Study: Buy ENGINERSIN when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ENGINERSIN 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 ENGINERSIN 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
1-10793998455345.922907.4716322.66-4505.2-16002.510.650.55-0.046-1101.42
2-27660298395939.84056.0213902.73-7369.26-40449.780.550.36-0.071-2822.47
3-36358798356335.715946.5721107.78-9074.87-70992.250.660.36-0.068-3710.07
4-40194398366236.736801.9125188.28-10432.45-59200.730.650.38-0.075-4101.46
5-43710598376137.766991.0324385.75-11406.11-54216.680.610.37-0.077-4460.25
6-46726398366236.737995.9931142.51-12179.34-54247.070.660.38-0.076-4767.99
7-42872998336533.6710698.2158077.62-12027.23-61084.940.890.45-0.062-4374.79
8-41065298346434.6910942.8154506.58-12229.8-55736.210.890.48-0.058-4190.32
9-51592998316731.6311250.8546787.13-12906.05-59322.290.870.4-0.07-5264.58
10-60752198356335.719881.4334940.66-15132.87-64924.290.650.36-0.08-6199.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.55. This strategy is not profitable and we advice you not to use it.

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
atrnil39.95-34289.761754013522.8632041.4684924.07-9747.77-24987.633.290.97-0.0022-195.94
atrnil25.54-2032111875313428.3420937.2956616.04-9797.67-24987.632.140.85-0.016-1086.69
atrtrail24.12-2701522065714927.6716616.2656616.04-8169.66-24987.632.030.78-0.022-1311.42
atrtrail34.67-4066312065515126.714971.5651542.03-8146.13-24987.631.840.67-0.034-1973.94
atrtrail-14.95-4753632065515126.713721.8866215.08-8146.13-24987.631.680.61-0.04-2307.59
nilnil-11-10793998455345.922907.4716322.66-4505.2-16002.510.650.55-0.046-1101.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 22.86%, which is not acceptable. Avoid this strategy. Average return per trade is -0.098%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ENGINERSIN Performance, Profit Factor:0.974

