Study: Buy JISLJALEQS when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy JISLJALEQS when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy JISLJALEQS 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
17280.87115645.455560.513359.17-3420.27-6829.91.631.350.027661.9
2-6915.2114736.368824.3421937.98-6030.37-9801.321.460.84-0.018-628.65
3-19897.73113827.2712500.9628708.01-7175.08-9845.471.740.65-0.04-1808.88
414672.44113827.2714659.1426563.31-3663.12-10982.6641.50.0321333.86
512556.22115645.4511182.5128087.86-7226.05-20375.721.551.290.0221141.47
6-3832.18114736.3616788.4727131.78-10140.87-36849.711.660.95-0.005-348.38
7-17377.29115645.4512503.7626589.15-13316.02-39595.380.940.78-0.023-1579.75
8-15856116554.5511860.5427700.26-17403.84-34104.050.680.82-0.019-1441.45
9-28784.67117463.6412725.8124418.6-29466.34-61412.80.430.76-0.025-2616.79
10-7370.19117463.6413642.5834935.4-25717.06-47637.970.530.93-0.007-670.02
Although, strategy looks good but profit factor on day 3 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
atrnil34.076759.431441028.5722299.329832.79-8243.78-9845.152.71.080.0083482.82
atrtrail33.67-3530.891551033.3312618.9520873.94-6662.56-9845.151.890.95-0.0054-235.39
atrnil23.79-22972.981441028.5714866.219888.53-8243.78-9845.151.80.72-0.038-1640.93
200trail21.18-11375.631741323.535878.126503.5-2683.7-3739.982.190.67-0.044-669.15
atrtrail23.47-23319.031551033.338661.3213915.96-6662.56-9845.151.30.65-0.046-1554.6
200nil21.18-13262.321741323.535878.126503.5-2828.83-3739.982.080.64-0.05-780.14
200nil31.47-14477.431731417.658513.49755.24-2858.4-3739.982.980.64-0.047-851.61
atrtrail-14.2-31586.431551033.337007.8413496.12-6662.56-9845.151.050.53-0.069-2105.76
200trail31.47-18556.691731417.655847.739538.37-2578.56-3739.982.270.49-0.075-1091.57
200trail-11.82-20631.351721511.768209.8414661.45-2470.07-3739.983.320.44-0.071-1213.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0083, 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.
JISLJALEQS Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017127 Oct 2017 (9.68%)
2016226 Apr 2016 (-3.49%), 04 May 2016 (10.44%)
2015105 Oct 2015 (-4.51%)
2013603 Jan 2013 (9.56%), 07 May 2013 (-4.05%), 16 May 2013 (-3.99%), 31 May 2013 (-4.36%), 03 Oct 2013 (-4.71%), 23 Oct 2013 (-4.92%)
2012126 Dec 2012 (-3.38%)
2011218 Jan 2011 (-3.96%), 25 Jan 2011 (-3.84%)
2009102 Apr 2009 (14.92%)



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