Study: Buy INDIACEM when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy INDIACEM 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 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
112749.1840211952.5523613630.23-5116.15-20056.021.021.130.0098318.73
2-13887.67402218556149.7922807.02-8287.94-32661.060.740.91-0.0072-347.19
3-15461.58402218557511.0623211.88-10039.16-43316.740.750.91-0.0069-386.54
421496.3640192147.511750.3725536.48-9607.65-46533.91.221.110.0079537.41
531094.8840231757.510470.6535629.45-12337.06-30907.70.851.150.011777.37
649322.7440211952.512921.6637529.69-11685.9-42895.441.111.220.0161233.07
797131.254022185515734.7352626.16-13835.15-43762.381.141.390.0262428.28
882745.644022185515483.9655344.42-14327.86-47326.731.081.320.0222068.64
931281.1940211952.517078.574821.85-17229.86-52145.210.991.10.0071782.03
1082194.5140211952.519137.2396912.11-16825.65-62109.71.141.260.0172054.86
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
atrtrail-15.2640904.9962243838.7115835.39126959-8924.85-22924.41.771.120.0067659.76
atrtrail24.15-42191.0162243838.7112373.0532994.02-8924.85-22924.41.390.88-0.011-680.5
atrtrail34.68-57274.4762243838.7111744.5844845.32-8924.85-22924.41.320.83-0.015-923.78
atrnil26.21-16593953153828.319358.6431118.75-12008.39-28466.961.610.64-0.043-3130.93
atrnil37.19-19091453114220.7527995.0746678.12-11877.62-28466.962.360.62-0.043-3602.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 38.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0067, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017627 Mar 2017 (6.8%), 23 May 2017 (-4.73%), 24 May 2017 (2.47%), 03 Aug 2017 (-0.06%), 09 Aug 2017 (-4.21%), 10 Aug 2017 (0.75%)
2016620 May 2016 (11.51%), 29 Sep 2016 (10.98%), 03 Nov 2016 (-3.29%), 04 Nov 2016 (1.6%), 11 Nov 2016 (-5.6%), 15 Nov 2016 (-6.68%)
2014508 Jul 2014 (-0.33%), 25 Sep 2014 (-0.62%), 14 Oct 2014 (0.56%), 21 Nov 2014 (-4.42%), 25 Nov 2014 (-4.37%)
2012411 Apr 2012 (-0.12%), 20 Apr 2012 (-5.36%), 25 Apr 2012 (-5.17%), 08 Nov 2012 (-4.38%)
2010130 Apr 2010 (-3.89%)
2009219 Aug 2009 (1.25%), 11 Sep 2009 (3.9%)
2008116 Jan 2008 (-6.89%)
2007223 Jan 2007 (-0.79%), 09 Feb 2007 (-4.47%)
2006518 May 2006 (-9.57%), 19 May 2006 (-11.46%), 22 May 2006 (5.37%), 31 Oct 2006 (2.39%), 20 Nov 2006 (10.97%)
2005807 Jun 2005 (7.33%), 17 Jun 2005 (-4.97%), 22 Jun 2005 (4.72%), 17 Oct 2005 (-4.36%), 26 Oct 2005 (-5.37%), 27 Oct 2005 (-6.14%), 15 Dec 2005 (-1.79%), 23 Dec 2005 (25.1%)
2004603 Feb 2004 (3.22%), 25 Feb 2004 (2.85%), 15 Mar 2004 (-5.29%), 16 Mar 2004 (-3.86%), 15 Oct 2004 (-3.03%), 25 Oct 2004 (-0.18%)
2003215 Sep 2003 (-4.25%), 18 Sep 2003 (12.9%)
2001323 Feb 2001 (-5.36%), 27 Feb 2001 (0.8%), 20 Dec 2001 (-7.48%)
2000211 Jan 2000 (1.09%), 14 Jan 2000 (-5.45%)
1999630 Jun 1999 (63.48%), 21 Sep 1999 (-6.95%), 23 Sep 1999 (-5.36%), 27 Sep 1999 (6.91%), 10 Dec 1999 (-6.64%), 28 Dec 1999 (0.92%)
1997329 Sep 1997 (2.15%), 23 Oct 1997 (-3.28%), 28 Oct 1997 (-3.38%)



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