Study: Buy GSFC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy GSFC when below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy GSFC 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
171348.281065353505297.2117388.54-3951.01-20306.511.341.340.022673.1
2103566106485845.288531.2439053.25-5274.71-20783.911.621.340.02977.04
348080.01106485845.289830.8239718.31-7306.88-34089.741.351.110.0078453.58
4-31220.081065353509775.5161998.13-10364.57-36977.820.940.94-0.0042-294.53
5-43048.34106525449.0611534.2654437.87-11904.26-44444.440.970.93-0.0052-406.12
610394110653535013857.2878244.63-11896.13-49195.41.161.160.011980.58
799016.32106555151.8914702.4892063.49-13914.12-57701.151.061.140.0096934.12
8131026106515548.1117680.9898039.22-14012.8-83831.421.261.170.0111236.09
9227661106515548.1118669.3899253.03-13172.31-82298.851.421.310.022147.74
1083534.82106515548.1117897.8899253.03-15077.4-79770.111.191.10.0072788.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.34. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-15.847429621915713429.8432540.96962965-8297.56-22479.083.921.670.0113889.85
nilnil-1171348.281065353505297.2117388.54-3951.01-20306.511.341.340.022673.1
atrnil26.06-94239.061725511731.9821387.452316.19-10859.37-23589.481.970.93-0.007-547.9
atrnil39.65-1062361583612222.7833396.8278474.28-10725.58-23589.483.110.92-0.0069-672.38
atrtrail35.01-1766271915713429.8416407.8445197.4-8297.56-22479.081.980.84-0.014-924.75
atrtrail24.38-2149941915813330.3715437.8552316.19-8348.79-22479.081.850.81-0.018-1125.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 29.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
GSFC Performance, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019823 Jan 2019 (-2.87%), 25 Jan 2019 (-3.57%), 28 Jan 2019 (-1.0%), 08 Feb 2019 (-4.03%), 18 Feb 2019 (4.5%), 30 Apr 2019 (-3.28%), 07 May 2019 (-0.61%), 13 May 2019 (14.21%)
20181202 Feb 2018 (-5.25%), 05 Feb 2018 (-5.51%), 06 Feb 2018 (8.7%), 23 Mar 2018 (10.89%), 17 May 2018 (-3.84%), 18 May 2018 (-4.16%), 23 May 2018 (4.18%), 05 Jun 2018 (5.63%), 28 Jun 2018 (8.01%), 21 Sep 2018 (-4.19%), 25 Sep 2018 (-5.12%), 08 Oct 2018 (-1.98%)
2016822 Jan 2016 (-3.53%), 03 Feb 2016 (-4.24%), 09 Feb 2016 (-3.96%), 11 Feb 2016 (-4.18%), 12 Feb 2016 (-1.04%), 24 Jun 2016 (7.43%), 29 Jul 2016 (-2.93%), 03 Aug 2016 (11.54%)
20151005 Mar 2015 (-0.03%), 17 Mar 2015 (-2.89%), 20 Mar 2015 (-3.33%), 24 Mar 2015 (10.23%), 24 Apr 2015 (-2.08%), 07 May 2015 (1.37%), 28 May 2015 (-2.43%), 03 Jun 2015 (-0.35%), 24 Aug 2015 (-1.39%), 04 Sep 2015 (-4.47%)
2014616 Jan 2014 (-3.47%), 24 Jan 2014 (-3.41%), 27 Jan 2014 (-1.25%), 31 Jan 2014 (-3.02%), 12 Feb 2014 (3.78%), 26 Feb 2014 (20.9%)
2013716 Jul 2013 (-2.62%), 18 Jul 2013 (-3.58%), 22 Jul 2013 (-2.95%), 21 Aug 2013 (-3.72%), 27 Aug 2013 (1.55%), 12 Dec 2013 (-3.57%), 17 Dec 2013 (3.43%)
2012818 May 2012 (3.06%), 15 Jun 2012 (0.97%), 09 Jul 2012 (-2.8%), 12 Jul 2012 (-2.78%), 13 Jul 2012 (-2.87%), 16 Jul 2012 (-3.07%), 25 Jul 2012 (6.84%), 27 Aug 2012 (481.48%)
