Study: Buy CONCOR when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CONCOR when near 200 SMA and 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 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
122725.2963372658.732453.438052.71-2617.38-7826.480.941.330.025360.72
290.6263323150.793812.7425874.65-3932.81-14009.680.9715.8e-051.44
32410.9763333052.384497.612298.39-4867-20439.030.921.020.001438.27
415311.9163362757.144724.9114461.64-5732.78-25899.280.821.10.0079243.05
518140.3863352855.565624.7526569.31-6383.06-29072.130.881.10.008287.94
681602.7863382560.327035.5923719.49-7429.99-32761.480.951.440.031295.28
712049663382560.327692.7131047.56-6873.08-28481.831.121.70.0441912.64
871535.1863392461.97163.2931631.16-8659.71-26666.670.831.340.0241135.48
922520.8263342953.978461.5732798.37-9143.88-28233.330.931.080.0067357.47
1016594.2163352855.568224.2338132.82-9687.64-30510.980.851.060.0049263.4
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
atrnil210.5468419.2752213140.3814817.3541827.58-7830.48-17811.021.891.280.0251315.76
atrnil314.8568765.1348143429.1723527.5662741.36-7665.32-17811.023.071.260.0211432.61
200nil22.25-1725.63102346833.335974.047956.24-3012.4-3985.861.980.99-0.00089-16.92
200trail22.1-3981.38109347531.195879.087956.24-2718.27-3969.112.160.98-0.002-36.53
atrtrail25.6-51534.673254834.258316.7419030.9-5405.27-13169.551.540.8-0.021-705.95
atrtrail36.11-55338.2173254834.258164.5928546.35-5405.27-13169.551.510.79-0.02-758.06
200trail32.52-54598.84104257924.046038.769920.61-2602.12-3969.112.320.73-0.029-524.99
200nil32.98-61477.4892197320.658287.1611864.04-2999.09-3978.122.760.72-0.033-668.23
atrtrail-16.45-99977.7173254834.256379.0120695.15-5405.27-13169.551.180.61-0.044-1369.56
200trail-13.28-83903.031002080206021.6120311.68-2554.19-3969.112.360.59-0.042-839.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 40.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Apr 2019 (-2.59%), 26 Jul 2019 (-2.56%), 12 Sep 2019 (6.12%)
2018819 Feb 2018 (-2.92%), 13 Apr 2018 (5.06%), 27 Apr 2018 (5.48%), 01 Jun 2018 (-2.75%), 09 Jul 2018 (-3.55%), 31 Jul 2018 (-3.64%), 10 Sep 2018 (-2.89%), 05 Nov 2018 (-4.3%)
2017110 Feb 2017 (-2.7%)
2016603 May 2016 (-2.7%), 19 May 2016 (5.33%), 06 Jun 2016 (6.14%), 12 Sep 2016 (-2.55%), 21 Sep 2016 (5.02%), 17 Oct 2016 (5.69%)
2015121 Aug 2015 (-3.54%)
2013704 Jan 2013 (-2.37%), 29 Jan 2013 (-2.31%), 04 Feb 2013 (5.04%), 05 Aug 2013 (-4.63%), 30 Aug 2013 (7.46%), 16 Sep 2013 (8.15%), 13 Nov 2013 (7.06%)
2012621 Feb 2012 (-3.37%), 03 Apr 2012 (-3.88%), 10 Jul 2012 (-2.98%), 19 Jul 2012 (5.67%), 27 Jul 2012 (6.42%), 21 Nov 2012 (-2.88%)
2011115 Apr 2011 (-3.71%)
2010311 Jun 2010 (7.32%), 30 Aug 2010 (-3.49%), 31 Aug 2010 (-3.55%)
2008113 Aug 2008 (-4.31%)
2007612 Mar 2007 (7.72%), 05 Apr 2007 (9.52%), 02 Aug 2007 (6.81%), 14 Aug 2007 (-3.83%), 28 Aug 2007 (7.57%), 27 Sep 2007 (-3.91%)
2006108 Jun 2006 (20.91%)
2004319 May 2004 (-7.55%), 04 Jun 2004 (-8.91%), 10 Aug 2004 (8.78%)
2002315 Jan 2002 (8.3%), 13 Dec 2002 (-4.7%), 16 Dec 2002 (-5.44%)
2000221 Jan 2000 (-6.27%), 31 Jan 2000 (-6.58%)



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