Study: Buy KAJARIACER when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy KAJARIACER 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 KAJARIACER 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
139021.6898534554.085089.827203.07-5127.51-19277.110.991.170.012398.18
214393.6698445444.98047.6533333.33-6290.8-28599.221.281.040.0031146.87
333025.5898435543.8811036.1451944.44-8027.79-31322.961.371.070.0054337
47769.4598455345.9211712.5470000-9798.02-44163.421.21.010.001179.28
5-47628.7398405840.8212707.3481111.11-9584.87-41007.821.330.91-0.0062-486.01
612077.1398425642.8615036.3458611.11-11061.6-48249.031.361.020.0014123.24
795419.4498445444.916934.1654468.09-12031.18-45699.391.411.150.01973.67
871409.3798465246.9415939.2868506.49-12726.88-57862.731.251.110.0076728.67
91256219849495015648.6490259.74-13084.94-68983.491.21.20.0131281.85
1085143.0198415741.8418746.84113636-11990.84-74891.41.561.120.008868.81
Although, strategy looks good but profit factor on day 5 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
atrnil311.4940755.361333110223.3135876.0578445.97-10503.94-1046163.421.040.0028306.43
atrnil29.5731673.25137449332.1223008.3952297.31-10545.12-1046162.181.030.0025231.19
atrtrail34.56-1272081845612830.4314545.9678445.97-7357.67-23117.921.980.86-0.01-691.35
atrtrail24.21-1665171856012532.4312875.3452297.31-7512.3-23117.921.710.82-0.015-900.09
atrtrail-14.92-2052821845612830.4313151.7986880.03-7357.67-23117.921.790.78-0.017-1115.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 23.31%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0028, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KAJARIACER Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Jul 2019 (-3.71%), 23 Jul 2019 (-3.84%), 24 Jul 2019 (-4.67%)
20182229 Jan 2018 (-2.57%), 30 Jan 2018 (-2.66%), 31 Jan 2018 (-3.21%), 02 Feb 2018 (-3.43%), 06 Feb 2018 (-3.73%), 01 Mar 2018 (-2.94%), 06 Mar 2018 (-3.0%), 26 Apr 2018 (-2.61%), 03 May 2018 (-2.58%), 04 May 2018 (-2.67%), 21 Jun 2018 (-3.27%), 26 Jun 2018 (-3.27%), 28 Jun 2018 (-3.24%), 03 Jul 2018 (-3.12%), 16 Jul 2018 (-3.42%), 19 Jul 2018 (-3.5%), 20 Jul 2018 (11.4%), 16 Aug 2018 (10.39%), 21 Sep 2018 (-5.12%), 28 Sep 2018 (-5.44%), 05 Oct 2018 (-5.98%), 23 Oct 2018 (19.05%)
2016409 Nov 2016 (-5.03%), 11 Nov 2016 (-5.8%), 15 Nov 2016 (-6.65%), 21 Dec 2016 (13.91%)
2015221 Aug 2015 (-2.69%), 24 Aug 2015 (-3.67%)
2013527 Feb 2013 (-3.46%), 14 Mar 2013 (-3.46%), 22 Mar 2013 (11.98%), 20 Aug 2013 (-4.59%), 28 Aug 2013 (14.71%)
2011307 Jan 2011 (-4.33%), 09 Feb 2011 (13.28%), 23 Nov 2011 (16.74%)
2009216 Feb 2009 (-5.98%), 02 Mar 2009 (23.06%)
2008324 Mar 2008 (25.46%), 09 Jun 2008 (-6.82%), 10 Oct 2008 (35.17%)
2007322 Oct 2007 (-7.51%), 02 Nov 2007 (-7.23%), 07 Nov 2007 (23.18%)
2005119 Oct 2005 (-52.31%)
2004117 Jun 2004 (18.68%)
2003302 Jan 2003 (-3.68%), 28 Jan 2003 (-4.27%), 27 Feb 2003 (-4.1%)
2002318 Jan 2002 (-6.29%), 23 Jan 2002 (-7.36%), 04 Feb 2002 (22.48%)
20011417 Jan 2001 (-7.31%), 16 Feb 2001 (-7.14%), 22 Feb 2001 (-7.33%), 23 Feb 2001 (-8.05%), 13 Mar 2001 (-9.7%), 17 Apr 2001 (-5.99%), 24 Apr 2001 (19.6%), 26 Jun 2001 (-3.72%), 02 Jul 2001 (-3.83%), 27 Jul 2001 (-3.73%), 06 Aug 2001 (-3.8%), 17 Sep 2001 (-4.94%), 21 Dec 2001 (-5.65%), 24 Dec 2001 (18.6%)
20001217 Apr 2000 (-10.25%), 24 Apr 2000 (-10.92%), 27 Apr 2000 (-11.56%), 02 May 2000 (39.22%), 20 Jun 2000 (-6.69%), 18 Jul 2000 (-4.5%), 21 Jul 2000 (-4.6%), 24 Jul 2000 (-5.18%), 26 Jul 2000 (18.14%), 22 Sep 2000 (-7.62%), 05 Oct 2000 (-7.31%), 26 Dec 2000 (-8.6%)
1999618 Jan 1999 (-3.43%), 19 Jan 1999 (12.05%), 16 Feb 1999 (16.55%), 19 Apr 1999 (-7.55%), 29 Apr 1999 (24.6%), 14 Jun 1999 (18.41%)
19981503 Feb 1998 (-5.87%), 04 Feb 1998 (-6.64%), 05 Feb 1998 (-7.81%), 06 Feb 1998 (-8.67%), 11 Feb 1998 (28.77%), 06 May 1998 (-7.26%), 29 May 1998 (-6.06%), 16 Jun 1998 (-7.26%), 23 Jun 1998 (24.79%), 07 Aug 1998 (-6.34%), 12 Aug 1998 (18.97%), 13 Oct 1998 (-6.14%), 05 Nov 1998 (16.62%), 24 Nov 1998 (-5.44%), 26 Nov 1998 (-5.62%)
19972106 Feb 1997 (5.67%), 19 Mar 1997 (-4.14%), 25 Mar 1997 (-4.36%), 07 Apr 1997 (-4.42%), 26 May 1997 (-2.27%), 27 May 1997 (-2.67%), 04 Jun 1997 (-3.1%), 06 Jun 1997 (-3.04%), 11 Jun 1997 (-3.37%), 12 Jun 1997 (10.84%), 14 Jul 1997 (-3.78%), 11 Aug 1997 (-3.24%), 15 Sep 1997 (-2.76%), 18 Sep 1997 (-2.89%), 19 Sep 1997 (-3.25%), 24 Sep 1997 (-3.57%), 28 Oct 1997 (-3.53%), 13 Nov 1997 (-4.45%), 17 Nov 1997 (-4.95%), 19 Nov 1997 (-5.3%), 24 Dec 1997 (14.18%)
19961001 Jul 1996 (-2.66%), 16 Jul 1996 (-2.29%), 28 Aug 1996 (4.65%), 13 Sep 1996 (-2.13%), 24 Sep 1996 (-1.79%), 27 Sep 1996 (-1.63%), 30 Sep 1996 (-1.71%), 29 Nov 1996 (-1.31%), 02 Dec 1996 (-1.37%), 04 Dec 1996 (4.92%)



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