Study: Buy LT when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy LT when near 200 SMA and 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 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
1-3060.2238221657.892516.476644.74-3651.42-13445.380.690.95-0.0053-80.53
29255.7338241463.163968.4823509.01-6141.98-29546.090.651.110.0082243.57
347095.5438201852.636536.921509.98-4646.8-17753.271.411.560.0431239.36
464169.438201852.638350.4922336.11-5713.35-16150.71.461.620.0511688.67
546164.8738211755.267641.6815993.44-6724.14-24525.941.141.40.0351214.86
639718.8338211755.267323.2517782.08-6709.97-18353.071.091.350.0311045.23
736408.7437181948.659208.5720017.89-6807.66-30811.281.351.280.025984.02
830629.5437191851.3510245.4630160.98-9113.01-27228.141.121.190.018827.83
960994.0837181948.6512643.8737889.4-8768.19-22498.521.441.370.0321648.49
1076247.0137191851.3512198.4534684.75-8640.2-25677.141.411.490.042060.73
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
atrnil311.712843633122136.3619520.5453205.68-5038.61-10150.623.872.210.0753891.99
atrnil27.0382148.913514214013425.735470.45-5038.61-10150.622.661.780.062347.11
200trail-13.6142511.6254173731.488389.0431487.42-2705.46-3926.493.11.420.03787.25
atrtrail-15.1543019.6247182938.38700.141215.03-3916.62-10150.622.221.380.026915.31
atrtrail34.5127746.6747182938.37851.633689.34-3916.62-10150.6221.240.02590.35
200trail32.5618908.9854173731.487000.6411294.15-2705.46-3926.492.591.190.018350.17
200nil33.3519048.3448143429.178589.4611831.86-2976.59-3929.042.891.190.019396.84
atrtrail23.7218729.8347182938.37350.6622459.56-3916.62-10150.621.881.160.016398.51
200nil22.2313204.752193336.545865.867887.91-2977.17-3929.041.971.130.015253.94
200trail22.051446.1656193733.935408.847887.91-2738.43-3926.491.981.010.001725.82

In the table above, row 1 shows the best exit criterion. Profit factor is 2.21. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.95%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, 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.
LT Performance, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019414 Jan 2019 (-2.11%), 14 May 2019 (-2.06%), 16 May 2019 (6.51%), 24 Jul 2019 (-2.55%)
2018621 Jun 2018 (-1.9%), 09 Jul 2018 (-2.13%), 26 Jul 2018 (-2.32%), 18 Sep 2018 (-1.79%), 24 Sep 2018 (-1.93%), 01 Nov 2018 (8.31%)
2017127 Jan 2017 (5.62%)
2016215 Nov 2016 (-2.53%), 30 Nov 2016 (-2.5%)
2015309 Feb 2015 (8.85%), 11 May 2015 (-2.76%), 18 May 2015 (7.64%)
2014118 Dec 2014 (7.38%)
2013513 Feb 2013 (-2.14%), 08 Mar 2013 (-2.7%), 12 Mar 2013 (-2.76%), 25 Apr 2013 (8.66%), 22 Oct 2013 (10.48%)
2012108 Jun 2012 (10.25%)
2011407 Jan 2011 (-2.51%), 28 Jun 2011 (-2.47%), 01 Aug 2011 (-2.46%), 08 Sep 2011 (-3.24%)
2010422 Jan 2010 (-2.83%), 25 Feb 2010 (7.8%), 19 Apr 2010 (-2.14%), 01 Jun 2010 (9.03%)
2008105 Mar 2008 (-5.08%)
2006120 Jun 2006 (26.6%)



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