Study: Buy LT 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 LT 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 LT 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
118911.8256302653.572860.756739.69-2573.49-9488.191.111.280.026337.71
244319.3156322457.144028.7615585.34-3525.04-11040.161.141.520.043791.42
357043.4756332358.934866.2617093.83-4501.87-13004.71.081.550.0451018.63
430962.8156332358.935721.3721061.66-6862.71-23113.070.831.20.018552.91
516793.88562828507518.4620580.83-6918.68-21741.761.091.090.0086299.89
62737.0656292751.797281.1425580.65-7719.11-19470.690.941.010.001348.88
712491.0556312555.367638.1425251.12-8971.66-23395.110.851.060.0054223.05
8-31094.1356253144.649004.7624579.19-8264.94-26610.951.090.88-0.013-555.25
9-9392.9256263046.438748.0824314.9-7894.77-27537.551.110.96-0.004-167.73
10-1134.4156253144.649925.3524629.13-8040.91-28336.971.231-0.00046-20.26
Although, strategy looks good but profit factor on day 1 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
atrnil39.486308.6453153828.319073.630558.03-5257.77-9072.353.631.430.0371628.46
atrtrail-15.6265005.2873254834.259363.8544673.17-3522.73-8278.822.661.380.026890.48
atrtrail35.0446132.0573254834.258608.9230558.03-3522.73-8278.822.441.270.022631.95
atrtrail24.2537968.273254834.258282.3720372.02-3522.73-8278.822.351.220.02520.11
atrnil25.9733817.7459203933.911778.3720372.02-5173.07-9072.352.281.170.018573.18
50trail-13.7413371.782235928.056989.3119551.74-2498.01-3882.452.81.090.0077163.07
50trail32.742095.0182235928.056499.0111397.1-2498.01-3882.452.61.010.001525.55
50nil33.38-11186.65721854258306.6911397.1-2976.06-3933.082.790.93-0.0081-155.37
50trail22.3-17696.2283245928.925440.297598.07-2512.94-3882.452.160.88-0.015-213.21
50nil22.65-28855.9677235429.875737.267598.07-2978.02-3933.081.930.82-0.024-374.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 28.3%, which is not acceptable. Avoid this strategy. Average return per trade is 0.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
LT Performance, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Jan 2019 (-2.09%), 30 Apr 2019 (-1.85%), 08 Jul 2019 (-2.44%)
2018727 Feb 2018 (-2.45%), 02 Apr 2018 (-2.14%), 04 Jun 2018 (-2.16%), 07 Jun 2018 (-2.1%), 24 Jul 2018 (-2.19%), 27 Jul 2018 (-2.25%), 24 Sep 2018 (-1.93%)
2017312 Jun 2017 (-2.26%), 11 Jul 2017 (-1.81%), 06 Dec 2017 (5.78%)
2016118 Oct 2016 (-2.09%)
2015615 Jan 2015 (6.84%), 16 Mar 2015 (-3.11%), 23 Apr 2015 (-2.69%), 02 Jun 2015 (7.16%), 28 Jul 2015 (-2.13%), 04 Aug 2015 (-2.38%)
2014523 Jan 2014 (-2.56%), 14 Jul 2014 (-3.57%), 03 Sep 2014 (-2.35%), 18 Sep 2014 (-2.38%), 21 Oct 2014 (7.64%)
2013302 Jan 2013 (-1.85%), 25 Jan 2013 (-2.2%), 15 Mar 2013 (-2.71%)
2012326 Jul 2012 (7.76%), 27 Aug 2012 (-2.3%), 26 Nov 2012 (-2.29%)
2010526 Feb 2010 (-2.62%), 17 May 2010 (-3.14%), 26 May 2010 (10.04%), 03 Aug 2010 (6.74%), 18 Nov 2010 (-2.53%)
2009629 Jul 2009 (-4.54%), 13 Aug 2009 (-4.14%), 20 Aug 2009 (12.56%), 22 Oct 2009 (-2.86%), 18 Nov 2009 (-2.82%), 07 Dec 2009 (-2.4%)
2008101 Jan 2008 (-3.26%)
2007510 Jan 2007 (9.14%), 27 Feb 2007 (-3.7%), 22 Mar 2007 (-4.36%), 10 Apr 2007 (11.8%), 17 Aug 2007 (11.96%)
2006226 Jul 2006 (15.28%), 26 Oct 2006 (8.71%)
2005305 May 2005 (-3.26%), 09 May 2005 (9.82%), 31 Oct 2005 (11.82%)



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