Study: Sell JUBLFOOD when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell JUBLFOOD when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell JUBLFOOD 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. buy 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
18252.652114766.673835.6715648.84-6492.4-11577.690.591.180.021392.98
2-5622.862112957.145455.8726441.74-7899.25-31919.530.690.92-0.0083-267.76
3-6304.4321111052.387511.526000.32-8893.09-53274.250.840.93-0.0066-300.21
4-30207.62191242.869698.4629005.35-9791.15-53302.380.990.74-0.03-1438.46
5-9212.342112957.148007.6825753.02-11700.5-44819.580.680.91-0.0096-438.68
6-11887.1621101147.6211590.8729684.84-11617.8-52697.4710.91-0.011-566.06
7-20848.9121101147.6210589.5831716.14-11522.24-49321.240.920.84-0.019-992.81
8-10244.0421111052.3810385.3632622.82-12448.3-51980.020.830.92-0.0096-487.81
9-13697.2121101147.6211606.5732038.71-11796.63-41499.610.980.89-0.014-652.25
10-6197.1921111052.3810830.6329564.23-12533.41-34493.920.860.95-0.0063-295.1

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. 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 66.67%, which is good. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
atrnil35.7671654.53259163622109.0131266.65-7957.91-14568.692.781.560.0622866.18
atrtrail33.8637566.452891932.1416306.731266.65-5747.05-14568.692.841.340.0361341.66
nilnil-118252.652114766.673835.6715648.84-6492.4-11577.690.591.180.021392.98
atrnil25.285327.51259163614739.3420844.44-7957.91-14568.691.851.040.0061213.1
200trail-12.76-4259.33482623.537887.423049.57-2590.71-3922.493.040.94-0.0065-125.27
atrtrail23.68-8662.582891932.1411170.1420844.44-5747.05-14568.691.940.92-0.011-309.38
200nil21.6-6228.6835102528.576283.477844.06-2762.54-3981.892.270.91-0.014-177.96
atrtrail-15.11-10389.412781929.6311535.0130221.33-5403.66-14568.692.130.9-0.013-384.79
200trail21.56-7174.1636102627.786283.477844.06-2692.65-3922.492.330.9-0.016-199.28
200nil32.26-13279.5735728209342.9911687.08-2810.02-3981.893.320.83-0.025-379.42
200trail31.86-25199.0436927255201.89565.25-2667.23-3922.491.950.65-0.057-699.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, 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.
JUBLFOOD Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019706 Feb 2019 (-4.74%), 12 Feb 2019 (-4.56%), 20 Feb 2019 (-4.22%), 06 May 2019 (8.3%), 21 May 2019 (-3.13%), 17 Jun 2019 (9.52%), 16 Sep 2019 (-3.19%)
2018222 Oct 2018 (15.63%), 30 Nov 2018 (-3.54%)
2017428 Feb 2017 (-2.94%), 13 Apr 2017 (-2.62%), 23 May 2017 (-3.17%), 26 May 2017 (10.67%)
2016219 Aug 2016 (10.86%), 25 Oct 2016 (10.36%)
2015121 Sep 2015 (-4.22%)
2014115 Jan 2014 (-3.47%)
2013420 Mar 2013 (10.23%), 18 Jul 2013 (9.68%), 17 Oct 2013 (-3.34%), 28 Oct 2013 (-3.25%)
2012111 Jan 2012 (-4.12%)
2011107 Oct 2011 (-7.28%)
2010222 Nov 2010 (14.23%), 23 Nov 2010 (-5.87%)



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