Study: Buy INDIACEM when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy INDIACEM when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy INDIACEM 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
1-17517401624405130.6713763.21-4150.32-14277.561.240.82-0.016-437.93
2-27251.12401426358358.0620789.8-5548.61-156251.510.81-0.017-681.28
3-14282.15401822458597.0926334.52-7683.17-18077.471.120.92-0.0074-357.05
415186.7740192147.510653.532812.02-8915.7-25089.181.191.080.0062379.67
529748.5840211952.510044.5532692.76-9536.16-25058.551.051.160.012743.71
682547.44022185512222.5646979.45-10352.72-25940.591.181.440.0282063.68
733239.7940192147.515745.9848390.06-12663.52-43762.381.241.120.0095830.99
824562.6340192147.516432.9551272.62-13698.26-47326.731.21.090.0067614.07
924137.924020205017222.7959920.27-16015.89-52145.211.081.080.0057603.45
10-1868.1439192048.7216950.665501.38-16196.48-62109.71.050.99-0.00043-47.9
Although, strategy looks good but profit factor on day 2 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
50nil21.49-6852.955173830.916131.757841.99-2923.49-3978.962.10.94-0.0061-124.6
50trail21.49-14172.4555163929.096048.597841.99-2844.87-3849.012.130.87-0.013-257.68
50trail31.81-19065.1854114320.378853.211143.26-2708.15-3849.013.270.84-0.015-353.06
50nil31.83-30038.354114320.378853.211143.26-2963.34-3978.962.990.76-0.024-556.26
50trail-12.38-28633.145394416.9810006.9626893.33-2697.63-3849.013.710.76-0.019-540.25
atrtrail-14.41-76065.5846133328.2611802.4748559.03-6954.47-15143.651.70.67-0.03-1653.6
atrnil25.17-97194.5440112927.517627.0222717.04-10037.65-17013.261.760.67-0.039-2429.86
atrtrail34.13-81259.0546133328.2611402.9733468.69-6954.47-15143.651.640.65-0.034-1766.5
atrtrail23.72-87939.6446133328.2610889.0822717.04-6954.47-15143.651.570.62-0.041-1911.73
atrnil36.97-1372983763116.2228411.7833468.69-9928.02-17013.262.860.55-0.053-3710.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 30.91%, which is not acceptable. Avoid this strategy. Average return per trade is -0.062%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:0.938

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 May 2019 (-1.8%)
2017628 Mar 2017 (2.96%), 13 Apr 2017 (-1.62%), 24 May 2017 (-1.63%), 19 Jul 2017 (-1.99%), 21 Jul 2017 (3.92%), 23 Oct 2017 (2.44%)
2016515 Jan 2016 (-1.59%), 22 Jan 2016 (2.89%), 27 Jan 2016 (-1.66%), 19 May 2016 (-1.33%), 03 Nov 2016 (-1.05%)
2014320 Mar 2014 (3.73%), 21 Jul 2014 (-1.47%), 26 Sep 2014 (-1.92%)
2013507 Jan 2013 (-1.39%), 09 Jan 2013 (-1.04%), 30 Jan 2013 (-1.07%), 06 Feb 2013 (-1.03%), 08 Mar 2013 (-1.2%)
2012208 Nov 2012 (-1.22%), 31 Dec 2012 (3.19%)
2010115 Nov 2010 (-1.36%)
2009522 Jun 2009 (-1.91%), 29 Jun 2009 (-1.29%), 08 Jul 2009 (3.08%), 29 Sep 2009 (-1.37%), 01 Oct 2009 (-1.84%)
2007410 Jan 2007 (2.82%), 22 Aug 2007 (3.42%), 15 Nov 2007 (-1.26%), 23 Nov 2007 (2.94%)
2006331 Oct 2006 (3.71%), 17 Nov 2006 (-1.23%), 18 Dec 2006 (-1.92%)
2005819 Apr 2005 (2.36%), 02 May 2005 (3.11%), 24 Jun 2005 (-1.26%), 01 Jul 2005 (2.85%), 10 Oct 2005 (-1.58%), 24 Nov 2005 (3.02%), 05 Dec 2005 (-1.35%), 20 Dec 2005 (-1.3%)
2004323 Jan 2004 (3.2%), 29 Jan 2004 (-1.92%), 25 Nov 2004 (-1.07%)
2003216 Sep 2003 (-1.59%), 13 Oct 2003 (-1.44%)
2002410 Jan 2002 (-1.81%), 11 Jan 2002 (2.48%), 14 Jan 2002 (-1.3%), 21 Jan 2002 (-1.44%)
2001123 Feb 2001 (-1.18%)
1999221 Sep 1999 (-1.58%), 29 Nov 1999 (-1.53%)



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