Study: Sell GRASIM when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell GRASIM when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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
1-50425.592381534.782159.285442.18-4513.32-28917.410.480.26-0.066-2192.42
2-35009.012391439.134287.8610817.94-5257.13-23171.770.820.52-0.045-1522.13
3-32999.2123111247.835197.6619826.61-7514.46-28911.10.690.63-0.032-1434.75
4-26870.3723121152.175209.713560.84-8126.07-27220.840.640.7-0.026-1168.28
5-36941.7623101343.486051.4917330.9-7496.67-24584.530.810.62-0.034-1606.16
6-70587.92381534.787278.5418850.29-8587.75-33578.250.850.45-0.054-3069.04
7-1074042381534.786078.7918297.79-10402.26-36290.250.580.31-0.081-4669.72
8-1161082371630.438363.3919264.68-10915.71-39252.010.770.34-0.076-5048.15
9-84551.972391439.136347.512740.2-10119.96-35232.440.630.4-0.062-3676.17
10-78086.9923121152.175767.4821182.21-13390.61-32576.020.430.47-0.056-3395.09
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
atrtrail-15.41-6977.462772025.9313551.4758757.81-5091.89-19479.752.660.93-0.004-258.42
atrtrail34.44-42666.972772025.938452.9720702.9-5091.89-19479.751.660.58-0.042-1580.26
atrtrail23.96-51327.392772025.937215.7713801.93-5091.89-19479.751.420.5-0.058-1901.01
atrnil37.24-73067.722131814.2916475.120702.9-6805.17-19479.752.420.4-0.079-3479.42
200trail32.34-51937.923553014.296687.329139.08-2845.82-3992.912.350.39-0.083-1483.94
200trail-13.06-51612.753443011.768155.7614788.24-2807.86-3992.912.90.39-0.073-1518.02
200trail22.17-51172.523562917.145335.096092.72-2868.38-3992.911.860.38-0.094-1462.07
atrnil25.57-73915.392141719.0510842.1213801.93-6899.05-19479.751.570.37-0.091-3519.78
200nil32.53-59490.023443011.768236.799139.08-3081.24-3992.912.670.36-0.096-1749.71
200nil22.45-59596.013352815.155537.746092.72-3117.31-3992.911.780.32-0.12-1805.94

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 25.93%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRASIM Performance, Profit Factor:0.931

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018130 Jan 2018 (-2.55%)
2017304 Dec 2017 (0.73%), 08 Dec 2017 (-1.24%), 14 Dec 2017 (-0.83%)
2016108 Jan 2016 (-1.99%)
2015114 May 2015 (-2.58%)
2014130 Apr 2014 (-2.32%)
2013228 Feb 2013 (-1.26%), 13 Mar 2013 (7.11%)
2011221 Nov 2011 (-2.75%), 25 Nov 2011 (-3.37%)
2010404 May 2010 (-1.44%), 12 May 2010 (29.38%), 30 Nov 2010 (-3.0%), 16 Dec 2010 (-2.82%)
2006114 Jun 2006 (-9.74%)
2005218 Apr 2005 (-3.59%), 13 Oct 2005 (6.07%)
2004129 Oct 2004 (-2.72%)
2002619 Mar 2002 (-1.67%), 03 Apr 2002 (-1.44%), 16 Apr 2002 (-0.73%), 30 Apr 2002 (-2.0%), 17 Oct 2002 (0.16%), 01 Nov 2002 (-2.9%)
2001128 Mar 2001 (2.68%)
1996108 May 1996 (1.3%)



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