Study: Buy IDEA when above 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy IDEA 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
1-8608.29221111503376.018134.64-4158.58-9723.640.810.81-0.023-391.29
2-58159.992281436.365219.9911301.94-7137.14-24661.250.730.42-0.092-2643.64
3-32035.6322121054.55528410637.12-9544.37-26693.770.550.66-0.044-1456.17
4-47217.9322101245.455566.8715563.07-8573.89-31165.310.650.54-0.063-2146.27
5-73732.292291340.917360.4514113.1-10767.41-30758.810.680.47-0.083-3351.47
6-85525.122101245.456086.2314736.84-12198.95-30988.890.50.42-0.093-3887.5
7-79621.5221111506659.3316916.38-13897.65-33062.330.480.48-0.081-3619.16
8-95633.9922101245.457229.2315466.41-13993.85-31029.810.520.43-0.097-4347
9-10205922101245.457279.7917399.71-14571.38-28556.320.50.42-0.099-4639.03
10-1150882291340.916867.9317206.38-13607.64-28979.380.50.35-0.12-5231.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.81. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, we advise you not to use this strategy.

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
nilnil-11-8608.29221111503376.018134.64-4158.58-9723.640.810.81-0.023-391.29
atrnil39.61-57888.362852317.8629584.5344534.55-8948.3-15704.813.310.72-0.038-2067.44
atrnil28.03-88363.082962320.6919180.9129689.7-8845.59-15704.812.170.57-0.073-3047
atrtrail34.56-71583.643492526.4710117.9544534.55-6505.81-15048.141.560.56-0.057-2105.4
atrtrail-15.09-84617.193492526.478669.7835901.3-6505.81-15048.141.330.48-0.077-2488.74
atrtrail24.32-93502.73492526.477682.529689.7-6505.81-15048.141.180.43-0.095-2750.08

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDEA Performance, X=1, Profit Factor:0.812

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Jan 2018 (1.28%)
2017220 Mar 2017 (-4.86%), 11 Aug 2017 (0.12%)
2015330 Apr 2015 (1.86%), 22 May 2015 (-0.03%), 28 Jul 2015 (0.56%)
2014402 Jan 2014 (1.18%), 16 Jan 2014 (-3.24%), 08 Oct 2014 (1.42%), 05 Dec 2014 (-3.95%)
2013407 Feb 2013 (1.81%), 20 Mar 2013 (-0.09%), 05 Apr 2013 (3.29%), 05 Nov 2013 (0.94%)
2012116 Apr 2012 (-1.11%)
2011207 Oct 2011 (2.05%), 08 Dec 2011 (-1.48%)
2010208 Oct 2010 (0.0%), 26 Oct 2010 (-3.17%)
2009330 Jun 2009 (4.07%), 14 Sep 2009 (-0.4%), 01 Oct 2009 (-4.54%)



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