Study: Buy INDIACEM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy INDIACEM 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 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
196788.85133726154.145625.1828000-5052.85-24678.111.111.310.019727.74
2181194133617245.869975.3244293.02-5934.73-45064.381.681.420.0251362.36
3189522133686551.1310574.8760753.34-8147.22-28256.261.31.360.0221424.97
4206900133607345.1114841.4660518.23-9364.21-41917.691.581.30.0191555.64
5192658133597444.3616863.8163416.78-10841.99-39907.51.561.240.0161448.55
6191879133646948.1216853.5763768.12-12851.45-38862.561.311.220.0151442.7
7112691133627146.6217744.0472902.94-13907.6-45181.671.281.110.0084847.3
8244541133656848.8718392.9782389.11-13985.32-52764.611.321.260.0171838.65
9257628133696451.8818629.3785551.16-16059.36-44881.431.161.250.0171937.05
10144643133656848.8719440.8284437.6-16456.04-53627.491.181.130.00951087.54
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
atrnil25.793163642367915733.4724814.1362515.28-10471.04-22688.432.371.190.0151340.52
atrtrail24.192744622649117334.4718745.0462515.28-8273.62-22688.432.271.190.0141039.63
atrtrail-15.451437572649017434.0917533.1268201.09-8242.67-22688.432.131.10.0072544.53
atrtrail35.011050582649017434.0917103.1372541.79-8242.67-22688.432.071.070.0055397.95
atrnil39.991086302085015824.0436390.4193772.93-10828.42-26174.693.361.060.005522.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 33.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
INDIACEM Performance, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Jan 2019 (-3.9%), 21 Jan 2019 (-3.61%), 25 Jan 2019 (-3.6%), 11 Feb 2019 (9.63%), 09 May 2019 (-4.64%), 13 May 2019 (10.24%)
20181925 Jan 2018 (-4.58%), 01 Feb 2018 (-4.71%), 02 Feb 2018 (-5.39%), 06 Feb 2018 (-5.68%), 22 Mar 2018 (8.58%), 03 May 2018 (-3.89%), 18 May 2018 (-3.99%), 24 May 2018 (8.3%), 04 Jun 2018 (-4.98%), 05 Jun 2018 (-5.22%), 21 Jun 2018 (-4.35%), 28 Jun 2018 (9.59%), 16 Jul 2018 (10.04%), 21 Sep 2018 (-5.39%), 28 Sep 2018 (-6.23%), 05 Oct 2018 (-6.6%), 08 Oct 2018 (-6.91%), 23 Oct 2018 (13.42%), 07 Dec 2018 (9.53%)
2017425 Sep 2017 (8.32%), 07 Nov 2017 (-3.73%), 10 Nov 2017 (-3.92%), 13 Nov 2017 (8.48%)
2016418 Jan 2016 (15.19%), 10 Feb 2016 (-6.67%), 11 Feb 2016 (-7.51%), 21 Nov 2016 (16.0%)
2015820 Mar 2015 (-5.2%), 26 Mar 2015 (-4.99%), 27 Mar 2015 (10.97%), 03 Jun 2015 (-4.87%), 08 Jun 2015 (10.24%), 27 Jul 2015 (8.54%), 13 Aug 2015 (-4.51%), 24 Aug 2015 (13.11%)
2014817 Jan 2014 (-3.88%), 24 Jan 2014 (-3.67%), 27 Jan 2014 (-3.84%), 29 Jan 2014 (8.69%), 08 Dec 2014 (-5.11%), 09 Dec 2014 (-5.7%), 12 Dec 2014 (-6.13%), 16 Dec 2014 (13.73%)
20131511 Feb 2013 (-3.05%), 14 Feb 2013 (-3.5%), 22 May 2013 (-4.83%), 23 May 2013 (-5.24%), 24 May 2013 (-5.61%), 31 May 2013 (-5.43%), 11 Jun 2013 (-5.47%), 24 Jun 2013 (-5.05%), 26 Jun 2013 (11.63%), 25 Jul 2013 (-5.4%), 30 Jul 2013 (-6.36%), 02 Aug 2013 (15.65%), 18 Oct 2013 (-4.32%), 23 Oct 2013 (8.44%), 17 Dec 2013 (9.46%)
2012611 May 2012 (-5.9%), 22 May 2012 (11.79%), 20 Jul 2012 (7.95%), 05 Sep 2012 (8.38%), 09 Nov 2012 (-4.8%), 19 Nov 2012 (8.91%)
20111601 Feb 2011 (-3.92%), 02 Feb 2011 (-4.36%), 28 Feb 2011 (9.48%), 03 May 2011 (-3.94%), 05 May 2011 (-4.09%), 17 May 2011 (-3.79%), 20 Jun 2011 (-3.51%), 22 Jun 2011 (-3.89%), 23 Jun 2011 (-4.26%), 24 Jun 2011 (8.93%), 29 Jul 2011 (-3.3%), 02 Aug 2011 (-3.45%), 05 Aug 2011 (-4.46%), 15 Nov 2011 (-5.09%), 17 Nov 2011 (10.3%), 20 Dec 2011 (10.57%)
