Study: Buy GRANULES when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy GRANULES when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 GRANULES 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
133992.571810855.566768.5623241.27-4211.63-7635.691.612.010.0651888.48
219977.291899507687.6319423.69-5467.93-13414.631.411.410.0371109.85
3260251810855.567932.0319743.86-6661.91-17759.151.191.490.0441445.83
416689.841811761.116734.5119743.86-8198.54-21493.90.821.290.027927.21
542415.81812666.678837.1338100.32-10604.96-25457.320.831.670.052356.43
645740.118995014313.8932977.59-9231.66-28887.21.551.550.0472541.12
736680.141810855.5612440.5827214.51-10965.71-27210.371.131.420.0392037.79
826868.591810855.5611692.2627214.51-11256.75-25533.541.041.30.0291492.7
99366.171712570.5910115.2923265.74-22403.46-47176.680.451.080.0087550.95
10-12077.391711664.7110840.5224943.48-21887.18-59289.620.50.91-0.0099-710.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.01. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GRANULES Performance, X=1, Profit Factor:2.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018303 Jan 2018 (0.15%), 17 Aug 2018 (0.18%), 05 Nov 2018 (-0.48%)
2017220 Feb 2017 (4.63%), 20 Sep 2017 (-2.1%)
2016312 Apr 2016 (0.59%), 03 May 2016 (-2.17%), 17 May 2016 (0.5%)
2013219 Jul 2013 (3.02%), 02 Sep 2013 (-1.62%)
2011211 Apr 2011 (0.74%), 18 Jul 2011 (-1.71%)
2010207 Sep 2010 (11.62%), 28 Dec 2010 (-1.58%)
2009122 Apr 2009 (3.35%)
2008108 Jan 2008 (-3.37%)
2007119 Dec 2007 (-3.82%)
2006121 Aug 2006 (9.07%)

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
atrnil38.06134671178947.0626213.0239931.04-8337.06-12210.423.142.790.127921.8
200nil32.0455187.9823101343.489403.2111760.42-2988.01-3925.673.152.420.112399.48
atrnil24.71008232010105018127.4226620.69-8045.15-13689.752.252.250.15041.14
200trail31.6545025.5426101638.468768.8911760.42-2666.46-3925.673.292.060.0831731.75
nilnil-1133992.571810855.566768.5623241.27-4211.63-7635.691.612.010.0651888.48
atrtrail23.966639.142191242.8615831.3426620.69-6320.24-13689.752.51.880.0713173.29
200trail-12.8127925.0126101638.467058.8312369.26-2666.46-3925.672.651.650.0541074.04
200nil21.9123843.9623101343.486268.87840.28-2988.01-3925.672.11.610.0611036.69
atrtrail34.5245601.242191242.8613493.831146.62-6320.24-13689.752.141.60.0492171.49
200trail21.4124070.0827111640.746197.717840.28-2756.54-3925.672.251.550.055891.48
atrtrail-15.4-4620.0720812408931.5116411.08-6339.35-13689.751.410.94-0.0075-231

In the table above, row 1 shows the best exit criterion. Profit factor is 2.79. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 3.96%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRANULES Performance, Profit Factor:2.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018203 Jan 2018 (8.89%), 17 Aug 2018 (-4.26%)
2017220 Feb 2017 (11.63%), 20 Sep 2017 (-3.38%)
2016112 Apr 2016 (9.82%)
2013219 Jul 2013 (-5.1%), 02 Sep 2013 (15.57%)
2011311 Apr 2011 (-3.06%), 27 Apr 2011 (-2.81%), 18 Jul 2011 (-3.99%)
2010207 Sep 2010 (7.55%), 28 Dec 2010 (-3.95%)
2009222 Apr 2009 (14.77%), 04 May 2009 (16.66%)
2007219 Dec 2007 (-4.87%), 28 Dec 2007 (-6.11%)
2006121 Aug 2006 (19.97%)



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