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

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In this study, we evaluate the performance of strategy "Sell GRASIM 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 GRASIM 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
1-12075566254137.881808.555442.18-4048.01-28917.410.450.27-0.074-1829.61
2-54688.866273940.914151.1816190.73-4276.17-23171.770.970.67-0.028-828.62
3-82969.8166293743.944519.4619826.61-5784.7-28911.10.780.61-0.037-1257.12
4-11341866313546.974334.4513560.84-7079.6-27220.840.610.54-0.045-1718.45
5-12495266303645.454910.1817330.9-7562.71-31446.540.650.54-0.045-1893.21
6-13890166283842.426992.7921228.45-8807.86-33962.260.790.58-0.04-2104.56
7-15309466283842.427860.2928017.24-9820.59-41509.430.80.59-0.04-2319.61
8-18492966264039.399221.4925404.09-10617.18-57924.530.870.56-0.042-2801.95
9-19490766283842.428378.528556.03-11302.78-64402.520.740.55-0.043-2953.14
10-17213166323448.488923.8642187.5-13461.6-85534.590.660.62-0.032-2608.04
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
atrnil36.6-10616568135519.1218736.942223.35-6359-19479.752.950.7-0.03-1561.25
atrtrail-15.04-10095081225927.169180.2658757.81-5134.16-19479.751.790.67-0.027-1246.29
atrtrail23.91-11057281225927.168742.8918704.36-5134.16-19479.751.70.63-0.039-1365.08
atrnil24.68-1250787218542512059.2628148.9-6336.01-19479.751.90.63-0.041-1737.19
atrtrail34.63-11343481225927.168612.820702.9-5134.16-19479.751.680.63-0.039-1400.42
200trail32.17-99376.151001882187175.1310839.69-2786.93-3992.912.570.57-0.05-993.76
200nil32.28-10523698168216.338511.8410839.69-2944.22-3992.912.890.56-0.051-1073.84
200trail21.89-1182061001981195691.087291.81-2794.28-3992.912.040.48-0.071-1182.06
200trail-12.83-12505598158315.316882.9716643.06-2750.59-3992.912.50.45-0.064-1276.07
200nil21.98-12881997187918.565767.157291.81-2944.65-3992.911.960.45-0.078-1328.03

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRASIM Performance, Profit Factor:0.696

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019316 Apr 2019 (-2.2%), 07 May 2019 (-2.87%), 21 May 2019 (-3.29%)
2018301 Jan 2018 (-2.39%), 30 Jan 2018 (-2.87%), 28 Feb 2018 (9.65%)
2017104 Dec 2017 (-2.76%)
2016208 Jan 2016 (-1.99%), 15 Mar 2016 (-2.37%)
2015514 May 2015 (-2.58%), 06 Jul 2015 (-2.15%), 19 Oct 2015 (-1.86%), 10 Nov 2015 (-1.69%), 17 Nov 2015 (-1.9%)
2014205 Mar 2014 (-2.29%), 30 Apr 2014 (-2.63%)
2013728 Feb 2013 (-2.19%), 13 Mar 2013 (6.33%), 08 May 2013 (-2.24%), 21 May 2013 (6.48%), 29 Oct 2013 (8.77%), 06 Dec 2013 (-2.38%), 10 Dec 2013 (7.65%)
2012119 Jun 2012 (-3.01%)
2011431 May 2011 (7.99%), 15 Sep 2011 (-3.23%), 28 Sep 2011 (-3.22%), 21 Nov 2011 (-3.21%)
2010504 May 2010 (-2.5%), 12 May 2010 (8.03%), 06 Oct 2010 (6.55%), 12 Nov 2010 (-2.75%), 16 Dec 2010 (-2.82%)
2009130 Mar 2009 (-4.17%)
2007425 Apr 2007 (-3.65%), 30 Apr 2007 (-3.83%), 14 May 2007 (-3.4%), 28 May 2007 (-2.91%)
2006114 Jun 2006 (-9.74%)
2005418 Apr 2005 (-3.59%), 03 Aug 2005 (-2.82%), 13 Oct 2005 (10.35%), 07 Nov 2005 (-4.18%)
2004303 Aug 2004 (-3.35%), 18 Aug 2004 (-2.95%), 29 Oct 2004 (-2.72%)
2003113 Jan 2003 (-3.44%)
2002522 Jan 2002 (-3.24%), 19 Mar 2002 (-3.4%), 17 Oct 2002 (-2.34%), 01 Nov 2002 (-2.9%), 20 Nov 2002 (7.82%)
2001128 Mar 2001 (-7.4%)
2000203 Mar 2000 (21.11%), 07 Dec 2000 (-5.77%)
1999128 May 1999 (-7.28%)
1998307 Apr 1998 (-3.02%), 15 Apr 1998 (-3.91%), 27 May 1998 (14.03%)
1997404 Jul 1997 (-2.21%), 08 Jul 1997 (-2.26%), 06 Aug 1997 (7.04%), 24 Dec 1997 (-2.29%)
1996413 Feb 1996 (-3.46%), 16 Feb 1996 (-3.32%), 12 Mar 1996 (-3.21%), 08 May 1996 (-2.6%)
1995118 Dec 1995 (-2.11%)



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