Study: Sell GMRINFRA when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell GMRINFRA when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GMRINFRA 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. buy 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
129048.3533171651.525188.2917276.89-3697.04-9671.851.41.490.042880.25
216111.2833141942.428530.0721910.76-5437.35-19411.761.571.160.015488.22
340054.8733171651.529495.9631159.63-7586.03-22352.941.251.330.031213.78
472889.9333161748.4810931.5532837.53-6000.87-13529.411.821.710.0532208.79
591269.9133161748.4812686.0837616.39-6571.02-21997.051.931.820.062765.75
675773.2333171651.5212007.3343575.42-8021.96-21997.051.51.590.0482296.16
781124.5233171651.5211959.1850279.33-7636.34-29709.791.571.660.0482458.32
862064.3833161748.4813649.9645437.62-9196.18-30929.661.481.40.0341880.74
975704.2733171651.5214659.9352141.53-10844.66-36182.981.351.440.0372294.07
1039048.0933161748.4817948.652886.41-14595.85-42557.81.231.160.0161183.28
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
atrnil3747300.7736102627.7829736.2644959.35-9617.76-20620.573.091.190.021313.91
atrtrail24.1431619.5143142932.5617349.3829972.9-7285.23-16740.212.381.150.016735.34
atrnil2527879.0839142535.919290.2329972.9-9687.37-20620.571.991.120.014714.85
200trail-12.3515904.9262115117.7414559.6452543.76-2828.45-39085.151.110.008256.53
atrtrail-15.6520920.9243142932.5616585.1950549.37-7285.23-16740.212.281.10.0097486.53
atrtrail34.7410620.5843142932.5615849.4532838.73-7285.23-16740.212.181.050.0055246.99
200trail31.57-41153.4863125119.058597.7711723.45-2829.93-39083.040.71-0.04-653.23
200nil31.61-47497.6362125019.358597.7711723.45-3013.42-3944.442.850.68-0.045-766.09
200trail21.44-49271.0463154823.815900.97815.63-2870.51-39082.060.64-0.057-782.08
200nil21.48-52291.7662154724.195900.97815.63-2995.86-3944.441.970.63-0.06-843.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 27.78%, 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 0.02, 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.
GMRINFRA Performance, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Mar 2019 (-3.73%), 26 Apr 2019 (12.13%), 19 Sep 2019 (-3.98%)
2018317 May 2018 (13.57%), 17 Jul 2018 (-4.23%), 10 Sep 2018 (14.2%)
2017706 Jan 2017 (-3.23%), 23 Jan 2017 (-2.86%), 27 Sep 2017 (-4.62%), 12 Oct 2017 (-4.14%), 22 Nov 2017 (-4.5%), 07 Dec 2017 (-4.99%), 12 Dec 2017 (-4.73%)
2016413 Jan 2016 (16.17%), 16 Jun 2016 (-3.94%), 16 Aug 2016 (-4.36%), 06 Oct 2016 (-4.47%)
2014405 Feb 2014 (-5.17%), 13 Aug 2014 (-5.88%), 22 Aug 2014 (-5.54%), 09 Sep 2014 (15.18%)
2013419 Mar 2013 (-3.86%), 26 Mar 2013 (-5.27%), 30 May 2013 (-5.42%), 10 Jun 2013 (14.35%)
2012624 Jan 2012 (-5.38%), 28 Feb 2012 (-7.67%), 03 May 2012 (16.42%), 03 Jul 2012 (-4.71%), 11 Jul 2012 (14.83%), 24 Sep 2012 (-5.31%)
2010212 Jan 2010 (9.36%), 16 Aug 2010 (-2.65%)
2008207 Feb 2008 (-10.31%), 29 Feb 2008 (22.48%)
2007108 Jun 2007 (-4.08%)



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