Study: Buy JISLJALEQS when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy JISLJALEQS 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 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
1-13155371304142.255081.3521544.68-6926.67-35869.280.730.54-0.049-1852.86
2-15358571323945.077226.7429715.92-9867.71-34406.220.730.6-0.047-2163.17
3-13490671304142.2510052.2644022.07-10645.7-48658.360.940.69-0.033-1900.08
469251.671393254.9312788.2464868.18-13421.55-64963.410.951.160.013975.37
581844.0271363550.715471.7565478.42-13575.4-55296.911.141.170.0141152.73
650536.2971373452.1114993.9887992.5-14830.62-45320.671.011.10.0084711.78
716111670383254.2917413.8100563-15644-46783.931.111.320.0232301.66
817160270363451.4319160.39124761-15240.37-54333.031.261.330.0222451.45
914422570393155.7118053.41108618-18059.94-56207.4711.260.0192060.35
1021317370363451.4321045.9490013.68-16014.16-56541.281.311.390.0283045.32
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
atrtrail-15.63288247133528139.119537.57113484-8984.04-21548.852.171.40.0272167.27
atrtrail34.8214083133528139.118111.3567793.03-8984.04-21548.852.021.290.0231609.65
atrtrail23.89180785133528139.117470.9951229.62-8984.04-21548.851.941.250.0221359.28
atrnil24.87174501127448334.6524126.6451229.62-10687.61-21548.852.261.20.0191374.02
atrnil38.2624829.28117298824.7934905.9167793.03-11220.93-25614.813.111.030.0025212.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 39.1%, which is not acceptable. Avoid this strategy. Average return per trade is 1.08%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191121 Jan 2019 (-3.88%), 25 Jan 2019 (-0.98%), 04 Feb 2019 (-5.27%), 13 Feb 2019 (17.85%), 08 Apr 2019 (3.68%), 30 Apr 2019 (-4.58%), 06 May 2019 (-4.74%), 08 May 2019 (-1.85%), 13 May 2019 (12.9%), 06 Jun 2019 (-6.47%), 10 Jun 2019 (0.17%)
20181407 Mar 2018 (1.71%), 10 May 2018 (-3.36%), 18 May 2018 (-2.99%), 24 May 2018 (3.67%), 25 Jun 2018 (-3.67%), 27 Jun 2018 (-4.12%), 28 Jun 2018 (-4.96%), 29 Jun 2018 (4.43%), 19 Jul 2018 (11.07%), 27 Sep 2018 (-5.59%), 28 Sep 2018 (-7.7%), 28 Nov 2018 (-3.82%), 05 Dec 2018 (-4.58%), 10 Dec 2018 (-4.62%)
2017619 May 2017 (-4.51%), 23 May 2017 (-4.92%), 24 May 2017 (23.0%), 10 Aug 2017 (-4.13%), 28 Sep 2017 (3.28%), 13 Oct 2017 (14.67%)
2016515 Jan 2016 (-5.69%), 18 Jan 2016 (-6.14%), 20 Jan 2016 (10.29%), 12 Feb 2016 (-5.07%), 17 Feb 2016 (16.16%)
20151313 Jan 2015 (2.85%), 10 Feb 2015 (5.02%), 16 Mar 2015 (-2.97%), 20 Mar 2015 (6.52%), 27 Apr 2015 (0.62%), 07 May 2015 (-0.6%), 12 May 2015 (15.06%), 11 Aug 2015 (-4.18%), 12 Aug 2015 (-4.39%), 24 Aug 2015 (3.87%), 30 Oct 2015 (6.21%), 09 Dec 2015 (-2.59%), 11 Dec 2015 (18.42%)
2014813 Feb 2014 (-4.36%), 25 Feb 2014 (1.96%), 25 Sep 2014 (-5.42%), 29 Sep 2014 (-5.52%), 16 Oct 2014 (14.12%), 09 Dec 2014 (-2.94%), 12 Dec 2014 (-4.68%), 16 Dec 2014 (-5.78%)
2013929 Jan 2013 (-0.14%), 05 Feb 2013 (-5.42%), 11 Feb 2013 (0.64%), 27 Feb 2013 (-1.33%), 04 Apr 2013 (19.64%), 07 Jun 2013 (-5.33%), 10 Jun 2013 (-4.67%), 24 Jun 2013 (-5.35%), 03 Jul 2013 (7.93%)
20121428 Mar 2012 (4.13%), 20 Apr 2012 (-5.14%), 27 Apr 2012 (1.42%), 04 May 2012 (-5.25%), 07 May 2012 (-0.58%), 23 May 2012 (-0.34%), 04 Jun 2012 (3.33%), 26 Jul 2012 (-3.93%), 27 Jul 2012 (0.81%), 17 Aug 2012 (-5.23%), 28 Aug 2012 (-6.46%), 05 Sep 2012 (12.09%), 30 Oct 2012 (-2.69%), 19 Nov 2012 (-3.74%)
20112331 Jan 2011 (-5.63%), 01 Feb 2011 (14.51%), 18 Apr 2011 (3.77%), 18 May 2011 (-2.67%), 19 May 2011 (-3.15%), 24 May 2011 (-3.63%), 25 May 2011 (3.18%), 15 Jun 2011 (-3.64%), 17 Jun 2011 (-3.99%), 20 Jun 2011 (24.37%), 05 Aug 2011 (-4.56%), 22 Sep 2011 (-4.0%), 23 Sep 2011 (-4.85%), 26 Sep 2011 (2.21%), 05 Oct 2011 (1.86%), 21 Oct 2011 (-5.4%), 24 Oct 2011 (1.83%), 04 Nov 2011 (2.49%), 13 Dec 2011 (-5.74%), 14 Dec 2011 (-6.45%), 16 Dec 2011 (-7.2%), 19 Dec 2011 (-7.96%), 20 Dec 2011 (13.83%)
2010212 Nov 2010 (-4.08%), 16 Nov 2010 (6.6%)
2009123 Mar 2009 (20.51%)
20081519 Mar 2008 (16.69%), 03 Jun 2008 (-3.4%), 06 Jun 2008 (-4.2%), 09 Jun 2008 (-4.53%), 10 Jun 2008 (-2.4%), 19 Jun 2008 (-4.85%), 23 Jun 2008 (-6.45%), 26 Aug 2008 (-6.23%), 28 Aug 2008 (1.62%), 15 Sep 2008 (-6.02%), 03 Oct 2008 (-6.95%), 06 Oct 2008 (-8.22%), 08 Oct 2008 (-10.77%), 10 Oct 2008 (6.36%), 08 Dec 2008 (5.24%)
2006108 Jun 2006 (-6.34%)
2004622 Jan 2004 (-3.37%), 03 Feb 2004 (1.93%), 15 Mar 2004 (-8.5%), 22 Mar 2004 (25.36%), 17 May 2004 (37.67%), 13 Aug 2004 (10.33%)
2003511 Mar 2003 (-3.79%), 01 Apr 2003 (3.35%), 11 Apr 2003 (-0.69%), 25 Apr 2003 (-1.5%), 02 May 2003 (56.74%)



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