Study: Buy GRANULES when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy GRANULES 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 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
1-13744549143528.572990.585778.65-5123.23-15852.210.580.23-0.15-2805
2-14771449183136.736056.6321452.15-8281.73-35960.040.730.42-0.08-3014.58
3-18220949193038.785532.8718700.48-9577.78-39511.650.580.37-0.097-3718.55
4-15473349143528.578216.3616712.65-7707.47-30632.631.070.43-0.089-3157.81
5-13888149202940.827156.7833333.33-9724.72-25083.240.740.51-0.069-2834.31
6-15950749193038.788624.4335313.53-10779.03-39173.550.80.51-0.067-3255.24
7-17271449202940.828082.533663.37-11529.79-33553.720.70.48-0.073-3524.77
8-10312549242548.989296.6574257.43-13049.78-43405.280.710.68-0.034-2104.59
9-11267649232646.9410042.6371287.13-13217.56-36690.650.760.67-0.036-2299.51
10-64393.6649242548.9811275.3970957.1-13400.12-40287.770.840.81-0.019-1314.16
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
atrnil25.2949586.9693306332.2623212.4563570.93-10266.45-27641.912.261.080.0086533.19
atrtrail24.3733174.4197336434.0217727.4663570.93-8622.37-27641.912.061.060.0062342
atrtrail35.27-54311.996286829.1718649.6895356.39-8477.99-27641.912.20.91-0.0094-565.75
atrnil39.57-10778581186322.2231539.3195356.39-10722.11-27641.912.940.84-0.019-1330.68
atrtrail-16.08-10677996286829.1716775.8762511.35-8477.99-27641.911.980.81-0.02-1112.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 32.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0086, 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.
GRANULES Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181801 Feb 2018 (-3.7%), 02 Feb 2018 (-4.1%), 05 Feb 2018 (-4.25%), 06 Feb 2018 (-4.68%), 07 Mar 2018 (-4.36%), 23 Mar 2018 (7.89%), 03 May 2018 (-2.95%), 04 May 2018 (-3.25%), 08 May 2018 (-3.45%), 10 May 2018 (-3.69%), 14 May 2018 (8.11%), 21 May 2018 (-5.54%), 24 May 2018 (-6.22%), 25 May 2018 (-6.51%), 04 Jun 2018 (12.41%), 25 Sep 2018 (-6.78%), 28 Sep 2018 (-7.06%), 11 Oct 2018 (14.37%)
2017708 Aug 2017 (-3.16%), 09 Aug 2017 (-3.96%), 10 Aug 2017 (-5.02%), 25 Sep 2017 (-3.93%), 27 Sep 2017 (8.25%), 10 Nov 2017 (-3.84%), 14 Nov 2017 (8.2%)
2016922 Aug 2016 (-3.08%), 06 Sep 2016 (-3.0%), 07 Sep 2016 (-3.09%), 12 Sep 2016 (-3.62%), 29 Sep 2016 (7.25%), 02 Nov 2016 (-3.05%), 04 Nov 2016 (-3.39%), 09 Nov 2016 (-4.77%), 26 Dec 2016 (8.11%)
2015203 Jun 2015 (-4.08%), 12 Jun 2015 (8.01%)
20131224 Jan 2013 (-5.01%), 25 Jan 2013 (-6.13%), 31 Jan 2013 (-6.12%), 07 Feb 2013 (-6.03%), 11 Feb 2013 (14.2%), 20 Mar 2013 (-5.22%), 21 Mar 2013 (-5.93%), 13 Jun 2013 (-5.22%), 20 Jun 2013 (-5.18%), 24 Jun 2013 (-5.3%), 26 Jun 2013 (11.09%), 05 Aug 2013 (12.29%)
20111728 Jan 2011 (-3.23%), 01 Feb 2011 (-3.42%), 10 Feb 2011 (6.22%), 03 May 2011 (-2.64%), 19 May 2011 (5.29%), 06 Jun 2011 (-2.41%), 20 Jun 2011 (-2.83%), 21 Jun 2011 (8.02%), 29 Jun 2011 (8.05%), 03 Aug 2011 (-4.45%), 05 Aug 2011 (-5.08%), 17 Aug 2011 (-5.37%), 18 Aug 2011 (11.4%), 29 Sep 2011 (8.17%), 21 Nov 2011 (7.87%), 19 Dec 2011 (-3.87%), 21 Dec 2011 (8.85%)
2010427 Jul 2010 (7.96%), 29 Oct 2010 (-4.59%), 26 Nov 2010 (-3.83%), 09 Dec 2010 (-3.67%)
20081621 Jan 2008 (-8.79%), 22 Jan 2008 (20.49%), 10 Mar 2008 (-6.45%), 17 Mar 2008 (16.12%), 24 Mar 2008 (20.91%), 20 May 2008 (-5.09%), 29 May 2008 (-4.3%), 09 Jun 2008 (-5.2%), 23 Jun 2008 (-6.45%), 25 Jun 2008 (-6.67%), 30 Jun 2008 (-7.75%), 01 Jul 2008 (18.24%), 06 Oct 2008 (-8.12%), 08 Oct 2008 (-10.59%), 24 Oct 2008 (-13.82%), 27 Oct 2008 (31.79%)
2007210 Aug 2007 (-5.15%), 30 Oct 2007 (11.18%)
2006606 Jun 2006 (-9.43%), 07 Jun 2006 (-10.14%), 19 Jul 2006 (13.63%), 24 Jul 2006 (13.91%), 30 Oct 2006 (-5.39%), 14 Nov 2006 (9.91%)



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