Study: Buy KAJARIACER when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy KAJARIACER when above 200 SMA and RSI is oversold" 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
16122.24862753003.974972.71-5950.78-9392.790.51.510.036765.28
2-2117.5585362.55108.5311461.49-9220.07-13757.120.550.92-0.0068-264.69
312520.218445010663.1627076.41-7533.11-14800.761.421.420.0271565.03
422105.238445014620.2143853.82-9093.9-22201.141.611.610.0322763.15
515371.15862757351.4329734.22-14368.7-24193.550.511.530.0291921.39
620986.5485362.511418.5241362.13-12035.36-31878.560.951.580.0292623.32
736925.3385362.514131.1150332.23-11243.4-29127.131.262.090.0474615.67
830435.11862759627.8230398.67-13665.9-22770.40.72.110.0563804.39
922026.278445011682.6219269.1-6176.05-18500.951.891.890.0522753.28
103781.38844507693.9312723.66-6748.59-16129.031.141.140.011472.67
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
KAJARIACER Performance, X=8, Profit Factor:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016121 Oct 2016 (1.37%)
2014115 Dec 2014 (-2.28%)
2013221 Jan 2013 (1.43%), 12 Feb 2013 (0.02%)
2012130 Aug 2012 (5.09%)
2011115 Nov 2011 (-11.39%)
2006121 Nov 2006 (5.77%)
2000123 Mar 2000 (15.2%)

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
atrnil37.3153251.28134930.7732522.1560871.64-8537.48-10423.283.811.690.044096.25
atrtrail35.1428501.741441028.5723659.2460871.64-6613.52-10423.283.581.430.0232035.84
atrtrail2511812.591441028.5719486.9540581.1-6613.52-10423.282.951.180.013843.76
atrnil26.319888.42134930.7721681.4340581.1-8537.48-10423.282.541.130.01760.65
atrtrail-15.29-14570.021441028.5712891.2925263.82-6613.52-10423.281.950.78-0.022-1040.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 2.05%, which is very good. Sharpe Ratio is 0.04, 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.
KAJARIACER Performance, Profit Factor:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016221 Oct 2016 (-4.2%), 26 Oct 2016 (-4.21%)
2014215 Dec 2014 (-2.51%), 17 Dec 2014 (8.88%)
2013121 Jan 2013 (-5.09%)
2012130 Aug 2012 (10.23%)
2011415 Nov 2011 (-3.42%), 16 Nov 2011 (-3.97%), 18 Nov 2011 (-4.87%), 21 Nov 2011 (-5.21%)
2006221 Nov 2006 (-4.94%), 23 Nov 2006 (15.5%)
2000123 Mar 2000 (30.44%)



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