Study: Buy CONCOR when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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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 and RSI is above 50" 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
19838.1545232251.112688.1721229.57-2363.17-19788.491.141.190.01218.63
2-20166.23451827403784.6912281.07-3270.02-20971.51.160.77-0.019-448.14
3-11259.86451827405597.4313700.36-4148.65-19501.71.350.9-0.0087-250.22
4-40159.8145212446.674779.2812003.66-5855.2-20433.770.820.71-0.029-892.44
5-25765.2345202544.446763.5419579.14-6441.44-31080.841.050.84-0.015-572.56
68189.3245232251.117834.7929013.41-7818.68-35167.5911.050.0038181.98
750102.1845232251.119124.1124927.82-7261.47-31582.721.261.310.0231113.38
860024.345232251.119219.2223715.11-6909.9-33339.311.331.390.0281333.87
948245.8145232251.119099.4131068.33-7320.03-31224.231.241.30.0211072.13
1074680.3745242153.339410.5538132.82-7198.71-30578.961.311.490.0331659.56
Although, strategy looks good but profit factor on day 4 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
atrnil38.9810167052163630.7721125.5234090.57-6564.96-12641.963.221.430.0331955.19
atrnil26.4740277.8853193435.8513829.622727.05-6543.66-12641.962.111.180.017759.96
atrtrail35.3227166.8357174029.8213384.7534090.57-5009.35-7813.522.671.140.011476.61
atrtrail24.77-10795.7957174029.8211151.6622727.05-5009.35-7813.522.230.95-0.0052-189.4
50nil22.51-9813.8668224632.356014.477930.75-3089.83-3994.871.950.93-0.0075-144.32
50trail22.35-9795.0672215129.176013.487930.75-2668.2-3994.872.250.93-0.0076-136.04
50trail32.88-10816.9867155222.398353.2911371.92-2617.62-3994.873.190.92-0.0076-161.45
50trail-13.89-19979.7666145221.218220.3622703.85-2597.4-3994.873.160.85-0.013-302.72
50nil33.19-22077.2262144822.588948.5311371.92-3069.93-3994.872.910.85-0.016-356.08
atrtrail-15.7-45076.9257174029.829135.1219298.47-5009.35-7813.521.820.78-0.025-790.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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.
CONCOR Performance, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Sep 2019 (9.18%)
2018109 Jul 2018 (-3.55%)
2017720 Jun 2017 (-2.8%), 07 Jul 2017 (-2.55%), 01 Aug 2017 (-2.21%), 14 Aug 2017 (8.14%), 10 Nov 2017 (-3.0%), 21 Nov 2017 (-2.88%), 19 Dec 2017 (6.55%)
2016324 Jun 2016 (8.34%), 05 Oct 2016 (-2.41%), 30 Oct 2016 (-2.39%)
2015222 Jun 2015 (-3.89%), 01 Jul 2015 (10.19%)
2014315 Jan 2014 (-3.39%), 08 Oct 2014 (11.66%), 31 Dec 2014 (10.02%)
2013507 Jan 2013 (-2.43%), 14 Jan 2013 (-2.57%), 21 Jan 2013 (-2.42%), 31 Jan 2013 (-2.26%), 04 Jul 2013 (-3.68%)
2012207 Sep 2012 (-1.85%), 12 Sep 2012 (5.56%)
2010411 Feb 2010 (-3.59%), 22 Jun 2010 (-3.73%), 11 Oct 2010 (-2.58%), 29 Oct 2010 (-2.63%)
2009109 Nov 2009 (15.57%)
2007203 Jan 2007 (-3.65%), 10 Aug 2007 (-3.42%)
2006606 Feb 2006 (9.68%), 21 Feb 2006 (-3.74%), 06 Mar 2006 (-4.1%), 16 Mar 2006 (-3.57%), 03 Apr 2006 (12.5%), 28 Jul 2006 (13.86%)
2005811 Feb 2005 (-3.2%), 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%), 23 Nov 2005 (11.3%)
2004325 Mar 2004 (-3.55%), 08 Nov 2004 (-3.69%), 01 Dec 2004 (9.33%)
2002303 Jun 2002 (17.05%), 05 Jul 2002 (-4.12%), 06 Sep 2002 (-3.26%)
1999104 Nov 1999 (-6.32%)



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