Study: Buy GRASIM when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy GRASIM when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-26907.927111640.742921.336700.02-3690.16-14215.940.790.54-0.045-996.59
218766.7827171062.963333.4210030.4-3790.14-12853.470.881.50.03695.07
323006.6227141351.854999.0726869.3-3613.88-16838.051.381.490.025852.1
410825.1527161159.263905.8213594.72-4697.09-11285.350.831.210.015400.93
5-4081.8827141351.855115.5220404.46-5823.01-11725.290.880.95-0.0043-151.18
636603.2827141351.858382.7526747.72-6211.94-18525.961.351.450.0291355.68
753464.042718966.677604.8429544.07-9269.22-24790.620.821.640.0381980.15
852290.8527161159.268282.8815123.55-7294.11-22110.551.141.650.0421936.7
943117.812719870.376964.1316534.95-11150.09-17420.440.621.480.0351596.96
1022228.4527171062.967006.8816191.01-9688.84-24704.370.721.230.017823.28
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
atrnil31285134.832691734.6220848.3433679.89-6029.43-12583.943.461.830.0493274.42
atrnil28.4268919.4526121446.1512998.0422453.26-6218.36-12583.942.091.790.0532650.75
200trail32.728681.2143133030.236953.411901.86-2723.77-3999.112.551.110.0082201.89
200nil22.288185.443162737.215888.427934.58-3186.27-3999.111.851.10.0086190.36
200trail22.37580.1544162836.365563.227934.58-2908.26-3999.111.911.090.0082172.28
200nil33.125854.1640112927.58853.3911901.86-3156.31-3999.112.81.060.0054146.35
atrtrail24.85-714.6833112233.338646.4622453.26-4355.71-12583.941.990.99-0.00061-21.66
atrtrail35.27-9238.3833112233.337871.5716753.61-4355.71-12583.941.810.9-0.0081-279.95
atrtrail-15.7-10997.0833112233.337711.6922898.36-4355.71-12583.941.770.89-0.0095-333.24
200trail-13.51-23282.7543123127.914952.9413117.62-2668.32-3999.111.860.72-0.026-541.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.83. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRASIM Performance, Profit Factor:1.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Feb 2018 (-3.21%)
2016110 Mar 2016 (7.34%)
2015307 Jul 2015 (-2.08%), 10 Jul 2015 (6.19%), 05 Oct 2015 (-2.24%)
2013216 May 2013 (-2.05%), 30 Oct 2013 (-2.9%)
2012115 Jun 2012 (-2.94%)
2011116 Sep 2011 (9.55%)
2010211 Oct 2010 (-2.14%), 01 Nov 2010 (-2.38%)
2009125 Mar 2009 (12.32%)
2007104 May 2007 (-3.72%)
2005104 Aug 2005 (8.38%)
2004206 Aug 2004 (-3.15%), 17 Aug 2004 (-3.03%)
2002206 Feb 2002 (-3.1%), 27 Dec 2002 (9.4%)
2000211 Apr 2000 (-6.29%), 04 Dec 2000 (16.39%)
1999111 May 1999 (16.84%)
1998110 Apr 1998 (-3.49%)
1997107 Jul 1997 (-2.22%)
1996315 Feb 1996 (-3.4%), 08 Apr 1996 (-2.91%), 18 Apr 1996 (7.42%)



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