2016706 Jan 2016 (-0.64%), 22 Jan 2016 (-3.11%), 11 Feb 2016 (0.57%), 10 Mar 2016 (5.3%), 20 May 2016 (5.55%), 21 Nov 2016 (6.05%), 27 Dec 2016 (1.3%)
2015224 Aug 2015 (-0.59%), 07 Sep 2015 (5.34%)
2013528 Feb 2013 (4.63%), 26 Mar 2013 (6.83%), 13 Jun 2013 (-0.76%), 01 Aug 2013 (0.51%), 23 Aug 2013 (1.08%)
2012112 Jan 2012 (0.16%)
2011101 Feb 2011 (1.59%)

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
atrnil312.7612529634142041.1816022.5520004.77-4951.01-7522.353.242.270.13685.16
atrtrail23.3551172.1240152537.59117.1815044.69-3423.42-7036.552.661.60.0561279.3
atrtrail-15.749477.9840152537.59004.2445079.95-3423.42-7036.552.631.580.0411236.95
atrnil25.3157528.6936152141.6710628.8915044.69-4852.6-7036.552.191.560.061598.02
atrtrail34.4243233.4740152537.58587.9317507.64-3423.42-7036.552.511.510.0461080.84

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 1.84%, which is not very high, 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.
COLPAL Performance, Profit Factor:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 May 2019 (-1.92%), 03 May 2019 (-2.0%), 08 May 2019 (-2.02%), 14 May 2019 (6.17%)
2018620 Feb 2018 (-2.11%), 22 Feb 2018 (7.09%), 26 Jul 2018 (7.33%), 11 Sep 2018 (-2.39%), 28 Sep 2018 (-2.75%), 08 Oct 2018 (8.71%)
2017108 Nov 2017 (6.63%)
2016806 Jan 2016 (-1.77%), 07 Jan 2016 (-2.09%), 22 Jan 2016 (-2.65%), 27 Jan 2016 (-2.86%), 11 Feb 2016 (-2.69%), 10 Mar 2016 (6.83%), 20 May 2016 (-1.96%), 21 Nov 2016 (9.63%)
2015424 Aug 2015 (-2.09%), 25 Aug 2015 (-2.41%), 07 Sep 2015 (-2.33%), 08 Sep 2015 (7.28%)
2013728 Feb 2013 (7.82%), 26 Mar 2013 (8.75%), 13 Jun 2013 (-3.06%), 25 Jun 2013 (9.33%), 01 Aug 2013 (-3.52%), 06 Aug 2013 (-3.76%), 27 Aug 2013 (10.0%)
2012212 Jan 2012 (-2.29%), 13 Jan 2012 (7.04%)
2011201 Feb 2011 (-2.85%), 02 Feb 2011 (9.53%)



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