Study: Buy JSWENERGY when below 200 SMA and makes a 20 day low today

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In this study, we evaluate the performance of strategy "Buy JSWENERGY when below 200 SMA and makes a 20 day low today" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy JSWENERGY 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
16032.63402218553740.9512955.47-4237.13-16475.50.881.080.01150.82
26556.7402020506558.8622834.01-6231.03-18978.11.051.050.0072163.92
31527.5140211952.58723.1539028.34-9560.98-221420.911.010.001238.19
416682.014018224511637.2441619.43-8763.1-28880.871.331.090.011417.05
515011.944018224513941.8846315.79-10724.63-34060.231.31.060.0081375.3
6-15630.224018224513197.3428016.19-11508.29-32398.751.150.94-0.0093-390.76
7-6856.564020205012947.9426558.7-13290.77-30529.60.970.97-0.004-171.41
8-52196.694020205013238.8539352.23-15848.68-33333.330.840.84-0.027-1304.92
9-55811.3840192147.514084.3135527.5-15400.63-34953.110.910.83-0.028-1395.28
10-85990.4740172342.514528.1731199.28-14476.93-35808.7510.74-0.044-2149.76
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
atrtrail24.53-14718.057524513215668.8531892.04-7662.17-14949.562.040.96-0.0056-196.24
atrnil26.08-22112.2666204630.320724.3731892.04-9491.3-14949.562.180.95-0.0083-335.03
atrtrail35.2-19847.827524513215455.1145979.23-7662.17-14949.562.020.95-0.0072-264.64
atrtrail-15.73-43868.517524513214454.2550410.83-7662.17-14949.561.890.89-0.016-584.91
atrnil38.73-69742.864145021.8829818.6245979.23-9744.07-15946.023.060.86-0.023-1089.73

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 32%, which is not acceptable. Avoid this strategy. Average return per trade is -0.098%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JSWENERGY Performance, Profit Factor:0.962

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017322 Mar 2017 (6.56%), 02 May 2017 (-2.27%), 22 Aug 2017 (9.27%)
20161115 Jan 2016 (-5.9%), 03 Feb 2016 (-3.8%), 11 Feb 2016 (1.77%), 29 Feb 2016 (11.51%), 29 Sep 2016 (-0.23%), 13 Oct 2016 (-0.48%), 26 Oct 2016 (-3.15%), 03 Nov 2016 (-2.99%), 04 Nov 2016 (-2.73%), 09 Nov 2016 (2.06%), 26 Dec 2016 (7.7%)
20151012 Jun 2015 (9.83%), 23 Jul 2015 (-4.7%), 28 Jul 2015 (-3.69%), 03 Aug 2015 (-5.18%), 06 Aug 2015 (-5.21%), 12 Aug 2015 (-5.29%), 13 Aug 2015 (11.44%), 24 Aug 2015 (15.33%), 08 Dec 2015 (-3.57%), 11 Dec 2015 (9.21%)
2014310 Jan 2014 (0.05%), 24 Jan 2014 (-3.84%), 27 Jan 2014 (-3.93%)
20131028 Feb 2013 (11.36%), 20 Mar 2013 (11.6%), 23 May 2013 (-2.09%), 29 May 2013 (-3.19%), 11 Jun 2013 (-3.69%), 13 Jun 2013 (12.9%), 21 Jun 2013 (-7.47%), 25 Jun 2013 (15.95%), 30 Jul 2013 (-5.57%), 02 Aug 2013 (-7.35%)
20121013 Apr 2012 (-1.3%), 23 Apr 2012 (-5.68%), 25 Apr 2012 (-5.8%), 04 May 2012 (-3.22%), 08 May 2012 (-6.53%), 11 May 2012 (-0.01%), 26 Jul 2012 (3.78%), 24 Aug 2012 (-3.95%), 27 Aug 2012 (-4.14%), 28 Aug 2012 (8.99%)
20112028 Jan 2011 (-4.29%), 31 Jan 2011 (-5.61%), 15 Mar 2011 (7.23%), 03 May 2011 (-2.56%), 23 May 2011 (6.87%), 17 Jun 2011 (-2.89%), 20 Jun 2011 (-3.02%), 22 Jun 2011 (0.46%), 01 Aug 2011 (-2.22%), 05 Aug 2011 (-5.0%), 12 Aug 2011 (-5.04%), 16 Aug 2011 (-5.63%), 18 Aug 2011 (-4.37%), 04 Oct 2011 (-4.2%), 14 Nov 2011 (-4.0%), 16 Nov 2011 (-4.27%), 18 Nov 2011 (-4.88%), 21 Nov 2011 (11.12%), 16 Dec 2011 (-4.73%), 29 Dec 2011 (9.47%)
2010815 Nov 2010 (-2.87%), 18 Nov 2010 (-3.02%), 19 Nov 2010 (-1.6%), 24 Nov 2010 (-3.57%), 26 Nov 2010 (0.91%), 09 Dec 2010 (-1.59%), 27 Dec 2010 (-3.07%), 29 Dec 2010 (2.66%)



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