2011315 Dec 2011 (-4.71%), 19 Dec 2011 (-5.46%), 29 Dec 2011 (16.66%)
20082113 Mar 2008 (-10.41%), 17 Mar 2008 (-11.24%), 12 May 2008 (-6.12%), 14 May 2008 (1.55%), 04 Jun 2008 (-2.45%), 09 Jun 2008 (12.49%), 24 Jun 2008 (0.77%), 03 Jul 2008 (-1.38%), 16 Jul 2008 (17.05%), 08 Sep 2008 (-4.44%), 10 Sep 2008 (-4.51%), 15 Sep 2008 (-4.73%), 16 Sep 2008 (-4.96%), 26 Sep 2008 (-5.63%), 29 Sep 2008 (-5.04%), 03 Oct 2008 (-7.26%), 06 Oct 2008 (-8.09%), 08 Oct 2008 (-8.85%), 10 Oct 2008 (-4.08%), 23 Oct 2008 (-10.4%), 02 Dec 2008 (6.14%)
2007407 Mar 2007 (-4.69%), 14 Mar 2007 (-6.01%), 08 May 2007 (-4.27%), 11 May 2007 (11.35%)
2006614 Jun 2006 (9.62%), 17 Jul 2006 (-6.29%), 19 Jul 2006 (-5.14%), 24 Jul 2006 (3.17%), 26 Sep 2006 (1.64%), 12 Dec 2006 (14.35%)
2004117 May 2004 (20.88%)
2003404 Mar 2003 (-6.15%), 10 Mar 2003 (-5.84%), 11 Mar 2003 (-6.28%), 27 Mar 2003 (-2.81%)
2002524 Jan 2002 (-2.09%), 29 Aug 2002 (-2.01%), 09 Sep 2002 (1.71%), 19 Sep 2002 (-3.28%), 28 Oct 2002 (1.43%)
20012105 Mar 2001 (-4.44%), 13 Mar 2001 (-1.4%), 19 Mar 2001 (-6.28%), 12 Apr 2001 (-1.22%), 27 Apr 2001 (-0.74%), 14 May 2001 (10.64%), 15 Jun 2001 (-5.06%), 18 Jun 2001 (-5.26%), 21 Jun 2001 (-5.3%), 29 Jun 2001 (-1.94%), 06 Jul 2001 (-4.8%), 09 Jul 2001 (-2.84%), 20 Jul 2001 (-2.82%), 27 Jul 2001 (-6.68%), 30 Jul 2001 (-5.83%), 08 Aug 2001 (2.43%), 06 Sep 2001 (-4.5%), 11 Sep 2001 (-5.82%), 12 Sep 2001 (-6.39%), 17 Sep 2001 (-7.8%), 18 Dec 2001 (-7.96%)
20001831 Jan 2000 (2.52%), 07 Mar 2000 (-9.29%), 13 Mar 2000 (-9.0%), 02 May 2000 (2.26%), 17 May 2000 (9.05%), 26 Jun 2000 (-4.39%), 27 Jun 2000 (-4.38%), 30 Jun 2000 (0.09%), 24 Jul 2000 (-5.33%), 31 Jul 2000 (-5.88%), 04 Aug 2000 (-5.85%), 09 Aug 2000 (-5.82%), 11 Aug 2000 (-3.7%), 29 Aug 2000 (-6.21%), 30 Aug 2000 (-0.56%), 28 Sep 2000 (-3.28%), 06 Oct 2000 (-2.31%), 13 Oct 2000 (2.39%)
19991218 Jan 1999 (-5.71%), 22 Jan 1999 (-6.08%), 02 Feb 1999 (-6.12%), 08 Feb 1999 (-6.29%), 11 Feb 1999 (8.11%), 08 Mar 1999 (-0.39%), 15 Mar 1999 (12.57%), 26 Apr 1999 (17.24%), 03 Aug 1999 (4.96%), 21 Sep 1999 (9.85%), 12 Nov 1999 (-4.32%), 07 Dec 1999 (15.73%)
19981205 Jun 1998 (-6.15%), 08 Jun 1998 (-2.72%), 15 Jun 1998 (-2.2%), 22 Jun 1998 (-0.98%), 18 Aug 1998 (-2.9%), 27 Aug 1998 (-3.3%), 01 Sep 1998 (-3.39%), 07 Sep 1998 (-1.53%), 08 Oct 1998 (-4.45%), 13 Oct 1998 (2.17%), 05 Nov 1998 (2.66%), 18 Dec 1998 (-0.06%)
1997904 Feb 1997 (2.47%), 31 Mar 1997 (0.88%), 15 Sep 1997 (-5.48%), 18 Sep 1997 (-4.77%), 13 Oct 1997 (-3.67%), 21 Oct 1997 (-3.75%), 27 Oct 1997 (-4.01%), 28 Oct 1997 (1.61%), 18 Nov 1997 (5.98%)
19961616 Apr 1996 (26.55%), 28 May 1996 (0.13%), 10 Jun 1996 (-4.04%), 24 Jun 1996 (-3.71%), 25 Jun 1996 (-4.21%), 26 Jun 1996 (0.75%), 10 Jul 1996 (-4.24%), 15 Jul 1996 (-2.16%), 25 Jul 1996 (-2.3%), 06 Aug 1996 (-2.91%), 16 Aug 1996 (-4.09%), 20 Aug 1996 (-4.76%), 21 Aug 1996 (-3.01%), 03 Dec 1996 (-3.15%), 10 Dec 1996 (1.44%), 17 Dec 1996 (57.44%)



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