Study: Buy IDFC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy IDFC 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 IDFC 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
1-61693.265283743.084120.1617678.1-4785.34-17291.570.860.65-0.043-949.13
2-74880.9765293644.626227.2945302.01-7096.45-22408.470.880.71-0.032-1152.01
3-15418265273841.545339.6416730.04-7851.38-256250.680.48-0.075-2372.03
4-14942965283743.086781.2923954.37-9170.42-29554.480.740.56-0.062-2298.91
5-16908965283743.087584.5123825.5-10309.6-325000.740.56-0.063-2601.37
6-19776265293644.627943.3223764.26-11892.17-43443.840.670.54-0.063-3042.49
7-24589165303546.157573.5926180.84-13517.11-57428.570.560.48-0.072-3782.94
8-21703265333250.778551.6437516.87-15601.12-37209.30.550.57-0.061-3338.95
9-2211746526394011586.5934312.95-13395.52-40672.930.860.58-0.058-3402.67
10-2068296526394011816.4434710.09-13180.94-39791.670.90.6-0.054-3181.99
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
atrtrail23.9-58237.05135449132.5914660.8148843.24-7728.71-21719.921.90.92-0.0091-431.39
atrtrail-14.8-104705135449132.5913604.7265495.09-7728.71-21719.921.760.85-0.016-775.59
atrnil38.33-155393113248921.2430220.8773264.86-9895.43-32482.843.050.82-0.021-1375.16
atrtrail34.4-130117135449132.5913027.1852493.23-7728.71-21719.921.690.81-0.022-963.83
atrnil26.08-207215117318626.520643.6648843.24-9850.79-32482.842.10.76-0.033-1771.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 32.59%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDFC Performance, Profit Factor:0.917

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019925 Jan 2019 (-3.51%), 29 Jan 2019 (-2.33%), 04 Feb 2019 (-4.07%), 12 Feb 2019 (-4.47%), 23 Apr 2019 (-0.46%), 26 Apr 2019 (-3.78%), 30 Apr 2019 (-4.11%), 06 May 2019 (-3.17%), 13 May 2019 (9.82%)
20181719 Jan 2018 (-3.35%), 29 Jan 2018 (-1.68%), 02 Feb 2018 (-3.13%), 06 Feb 2018 (-0.44%), 07 Mar 2018 (7.15%), 21 May 2018 (-1.48%), 01 Jun 2018 (-3.67%), 05 Jun 2018 (8.07%), 04 Jul 2018 (-3.48%), 05 Jul 2018 (2.03%), 16 Jul 2018 (1.85%), 19 Sep 2018 (-3.29%), 21 Sep 2018 (-4.51%), 27 Sep 2018 (-4.04%), 05 Oct 2018 (-5.63%), 23 Oct 2018 (4.38%), 10 Dec 2018 (7.97%)
2017815 Feb 2017 (0.32%), 02 Mar 2017 (6.2%), 24 May 2017 (1.34%), 23 Jun 2017 (-2.5%), 27 Jun 2017 (-1.45%), 03 Jul 2017 (5.64%), 10 Aug 2017 (0.19%), 13 Dec 2017 (-2.61%)
2016614 Jan 2016 (-3.66%), 15 Jan 2016 (-4.15%), 12 Feb 2016 (2.44%), 24 Jun 2016 (7.6%), 20 Dec 2016 (-3.36%), 26 Dec 2016 (7.08%)
20151507 May 2015 (0.6%), 02 Jun 2015 (-2.61%), 03 Jun 2015 (-2.11%), 04 Aug 2015 (-2.54%), 12 Aug 2015 (0.75%), 20 Aug 2015 (-1.79%), 24 Aug 2015 (-2.81%), 02 Sep 2015 (-1.63%), 07 Sep 2015 (6.99%), 05 Oct 2015 (-10.86%), 06 Nov 2015 (-6.9%), 13 Nov 2015 (-1.67%), 04 Dec 2015 (-4.09%), 08 Dec 2015 (-4.3%), 09 Dec 2015 (4.35%)
2014410 Jan 2014 (0.71%), 27 Jan 2014 (-1.69%), 30 Jan 2014 (-1.5%), 03 Feb 2014 (6.5%)
20131428 Feb 2013 (-3.88%), 01 Mar 2013 (8.05%), 20 Mar 2013 (-4.32%), 31 May 2013 (-0.94%), 11 Jun 2013 (-0.23%), 20 Jun 2013 (-3.92%), 26 Jun 2013 (-1.18%), 03 Jul 2013 (8.63%), 24 Jul 2013 (-4.76%), 29 Jul 2013 (-3.54%), 01 Aug 2013 (1.56%), 19 Aug 2013 (-3.07%), 26 Aug 2013 (-6.55%), 27 Aug 2013 (17.5%)
2012326 Apr 2012 (-2.98%), 04 May 2012 (-1.39%), 05 Sep 2012 (7.06%)
20112910 Jan 2011 (-3.15%), 13 Jan 2011 (-3.92%), 28 Jan 2011 (-3.72%), 01 Feb 2011 (-3.95%), 04 Feb 2011 (-4.09%), 08 Feb 2011 (-4.34%), 09 Feb 2011 (10.37%), 28 Apr 2011 (-3.29%), 29 Apr 2011 (-3.52%), 02 May 2011 (-3.72%), 03 May 2011 (-2.51%), 11 May 2011 (-3.57%), 16 May 2011 (7.08%), 15 Jun 2011 (-3.41%), 16 Jun 2011 (-3.62%), 20 Jun 2011 (7.91%), 28 Jul 2011 (-4.1%), 29 Jul 2011 (-1.97%), 04 Aug 2011 (-4.28%), 12 Aug 2011 (-4.48%), 16 Aug 2011 (-4.86%), 18 Aug 2011 (0.11%), 26 Aug 2011 (11.17%), 11 Nov 2011 (-4.23%), 16 Nov 2011 (-4.51%), 21 Nov 2011 (-3.73%), 23 Nov 2011 (9.77%), 20 Dec 2011 (-5.28%), 28 Dec 2011 (10.88%)
2010421 May 2010 (-3.99%), 25 May 2010 (8.76%), 08 Dec 2010 (-4.49%), 09 Dec 2010 (2.06%)
2009612 Jan 2009 (-6.83%), 23 Jan 2009 (0.88%), 05 Feb 2009 (4.42%), 26 Feb 2009 (-4.17%), 04 Mar 2009 (-5.9%), 12 Mar 2009 (12.65%)
20081810 Mar 2008 (-1.56%), 17 Mar 2008 (20.09%), 22 May 2008 (-4.97%), 26 May 2008 (-4.75%), 03 Jun 2008 (-5.62%), 05 Jun 2008 (-6.04%), 09 Jun 2008 (14.15%), 27 Jun 2008 (-7.48%), 30 Jun 2008 (-5.13%), 03 Jul 2008 (19.97%), 16 Jul 2008 (21.14%), 15 Sep 2008 (-6.31%), 17 Sep 2008 (-6.88%), 18 Sep 2008 (1.93%), 29 Sep 2008 (-3.85%), 06 Oct 2008 (-8.93%), 08 Oct 2008 (-9.91%), 10 Oct 2008 (24.42%)
2006214 Jul 2006 (-5.44%), 19 Jul 2006 (-5.59%)



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