Study: Buy JISLJALEQS when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy JISLJALEQS when near 200 SMA and 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 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
1-2851.0235181751.434153.0913359.17-4565.09-12070.280.910.96-0.0034-81.46
2-9207.3935171848.576892.9221937.98-7021.5-19709.70.980.93-0.0073-263.07
3-41425.73351421409529.3928708.01-8325.58-20320.861.140.76-0.026-1183.59
4-18924.5635132237.1411921.5328329.18-7904.75-27807.491.510.89-0.011-540.7
515400.2135181751.4310163.5528087.86-9855.51-22612.681.031.090.0086440.01
610815.1535161945.7113042.6431151.35-10414.05-36849.711.251.050.0051309
7-7468.4335171848.5711911.0530269.27-11664.23-39595.381.020.96-0.0034-213.38
840464.3135201557.1412695.5633815.46-14229.79-34104.050.891.190.0161156.12
9920.453521146012693.131383.47-18973.9-61412.80.6710.0003226.3
1052333.8535201557.1415064.0947818.01-16596.53-47637.970.911.210.0181495.25
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
200trail-12.8268576.3955134223.6413939.3334218.65-2681.78-3960.295.21.610.0331246.84
atrtrail35.0510282943162737.2118747.6538732.21-7301.25-10303.722.571.520.0392391.36
atrnil37.0511195339122730.7728662.2953436.18-8592.39-12051.773.341.480.0392870.59
atrtrail-1662319.7243162737.2116215.8460034.14-7301.25-10303.722.221.320.0241449.3
atrtrail24.4925386.0943162737.2113907.4925821.48-7301.25-10303.721.91.130.013590.37
200nil31.6811626.8656164028.578297.4311765.33-3028.3-3960.292.741.10.0096207.62
atrnil25.8721405.9939132633.3318874.3435624.12-8613.86-12051.772.191.10.0099548.87
200trail31.624864.7356164028.577262.9111765.33-2783.55-3960.292.611.040.004486.87
200trail21.32-455.9956193733.935631.317843.55-2904.08-3960.291.941-0.00048-8.14
200nil21.34-4892.7356193733.935631.317843.55-3023.99-3960.291.860.96-0.0051-87.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 23.64%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018513 Mar 2018 (-1.43%), 14 Mar 2018 (-1.31%), 04 Apr 2018 (0.52%), 12 Apr 2018 (2.94%), 04 May 2018 (-1.31%)
2017818 May 2017 (-1.84%), 17 Aug 2017 (-1.54%), 18 Aug 2017 (-1.68%), 28 Aug 2017 (-1.98%), 30 Aug 2017 (-0.34%), 09 Oct 2017 (-1.76%), 27 Oct 2017 (0.88%), 15 Nov 2017 (16.08%)
2016514 Jan 2016 (-1.21%), 01 Feb 2016 (-1.28%), 26 Apr 2016 (-1.18%), 04 May 2016 (-1.38%), 23 May 2016 (4.97%)
2015805 Oct 2015 (-1.46%), 21 Oct 2015 (-0.62%), 27 Oct 2015 (-1.2%), 06 Nov 2015 (-1.45%), 10 Nov 2015 (0.51%), 18 Nov 2015 (0.66%), 08 Dec 2015 (-1.51%), 23 Dec 2015 (11.89%)
2014429 Jan 2014 (-1.94%), 30 Jan 2014 (-0.92%), 06 Mar 2014 (-1.93%), 05 Nov 2014 (-1.38%)
2013703 Jan 2013 (7.33%), 07 May 2013 (-1.28%), 16 May 2013 (-1.57%), 31 May 2013 (-1.83%), 03 Oct 2013 (-0.61%), 10 Oct 2013 (-1.15%), 23 Oct 2013 (-1.55%)
2012126 Dec 2012 (-1.04%)
2011218 Jan 2011 (-1.3%), 25 Jan 2011 (-1.87%)
2010529 Jan 2010 (3.76%), 05 Feb 2010 (-0.52%), 09 Feb 2010 (15.52%), 13 Dec 2010 (-1.14%), 14 Dec 2010 (-1.84%)
2009102 Apr 2009 (-0.48%)
2008202 Jun 2008 (-1.49%), 04 Jun 2008 (-1.28%)
2006323 Jun 2006 (-1.0%), 31 Jul 2006 (-1.51%), 01 Aug 2006 (8.43%)
2005128 Oct 2005 (17.11%)
2004116 Aug 2004 (-1.21%)
2003231 Mar 2003 (-1.32%), 10 Apr 2003 (-1.66%)



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