Study: Buy KSCL when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy KSCL when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy KSCL 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
1-33481.1635181751.432944.4111703.19-5087.09-14221.40.580.61-0.053-956.6
2-41668.5935161945.713532.210148.39-5167.56-18392.770.680.58-0.057-1190.53
3-42024.5335171848.574219.0912452.02-6319.39-17024.010.670.63-0.054-1200.7
4-45670.5535171848.575209.3217357.93-7457.17-20455.750.70.66-0.048-1304.87
55929.8535161945.718885.8326383.3-7170.71-19554.851.241.040.0049169.42
611918.435181751.439353.6728256.78-9202.8-29641.411.021.080.0082340.53
726161.29352114608389.3434649.48-10715.35-30365.660.781.170.018747.47
8-9882.1735191654.299905.9438732.21-12380.94-34976.150.80.95-0.0057-282.35
9-394.9735161945.7113140.8642922.37-11086.77-51492.671.191-0.0002-11.28
1025599.7535181751.4314237.1541633.09-13568.76-52552.551.051.110.012731.42
Although, strategy looks good but profit factor on day 2 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
atrnil310.7963728.2333112233.3324741.9238334.82-9474.22-14284.052.611.310.0351931.16
atrtrail-17.4951723.9841152636.5915522.2451656.98-6965.76-13937.872.231.290.0271261.56
atrnil27.6852901.6737152240.5417105.825556.54-9258.42-14284.051.851.260.0321429.77
atrtrail36.1739085.4242162638.113851.9538334.82-7020.99-13937.871.971.210.023930.61
atrtrail25.7117666.4842162638.112513.2625556.54-7020.99-13937.871.781.10.012420.63
50trail-12.73-5267.85694716.0713903.8655400.76-2774.52-3997.815.010.96-0.0031-94.07
50trail21.57-26466.9660174328.335879.147835.09-2939.82-3997.8120.79-0.032-441.12
50nil21.57-32416.2760174328.335879.147835.09-3078.18-3997.811.910.76-0.039-540.27
50trail31.84-32983.1257124521.058042.7411752.63-2877.69-3997.812.790.75-0.037-578.65
50nil32-43820.6356114519.648631.9711752.63-3083.83-3997.812.80.68-0.049-782.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.97%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. 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.
KSCL Performance, Profit Factor:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 Feb 2019 (-3.98%)
2018116 Jul 2018 (9.8%)
2017112 May 2017 (-2.49%)
2016208 Jul 2016 (-2.5%), 29 Dec 2016 (10.62%)
2015220 Apr 2015 (-4.39%), 01 Jun 2015 (-4.34%)
2014210 Oct 2014 (-4.93%), 21 Oct 2014 (-4.52%)
2013704 Feb 2013 (-3.19%), 18 Feb 2013 (10.76%), 20 Feb 2013 (-4.25%), 11 May 2013 (11.42%), 20 Aug 2013 (-4.77%), 10 Sep 2013 (-4.56%), 11 Oct 2013 (13.42%)
2012123 Jul 2012 (11.79%)
2011704 Mar 2011 (-6.61%), 20 Jun 2011 (12.63%), 17 Aug 2011 (-5.29%), 22 Aug 2011 (-5.74%), 12 Oct 2011 (-4.24%), 29 Nov 2011 (-4.28%), 23 Dec 2011 (13.49%)
2010529 Mar 2010 (12.81%), 11 May 2010 (-4.31%), 17 Aug 2010 (-4.19%), 13 Sep 2010 (10.17%), 10 Dec 2010 (-6.61%)
2009423 Jul 2009 (19.17%), 29 Oct 2009 (-5.93%), 05 Nov 2009 (-7.14%), 14 Dec 2009 (-5.95%)



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