Study: Buy GRASIM when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy GRASIM when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-4370.1427141351.853501.438248.2-4106.94-12549.020.850.92-0.0068-161.86
221121.827151255.564988.2815399.17-4475.2-21475.261.111.390.023782.29
337712.7927141351.857039.8726869.3-4680.42-14528.481.51.620.0331396.77
452356.5927161159.266423.8623371.4-4584.1-8917.671.42.040.051939.13
551014.8127161159.267312.3128944.38-5998.37-11725.291.221.770.0411889.44
693488.1427161159.2610510.4328906.55-6788.98-18525.961.552.250.0633462.52
775469.4927161159.2610674.4429544.07-8665.59-24790.621.231.790.0482795.17
864245.1227161159.269969.2122247.45-8660.21-22110.551.151.670.0442379.45
972335.452718966.679492.8224555.43-10948.37-17420.440.871.730.0482679.09
1064425.3127151255.5611214.1224668.94-8648.87-23149.221.31.620.0422386.12
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GRASIM Performance, X=6, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Jun 2019 (3.39%)
2016130 Nov 2016 (2.76%)
2015113 Aug 2015 (0.55%)
2014128 Apr 2014 (-1.2%)
2013216 May 2013 (-4.14%), 03 Nov 2013 (-5.48%)
2012209 May 2012 (-6.3%), 15 Jun 2012 (-0.66%)
2011418 May 2011 (-2.11%), 01 Jun 2011 (-2.38%), 21 Oct 2011 (8.8%), 22 Nov 2011 (1.76%)
2010211 May 2010 (-1.76%), 11 Oct 2010 (-3.33%)
2009125 Mar 2009 (3.43%)
2007204 May 2007 (-0.71%), 21 May 2007 (0.12%)
2005215 Apr 2005 (2.22%), 04 Aug 2005 (8.59%)
2004129 Jun 2004 (5.81%)
2001129 Mar 2001 (7.86%)
2000204 Dec 2000 (3.56%), 26 Dec 2000 (14.45%)
1999111 May 1999 (13.37%)
1998110 Apr 1998 (1.92%)
1996215 Feb 1996 (5.49%), 13 Mar 1996 (-9.26%)

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
atrnil39.5241719.08257182822784.0433679.89-6542.73-142253.481.350.0241668.76
atrnil26.6230549.72691734.6215735.6422453.26-6533.59-142252.411.280.0211174.99
200nil32.08-248.3139102925.648696.0111901.86-3007.19-3955.622.891-0.00025-6.37
200trail31.88-2019.23401030258049.1211901.86-2750.35-3955.622.930.98-0.0021-50.48
atrtrail34-4811.023192229.0310936.7632848.27-4692.81-142252.330.95-0.0034-155.19
200trail-12.6-6087.724093122.58603.0823246.31-2694.05-3955.623.190.93-0.0052-152.19
atrtrail23.71-11565.163192229.0310186.322453.26-4692.81-142252.170.89-0.0092-373.07
200trail21.56-10709.941132831.715569.767934.58-2968.46-3955.621.880.87-0.013-261.22
200nil21.56-14292.6941132831.715569.767934.58-3096.41-3955.621.80.84-0.017-348.6
atrtrail-14.16-22396.13192229.038982.8618584.71-4692.81-142251.910.78-0.019-722.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Jun 2019 (-3.35%)
2016130 Nov 2016 (-3.28%)
2015113 Aug 2015 (-2.36%)
2014128 Apr 2014 (7.26%)
2013216 May 2013 (-2.05%), 03 Nov 2013 (-2.72%)
2012209 May 2012 (-3.14%), 15 Jun 2012 (-2.94%)
2011518 May 2011 (-2.86%), 01 Jun 2011 (-2.62%), 21 Oct 2011 (8.8%), 22 Nov 2011 (-3.09%), 24 Nov 2011 (9.75%)
2010211 May 2010 (-2.7%), 11 Oct 2010 (-2.14%)
2009125 Mar 2009 (12.32%)
2007104 May 2007 (-3.72%)
2005215 Apr 2005 (-2.76%), 04 Aug 2005 (8.38%)
2004129 Jun 2004 (-5.17%)
2001129 Mar 2001 (-7.11%)
2000104 Dec 2000 (16.39%)
1999111 May 1999 (16.84%)
1998110 Apr 1998 (-3.49%)
1996115 Feb 1996 (-3.4%)



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