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

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In this study, we evaluate the performance of strategy "Buy GRASIM when above 200 SMA and near 50 SMA and above 50 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
1-23918.7269343549.283479.6613196.94-4063.63-16608.930.860.83-0.014-346.65
2-42606.0269333647.833984.1517422.74-4835.64-22137.550.820.76-0.02-617.48
3-26214.8969323746.385721.0422344.81-5656.44-37407.051.010.87-0.0093-379.93
4-16603.4469343549.285882.2326538.48-6188.55-23772.570.950.92-0.006-240.63
524899.4669333647.838031.925433.44-6670.93-25657.011.21.10.0076360.86
625352.0169353450.727801.4122687.59-7285.22-24935.121.071.10.0077367.42
717757.6769333647.838543.6222832.2-7338.39-25333.031.161.070.0051257.36
8-2120.6569303943.489828.8938290.73-7615.06-28865.041.290.99-0.00053-30.73
9-21744.6769323746.389592.949961.27-8884.25-30288.51.080.93-0.005-315.14
10-48904.569323746.389427.448257.16-9475.17-36196.940.990.86-0.011-708.76
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
50nil33.1825553.9290236725.569543.4511749.25-2894.71-3950.833.31.130.01283.93
atrnil26.4629816.8171244733.813510.0328609.4-6264.34-15300.082.161.10.0086419.96
50trail32.5816704.0696296730.216639.1111694.89-2624.33-3950.832.531.10.0074174
50nil22.384532.695316432.636156.977832.83-2911.46-3950.832.111.020.002247.71
50trail22.222914.698326632.655572.77796.59-2657.76-3950.832.11.020.001529.74
atrnil39.46-1684.9965164924.6219648.3142914.11-6450.16-15300.083.050.99-0.00044-25.92
50trail-13.44-5184.5695266927.376691.6719189.85-2596.64-3950.832.580.97-0.0021-54.57
atrtrail-15.42-13698.7484295534.528223.8157838.45-4585.26-11149.91.790.95-0.0035-163.08
atrtrail34.63-23224.9484295534.527895.3231113.99-4585.26-11149.91.720.91-0.0072-276.49
atrtrail24.02-36320.9784295534.527443.7320742.66-4585.26-11149.91.620.86-0.013-432.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 25.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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.
GRASIM Performance, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Jun 2019 (-1.31%), 07 Jun 2019 (4.24%), 24 Jun 2019 (5.57%)
2018101 Mar 2018 (-1.53%)
2017522 May 2017 (-1.41%), 08 Jun 2017 (-1.29%), 20 Jun 2017 (5.69%), 04 Oct 2017 (-1.54%), 22 Nov 2017 (-1.25%)
2016230 Aug 2016 (-1.07%), 27 Oct 2016 (-1.42%)
2015802 Jan 2015 (-1.75%), 09 Mar 2015 (-1.35%), 12 Mar 2015 (-1.67%), 07 Apr 2015 (-1.32%), 22 May 2015 (-1.13%), 29 May 2015 (-1.49%), 21 Aug 2015 (-1.7%), 15 Dec 2015 (-1.4%)
2014609 May 2014 (3.17%), 23 Jul 2014 (-1.38%), 26 Aug 2014 (4.53%), 08 Oct 2014 (-1.14%), 31 Oct 2014 (-1.49%), 23 Dec 2014 (-1.14%)
2012502 Jan 2012 (-1.42%), 06 Jan 2012 (-1.14%), 07 Mar 2012 (4.94%), 20 Mar 2012 (-1.32%), 29 Nov 2012 (-1.05%)
2011510 Jan 2011 (-1.18%), 11 Mar 2011 (5.87%), 19 Apr 2011 (5.02%), 14 Dec 2011 (-1.48%), 22 Dec 2011 (5.49%)
2010608 Feb 2010 (3.79%), 16 Apr 2010 (-1.68%), 19 Apr 2010 (-1.51%), 09 Dec 2010 (-1.92%), 21 Dec 2010 (-1.46%), 28 Dec 2010 (5.0%)
2009221 Aug 2009 (5.6%), 16 Sep 2009 (4.66%)
2007631 Jan 2007 (-1.74%), 17 Aug 2007 (-1.26%), 09 Nov 2007 (-1.61%), 12 Nov 2007 (5.85%), 06 Dec 2007 (-1.32%), 13 Dec 2007 (-1.85%)
2006717 May 2006 (-1.64%), 06 Jul 2006 (-1.32%), 10 Jul 2006 (-1.48%), 24 Jul 2006 (5.39%), 11 Dec 2006 (-1.83%), 19 Dec 2006 (-1.57%), 22 Dec 2006 (5.16%)
2005425 Feb 2005 (4.55%), 16 Mar 2005 (-1.88%), 07 Oct 2005 (-1.92%), 16 Nov 2005 (-1.38%)
2004324 Feb 2004 (-1.21%), 18 Oct 2004 (-1.68%), 03 Nov 2004 (-1.51%)
2003410 Mar 2003 (-1.14%), 12 Mar 2003 (-1.81%), 07 Apr 2003 (-1.98%), 11 Apr 2003 (4.53%)
20021212 Mar 2002 (-1.32%), 28 May 2002 (-1.64%), 04 Jun 2002 (4.2%), 27 Jun 2002 (5.46%), 22 Jul 2002 (-1.13%), 24 Jul 2002 (-1.34%), 05 Sep 2002 (-1.24%), 12 Sep 2002 (-1.33%), 28 Oct 2002 (-1.21%), 04 Nov 2002 (-1.48%), 07 Nov 2002 (-1.1%), 12 Nov 2002 (-1.97%)
2001422 Feb 2001 (-1.89%), 21 Jun 2001 (-1.74%), 11 Jul 2001 (3.38%), 13 Jul 2001 (-1.54%)
2000114 Jan 2000 (3.97%)
1999529 Sep 1999 (3.7%), 26 Oct 1999 (-1.08%), 27 Oct 1999 (-1.12%), 30 Nov 1999 (-1.11%), 17 Dec 1999 (-1.44%)
1996103 May 1996 (-1.23%)



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