Study: Buy CONCOR 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 CONCOR 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 CONCOR 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
117241.6981414050.622939.8421229.57-2582.29-19788.491.141.170.01212.86
239188.2381394248.154128.2813313.8-2900.35-20971.51.421.320.022483.81
380963.581414050.625797.8320329.08-3918.69-19501.71.481.520.035999.55
499509.4681453655.566241.0520770.45-5037.16-20433.771.241.550.0381228.51
591376.9581443754.327047.8226722.49-5911.55-31080.841.191.420.0291128.11
611925681453655.567886.7529013.41-6545.77-35167.591.21.510.0341472.3
718096381433853.099751.8125118.83-6272.76-31582.721.551.760.0472234.11
819652181443754.329756.8439033.73-6291.34-33339.311.551.840.052426.19
921204081453655.5610125.6344312.01-6767.05-31224.231.51.870.052617.78
1020858481473458.0210650.2739257.21-8587.61-47039.361.241.710.0432575.11
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
atrnil310.2115362081255630.8621860.4943614.65-7015.93-18397.583.121.390.0311896.54
atrnil26.8385079.590335736.6714596.1929076.44-6957.81-18397.582.11.210.02945.33
atrtrail35.8551362.998306830.6112676.0534090.57-4837.04-8661.682.621.160.012524.11
atrtrail25.1450892.6799306930.312906.6429076.44-4874.01-8661.682.651.150.013514.07
atrtrail-16.21-37211.2698306830.619723.5734853.18-4837.04-8661.682.010.89-0.011-379.71
50trail32.52-37049.91127309723.627361.8311804.21-2658.81-3994.872.770.86-0.014-291.73
50nil32.88-45053.82117269122.228780.3211804.21-3003.76-3994.872.920.84-0.017-385.08
50nil22.28-49280.26126378929.375910.687930.75-3010.96-3994.871.960.82-0.021-391.11
50trail22.14-50434.87132379528.035584.697930.75-2705.98-3994.872.060.8-0.022-382.08
50trail-13.43-54715.35125289722.47243.9332092.16-2655.11-3994.872.730.79-0.018-437.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 30.86%, which is not acceptable. Avoid this strategy. Average return per trade is 0.95%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
CONCOR Performance, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Jul 2019 (-2.51%), 12 Sep 2019 (9.18%)
2018301 Jun 2018 (-2.75%), 09 Jul 2018 (-3.55%), 24 Dec 2018 (-2.98%)
2017908 Jun 2017 (-2.84%), 20 Jun 2017 (-2.8%), 07 Jul 2017 (-2.55%), 01 Aug 2017 (-2.21%), 09 Aug 2017 (-2.5%), 14 Aug 2017 (8.14%), 27 Sep 2017 (9.21%), 19 Oct 2017 (-2.93%), 19 Dec 2017 (6.55%)
2016506 Jun 2016 (9.22%), 11 Aug 2016 (-3.42%), 05 Oct 2016 (-2.41%), 30 Oct 2016 (-2.39%), 10 Nov 2016 (-2.88%)
2015309 Jun 2015 (-4.4%), 01 Jul 2015 (10.19%), 22 Jul 2015 (-3.79%)
2014615 Jan 2014 (-3.39%), 08 Sep 2014 (-3.25%), 07 Oct 2014 (11.62%), 28 Nov 2014 (-4.08%), 04 Dec 2014 (-3.99%), 31 Dec 2014 (10.02%)
20131107 Jan 2013 (-2.43%), 14 Jan 2013 (-2.57%), 21 Jan 2013 (-2.42%), 29 Jan 2013 (-2.31%), 04 Feb 2013 (7.56%), 24 May 2013 (9.57%), 10 Jun 2013 (-4.33%), 04 Jul 2013 (-3.68%), 03 Oct 2013 (-3.38%), 09 Oct 2013 (9.86%), 14 Nov 2013 (-3.42%)
2012227 Aug 2012 (7.53%), 15 Nov 2012 (-2.88%)
2010511 Feb 2010 (-3.59%), 29 Apr 2010 (-4.27%), 22 Jun 2010 (-3.73%), 11 Oct 2010 (-2.58%), 29 Oct 2010 (-2.63%)
2009315 Jul 2009 (13.65%), 14 Sep 2009 (12.12%), 09 Nov 2009 (15.57%)
2007413 Jun 2007 (13.13%), 30 Jul 2007 (-3.01%), 10 Aug 2007 (-3.42%), 26 Sep 2007 (-3.64%)
2006806 Feb 2006 (9.68%), 21 Feb 2006 (-3.74%), 06 Mar 2006 (-4.1%), 16 Mar 2006 (-3.57%), 28 Mar 2006 (10.71%), 24 May 2006 (-9.2%), 28 Jul 2006 (13.86%), 20 Dec 2006 (-4.55%)
20051004 Feb 2005 (10.95%), 04 Mar 2005 (-3.84%), 08 Mar 2005 (-3.9%), 10 Mar 2005 (-3.91%), 18 Mar 2005 (-3.57%), 20 Apr 2005 (-3.52%), 22 Apr 2005 (10.08%), 24 Oct 2005 (-3.44%), 02 Nov 2005 (-3.95%), 23 Nov 2005 (11.3%)
2004501 Mar 2004 (12.42%), 25 Mar 2004 (-3.55%), 03 May 2004 (-3.08%), 12 Oct 2004 (-4.33%), 01 Dec 2004 (9.33%)
2002322 Apr 2002 (21.81%), 26 Jun 2002 (-5.11%), 06 Sep 2002 (-3.26%)
1999227 Sep 1999 (-3.6%), 04 Nov 1999 (-6.32%)



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