Study: Buy JUBLFOOD when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy JUBLFOOD when 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 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. 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
1-23352.132391439.134510.798770.89-4567.8-11241.510.990.63-0.06-1015.31
2-47936.852391439.133723.457323.33-5817.71-17445.60.640.41-0.11-2084.21
3-65102.812381534.785150.8915090.49-7087.33-37946.290.730.39-0.095-2830.56
4-54593.5123101343.485585.7311675.08-8496.21-40346.730.660.51-0.073-2373.63
5-67192.722391439.136003.7412400.35-8659.03-27641.390.690.45-0.1-2921.42
6-10647.9823111247.836717.0813734.92-7044.66-17663.820.950.87-0.018-462.96
721929.12314960.877873.4224064.24-9810.97-18704.110.81.250.028953.44
849311.982314960.8710653.6434033.35-11093.22-27306.90.961.490.052144
939076.2923131056.5211507.8627490.68-11052.59-27202.641.041.350.041698.97
1062728.62315865.229661.6330055.59-10274.49-19878.850.941.760.0742727.33
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
atrnil36.14-20864.3142103223.8122567.5335703-7704.36-12344.542.930.92-0.012-496.77
atrtrail23.57-34465.7342132930.9512410.0123802-6751.58-12344.541.840.82-0.027-820.61
atrnil23.95-72553.2342113126.1915103.7323802-7699.81-12344.541.960.7-0.054-1727.46
atrtrail34.4-78186.1442132930.959046.918375.97-6751.58-12344.541.340.6-0.072-1861.57
atrtrail-14.57-78248.8342132930.959042.0821439.4-6751.58-12344.541.340.6-0.072-1863.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 23.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JUBLFOOD Performance, Profit Factor:0.915

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Apr 2019 (-2.65%)
2018715 May 2018 (9.19%), 04 Sep 2018 (-2.71%), 05 Sep 2018 (-2.9%), 10 Sep 2018 (-2.92%), 11 Sep 2018 (-3.09%), 12 Sep 2018 (-3.16%), 21 Sep 2018 (-4.52%)
2017307 Apr 2017 (-2.61%), 12 Apr 2017 (-2.63%), 13 Sep 2017 (11.59%)
2015919 Mar 2015 (-3.45%), 26 Mar 2015 (-3.92%), 20 Apr 2015 (-3.98%), 27 Apr 2015 (12.28%), 24 Jul 2015 (-2.4%), 27 Jul 2015 (7.34%), 13 Aug 2015 (-3.27%), 24 Aug 2015 (-4.17%), 25 Aug 2015 (-4.51%)
2014610 Jan 2014 (-3.18%), 13 Jan 2014 (-3.52%), 07 Aug 2014 (-3.91%), 25 Sep 2014 (10.14%), 10 Dec 2014 (-3.8%), 17 Dec 2014 (12.17%)
2013211 Jan 2013 (-2.56%), 26 Dec 2013 (-3.19%)
2012504 May 2012 (-3.9%), 10 May 2012 (13.35%), 26 Jul 2012 (-3.64%), 02 Aug 2012 (10.5%), 23 Oct 2012 (8.42%)
2011928 Jan 2011 (-5.27%), 04 Feb 2011 (-5.6%), 09 Feb 2011 (17.85%), 04 Aug 2011 (-4.28%), 05 Aug 2011 (-5.13%), 29 Sep 2011 (-5.32%), 30 Sep 2011 (-5.71%), 03 Oct 2011 (-6.17%), 11 Nov 2011 (-5.21%)



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