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191117 Jan 2019 (-3.43%), 25 Jan 2019 (-3.55%), 08 Feb 2019 (-3.33%), 18 Feb 2019 (12.35%), 26 Apr 2019 (-2.71%), 30 Apr 2019 (-2.88%), 07 May 2019 (-2.76%), 13 May 2019 (8.89%), 08 Jul 2019 (-3.77%), 24 Jul 2019 (-3.57%), 30 Jul 2019 (12.84%)
20181402 Feb 2018 (-4.13%), 19 Mar 2018 (-3.81%), 23 Mar 2018 (11.25%), 15 May 2018 (-2.65%), 16 May 2018 (-2.79%), 21 May 2018 (-3.14%), 24 May 2018 (-3.52%), 15 Jun 2018 (-3.57%), 27 Jun 2018 (-3.43%), 28 Jun 2018 (10.88%), 03 Oct 2018 (-5.65%), 05 Oct 2018 (19.73%), 05 Dec 2018 (-3.67%), 10 Dec 2018 (10.93%)
2017310 Aug 2017 (9.99%), 22 Sep 2017 (-2.81%), 28 Sep 2017 (9.06%)
2016418 Jan 2016 (-5.93%), 03 Feb 2016 (-5.6%), 10 Feb 2016 (-5.72%), 11 Feb 2016 (20.77%)
20151230 Jan 2015 (-3.12%), 06 Feb 2015 (-3.52%), 26 Feb 2015 (9.5%), 25 Mar 2015 (-3.06%), 26 Mar 2015 (-3.34%), 28 Apr 2015 (-3.55%), 30 Apr 2015 (10.76%), 12 Aug 2015 (-4.43%), 21 Aug 2015 (-4.14%), 24 Aug 2015 (-5.66%), 25 Aug 2015 (18.75%), 05 Nov 2015 (-3.78%)
2014607 Jan 2014 (-3.28%), 27 Jan 2014 (-3.24%), 30 Jan 2014 (10.87%), 11 Nov 2014 (-5.13%), 16 Dec 2014 (-4.42%), 17 Dec 2014 (14.16%)
20132130 Jan 2013 (-2.17%), 06 Feb 2013 (-2.26%), 08 Feb 2013 (-2.45%), 14 Feb 2013 (-2.8%), 25 Feb 2013 (-3.03%), 28 Feb 2013 (-3.49%), 07 Mar 2013 (-3.53%), 15 Mar 2013 (-3.4%), 18 Mar 2013 (-3.73%), 20 Mar 2013 (-4.27%), 25 Mar 2013 (13.68%), 23 May 2013 (-4.25%), 06 Jun 2013 (-3.85%), 12 Jun 2013 (-3.85%), 24 Jun 2013 (-3.28%), 27 Jun 2013 (-3.37%), 26 Jul 2013 (-3.18%), 05 Aug 2013 (-3.27%), 06 Aug 2013 (11.33%), 21 Nov 2013 (-3.46%), 26 Nov 2013 (11.88%)
20121023 Apr 2012 (-3.26%), 04 May 2012 (-3.54%), 07 May 2012 (-3.91%), 11 May 2012 (-4.09%), 01 Jun 2012 (12.81%), 27 Aug 2012 (-3.55%), 30 Aug 2012 (11.13%), 31 Oct 2012 (-2.91%), 07 Nov 2012 (-2.89%), 13 Dec 2012 (5.43%)
20111913 Jan 2011 (-2.91%), 14 Jan 2011 (-3.17%), 27 Jan 2011 (-3.15%), 28 Jan 2011 (10.38%), 28 Apr 2011 (-2.5%), 05 May 2011 (-2.48%), 19 May 2011 (-2.71%), 23 May 2011 (-2.73%), 25 May 2011 (8.5%), 03 Aug 2011 (-2.94%), 05 Aug 2011 (-2.98%), 18 Aug 2011 (-3.19%), 05 Sep 2011 (-3.07%), 21 Oct 2011 (-2.77%), 25 Oct 2011 (-2.89%), 16 Nov 2011 (-3.15%), 17 Nov 2011 (-3.62%), 23 Nov 2011 (-4.06%), 13 Dec 2011 (12.22%)
2010218 Nov 2010 (-2.79%), 26 Nov 2010 (-2.87%)
2009203 Mar 2009 (-7.33%), 06 Mar 2009 (-7.28%)
20081317 Mar 2008 (-8.79%), 24 Mar 2008 (-9.82%), 23 Jun 2008 (-5.98%), 30 Jun 2008 (-8.22%), 15 Jul 2008 (22.63%), 15 Sep 2008 (-4.75%), 17 Sep 2008 (-5.18%), 18 Sep 2008 (16.15%), 07 Oct 2008 (-7.73%), 08 Oct 2008 (-8.4%), 16 Oct 2008 (-9.65%), 24 Oct 2008 (-10.26%), 27 Oct 2008 (34.93%)
2006422 May 2006 (-8.46%), 05 Jun 2006 (-9.89%), 07 Jun 2006 (-12.49%), 08 Jun 2006 (42.46%)
2004825 Feb 2004 (-4.86%), 18 Mar 2004 (-5.08%), 22 Mar 2004 (15.64%), 12 May 2004 (-4.68%), 13 May 2004 (-5.17%), 14 May 2004 (-7.52%), 17 May 2004 (31.19%), 25 Oct 2004 (10.31%)
2003526 Feb 2003 (-3.39%), 04 Mar 2003 (-3.68%), 05 Mar 2003 (-4.93%), 28 Jul 2003 (15.59%), 16 Sep 2003 (-5.72%)
2002328 Oct 2002 (-4.88%), 11 Nov 2002 (-6.34%), 12 Nov 2002 (21.8%)
20011927 Feb 2001 (-5.93%), 09 Mar 2001 (-6.47%), 13 Mar 2001 (-7.36%), 16 Mar 2001 (-7.02%), 20 Mar 2001 (-7.5%), 30 Mar 2001 (-6.64%), 02 Apr 2001 (-6.86%), 12 Apr 2001 (19.55%), 25 Jun 2001 (-4.76%), 30 Jul 2001 (-4.14%), 04 Sep 2001 (-4.0%), 11 Sep 2001 (-4.07%), 12 Sep 2001 (-4.35%), 13 Sep 2001 (-4.56%), 14 Sep 2001 (-5.27%), 17 Sep 2001 (22.46%), 13 Dec 2001 (-4.17%), 21 Dec 2001 (-4.61%), 27 Dec 2001 (14.41%)
20001924 Jan 2000 (-7.95%), 31 Jan 2000 (-8.91%), 22 Feb 2000 (26.29%), 03 Mar 2000 (-10.09%), 07 Mar 2000 (-11.4%), 09 Mar 2000 (-11.88%), 16 Mar 2000 (-12.24%), 28 Apr 2000 (-7.92%), 02 May 2000 (-8.61%), 16 May 2000 (-7.97%), 22 May 2000 (25.77%), 18 Sep 2000 (-4.78%), 19 Sep 2000 (-5.22%), 20 Sep 2000 (-6.35%), 09 Oct 2000 (-5.57%), 10 Oct 2000 (-6.24%), 11 Oct 2000 (20.71%), 19 Dec 2000 (-3.8%), 26 Dec 2000 (12.85%)



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