2010925 Jan 2010 (-3.73%), 27 Jan 2010 (8.13%), 03 May 2010 (-3.88%), 07 May 2010 (-4.12%), 20 May 2010 (-3.93%), 21 May 2010 (-4.25%), 26 Jul 2010 (-2.63%), 24 Nov 2010 (-4.8%), 26 Nov 2010 (-5.64%)
2009619 Mar 2009 (12.86%), 12 May 2009 (13.74%), 15 Oct 2009 (-3.48%), 22 Oct 2009 (-3.26%), 26 Oct 2009 (-3.69%), 03 Nov 2009 (10.86%)
20082021 Jan 2008 (-10.14%), 11 Feb 2008 (21.42%), 13 Mar 2008 (-7.98%), 17 Mar 2008 (18.25%), 25 Apr 2008 (-5.94%), 09 May 2008 (-5.03%), 12 May 2008 (10.66%), 24 Jun 2008 (-5.13%), 27 Jun 2008 (-6.16%), 30 Jun 2008 (-6.82%), 01 Jul 2008 (17.25%), 21 Aug 2008 (-5.73%), 17 Sep 2008 (-5.06%), 18 Sep 2008 (-5.52%), 03 Oct 2008 (-6.63%), 06 Oct 2008 (-7.7%), 08 Oct 2008 (-8.31%), 10 Oct 2008 (18.48%), 20 Oct 2008 (-10.94%), 24 Oct 2008 (24.45%)
2007712 Feb 2007 (-5.06%), 22 Feb 2007 (-5.35%), 23 Feb 2007 (-5.82%), 01 Mar 2007 (-7.52%), 05 Mar 2007 (-8.57%), 07 Jun 2007 (9.48%), 27 Jul 2007 (10.3%)
2006213 Jun 2006 (31.26%), 12 Dec 2006 (11.49%)
2005128 Oct 2005 (13.48%)
2004519 Mar 2004 (-6.13%), 22 Mar 2004 (13.57%), 17 May 2004 (26.67%), 16 Jun 2004 (-7.72%), 23 Jun 2004 (14.43%)
2003822 Jan 2003 (-3.18%), 24 Jan 2003 (-3.45%), 31 Jan 2003 (-3.59%), 14 Feb 2003 (7.06%), 10 Mar 2003 (-4.09%), 17 Mar 2003 (-4.03%), 25 Mar 2003 (-3.78%), 31 Mar 2003 (8.29%)
20021831 Jan 2002 (-6.21%), 14 Feb 2002 (-5.77%), 11 Mar 2002 (-4.94%), 21 Mar 2002 (-4.63%), 02 May 2002 (6.04%), 21 May 2002 (-4.14%), 31 May 2002 (8.61%), 17 Jul 2002 (-3.78%), 22 Jul 2002 (-3.76%), 29 Jul 2002 (-5.0%), 30 Jul 2002 (-6.07%), 31 Jul 2002 (-6.49%), 26 Aug 2002 (-6.46%), 28 Aug 2002 (13.62%), 30 Sep 2002 (-5.1%), 24 Oct 2002 (-3.45%), 28 Oct 2002 (7.01%), 17 Dec 2002 (7.83%)
20011409 Mar 2001 (-9.6%), 12 Mar 2001 (-11.34%), 13 Mar 2001 (26.17%), 02 Apr 2001 (24.18%), 15 Jun 2001 (-5.03%), 20 Jun 2001 (-5.19%), 21 Jun 2001 (-5.51%), 25 Jun 2001 (-5.77%), 28 Jun 2001 (12.37%), 04 Sep 2001 (-3.79%), 13 Sep 2001 (-4.49%), 14 Sep 2001 (-5.23%), 17 Sep 2001 (12.07%), 24 Dec 2001 (15.13%)
20001221 Jan 2000 (14.45%), 03 Mar 2000 (-7.64%), 16 Mar 2000 (14.54%), 20 Apr 2000 (-8.81%), 28 Apr 2000 (-9.58%), 02 May 2000 (-10.74%), 04 May 2000 (-11.32%), 22 May 2000 (20.79%), 07 Jul 2000 (10.33%), 17 Aug 2000 (-6.88%), 10 Oct 2000 (-5.59%), 19 Oct 2000 (10.46%)
1999109 Feb 1999 (-5.05%)
19981612 Jan 1998 (11.56%), 16 Jan 1998 (-6.22%), 06 Feb 1998 (-4.7%), 09 Feb 1998 (10.96%), 03 Mar 1998 (13.45%), 02 Jun 1998 (18.05%), 08 Jun 1998 (-10.62%), 16 Jun 1998 (-11.09%), 11 Aug 1998 (-4.28%), 05 Oct 1998 (-5.23%), 06 Oct 1998 (-5.9%), 12 Oct 1998 (-6.92%), 20 Oct 1998 (-6.32%), 27 Oct 1998 (13.8%), 05 Nov 1998 (12.97%), 27 Nov 1998 (10.35%)
19971221 Jan 1997 (-5.93%), 27 Jan 1997 (-6.49%), 31 Jan 1997 (-6.74%), 03 Feb 1997 (-7.26%), 05 Feb 1997 (16.32%), 01 Apr 1997 (13.15%), 12 Nov 1997 (-3.8%), 17 Nov 1997 (-4.36%), 18 Nov 1997 (-4.8%), 04 Dec 1997 (-4.11%), 09 Dec 1997 (-4.39%), 18 Dec 1997 (-4.77%)
19961927 May 1996 (7.17%), 31 Jul 1996 (-2.9%), 01 Aug 1996 (-3.14%), 06 Aug 1996 (-3.08%), 13 Aug 1996 (5.47%), 05 Sep 1996 (-2.9%), 12 Sep 1996 (-2.71%), 16 Sep 1996 (-2.68%), 23 Sep 1996 (-2.94%), 26 Sep 1996 (-2.83%), 27 Sep 1996 (-2.95%), 01 Oct 1996 (-3.34%), 04 Oct 1996 (-3.87%), 07 Oct 1996 (-4.39%), 09 Oct 1996 (9.19%), 05 Nov 1996 (8.65%), 20 Nov 1996 (-3.71%), 26 Nov 1996 (-4.03%), 03 Dec 1996 (9.26%)



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