Study: Buy ENGINERSIN when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ENGINERSIN when 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 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
1-49228.9829121741.383932.629961.77-5671.79-15868.780.690.49-0.06-1697.55
2-72084.2629131644.836746.0313393.04-9986.42-39418.590.680.55-0.05-2485.66
3-72324.4629131644.837215.4616731.12-10382.84-35418.060.690.56-0.046-2493.95
4-88873.3929121741.388699.218237.33-11368.46-38365.120.770.54-0.055-3064.6
5-81335.7429121741.389696.8318969.26-11629.28-38391.790.830.59-0.047-2804.68
6-69560.6129121741.389055.5721834.79-10483.97-33231.10.860.61-0.042-2398.64
7-76559.7829101934.4812627.0821004.57-10675.29-31977.61.180.62-0.046-2639.99
8-54589.2229131644.8310534.0318660.7-11970.72-33284.440.880.71-0.032-1882.39
9-38269.6529131644.8312246.6730897.62-12342.28-41075.910.990.81-0.019-1319.64
10-85030.4729161355.179329.4522013.08-18023.21-43173.010.520.64-0.038-2932.09
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
atrnil26.5862258.84016244017999.7434938.77-9405.71-16226.471.911.280.0241556.47
atrtrail34.8134689.1447163134.0415896.9229770.12-7085.86-16226.472.241.160.013738.07
atrnil313.6910775.3439122730.7723454.3730393.55-10025.08-17469.382.341.040.0039276.29
atrtrail24.06-9389.8347163134.0413141.9929934.93-7085.86-16226.471.850.96-0.004-199.78
atrtrail-15.4-70432.947153231.9110197.4525937.28-6981.08-16226.471.460.68-0.036-1498.57

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%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
ENGINERSIN Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018216 Jan 2018 (-3.05%), 18 Jan 2018 (-3.86%)
2017520 Jan 2017 (6.4%), 07 Mar 2017 (5.58%), 22 May 2017 (-3.09%), 24 May 2017 (7.37%), 09 Aug 2017 (-2.62%)
2016229 Sep 2016 (7.76%), 04 Nov 2016 (7.85%)
2015111 Aug 2015 (-3.92%)
2014204 Aug 2014 (-4.34%), 13 Aug 2014 (10.13%)
2013120 Nov 2013 (-3.46%)
2010618 Feb 2010 (-3.49%), 24 Feb 2010 (-3.33%), 25 Feb 2010 (7.26%), 20 May 2010 (-7.13%), 21 May 2010 (-8.11%), 25 May 2010 (17.47%)
2009119 Aug 2009 (8.91%)
2008322 Jan 2008 (-7.1%), 08 Feb 2008 (-7.04%), 12 Feb 2008 (14.97%)
2006320 Feb 2006 (8.19%), 18 May 2006 (-4.94%), 19 May 2006 (-5.89%)
2005706 Jan 2005 (6.53%), 12 Jan 2005 (8.18%), 17 Mar 2005 (-2.94%), 23 Mar 2005 (-3.07%), 28 Mar 2005 (7.11%), 24 Jun 2005 (-4.51%), 28 Jun 2005 (9.92%)
2004203 Feb 2004 (-5.95%), 20 Feb 2004 (-4.36%)
2003121 Jul 2003 (-5.32%)
2002417 Jul 2002 (-4.31%), 29 Jul 2002 (-4.69%), 31 Jul 2002 (10.37%), 16 Sep 2002 (-6.35%)



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